# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0000810893-23-000784
**Filing Date:** 2023-2
**Character Count:** 3632000
**Document Hash:** 01a72227461564492566e2a096e860c1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0000810893-23-000784.hdr.sgml**: 20230228

**ACCESSION NUMBER**: 0000810893-23-000784

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230228

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20230331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893
- **IRS NUMBER:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 23686707

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

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

## Series and Classes Contracts Data

### PIMCO Mortgage and Short-Term Investments Portfolio (Series ID: S000009853)

| Class ID   | Class Name                                          | Ticker Symbol   |
|:---|:---|:---|
| C000027281 | PIMCO Mortgage and Short-Term Investments Portfolio |  |

## Nport-Ex

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 129.6% ¤** |  |  |
| **CORPORATE BONDS & NOTES 0.5%**  |  |  |
| **BANKING & FINANCE 0.4%**  |  |  |
| **Ambac Assurance Corp.** <br>5.100% due 12/31/2099 (e) | $43 | $60 |
| **Preferred Term Securities Ltd.**  |  |  |
| 5.119% (US0003M + 0.350%) due 03/22/2038 ~  | 18961 | 17712 |
| 5.613% (US0003M + 0.860%) due 07/03/2033 ~  | 1025 | 959 |
|  |  | 18731 |
| **INDUSTRIALS 0.1%**  |  |  |
| **CVS Pass-Through Trust** <br>5.880% due 01/10/2028 | 711 | 703 |
| **Times Square Hotel Trust** <br>8.528% due 08/01/2026 | 2439 | 2411 |
|  |  | 3114 |
| Total Corporate Bonds & Notes (Cost $21,905) |  | 21845 |
| **U.S. GOVERNMENT AGENCIES 35.9%**  |  |  |
| **Fannie Mae**  |  |  |
| 1.611% due 11/25/2049 •(a) | 576 | 78 |
| 1.673% due 01/01/2035 •  | 3 | 3 |
| 1.691% due 02/01/2035 •  | 2 | 2 |
| 1.990% due 12/01/2036 •  | 2 | 2 |
| 2.058% due 03/01/2035 •  | 6 | 6 |
| 2.077% due 12/01/2036 •  | 4 | 4 |
| 2.117% due 02/01/2035 •  | 3 | 3 |
| 2.173% due 12/01/2035 •  | 2 | 2 |
| 2.318% due 03/01/2033 •  | 1 | 1 |
| 2.375% due 03/01/2029 •  | 4 | 4 |
| 2.396% due 03/01/2035 •  | 2 | 2 |
| 2.500% due 04/01/2032 •  | 10 | 10 |
| 2.733% due 01/01/2037 •  | 3 | 3 |
| 2.744% due 09/01/2033 •  | 13 | 12 |
| 2.889% due 03/01/2044 - 10/01/2044 •  | 22 | 21 |
| 2.907% due 07/01/2033 •  | 3 | 2 |
| 3.000% due 05/01/2034 •  | 12 | 11 |
| 3.006% due 04/01/2033 •  | 4 | 4 |
| 3.007% due 03/01/2035 •  | 5 | 5 |
| 3.030% due 06/01/2033 •  | 3 | 3 |
| 3.082% due 05/01/2036 •  | 5 | 4 |
| 3.089% due 10/01/2040 •  | 12 | 12 |
| 3.134% due 07/01/2033 •  | 2 | 2 |
| 3.220% due 10/01/2031 •  | 4 | 4 |
| 3.285% due 11/01/2034 •  | 6 | 6 |
| 3.389% due 11/01/2035 •  | 1 | 1 |
| 3.465% due 05/01/2033 •  | 8 | 8 |
| 3.490% due 04/01/2034 •  | 1 | 1 |
| 3.600% due 11/01/2034 •  | 1 | 1 |
| 3.668% due 07/01/2035 •  | 3 | 3 |
| 3.821% due 07/25/2037 •  | 569 | 558 |
| 3.825% due 10/01/2034 •  | 2 | 2 |
| 3.826% due 09/01/2033 •  | 1 | 1 |
| 3.878% due 09/01/2033 •  | 3 | 3 |
| 3.887% due 03/25/2036 ~ | 7 | 7 |
| 4.000% due 09/01/2033 •  | 6 | 6 |
| 4.000% due 11/25/2033 - 01/01/2059 | 298 | 286 |
| 4.198% due 06/01/2033 - 04/01/2036 •  | 64 | 63 |
| 4.230% due 08/01/2035 •  | 1 | 1 |
| 4.238% due 04/01/2036 •  | 1 | 1 |
| 4.241% due 11/01/2032 •  | 12 | 12 |
| 4.245% due 09/01/2030 •  | 9 | 9 |
| 4.247% due 10/01/2032 •  | 4 | 4 |
| 4.250% due 10/01/2027 •  | 1 | 1 |
| 4.269% due 05/01/2036 •  | 3 | 3 |
| 4.375% due 09/01/2032 •  | 11 | 11 |
| 4.509% due 08/25/2031 •  | 48 | 45 |
| 4.655% due 02/01/2033 •  | 19 | 20 |
| 4.739% due 09/17/2027 ~ | 1 | 1 |
| 4.939% due 11/18/2031 •  | 1 | 1 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.000% due 06/25/2023 - 11/25/2032 | 433 | 431 |
| 5.039% due 11/25/2031 •  | 18 | 18 |
| 5.389% due 12/25/2023 ~ | 1 | 1 |
| 5.389% due 04/25/2032 •  | 2 | 2 |
| 5.500% due 12/25/2023 ~ | 1 | 1 |
| 5.500% due 09/25/2035 | 1983 | 2066 |
| 6.500% due 06/25/2028 | 8 | 8 |
| 7.000% due 07/25/2042 | 3 | 4 |
| 8.500% due 01/25/2025 - 11/01/2030 | 4 | 4 |
| **Freddie Mac**  |  |  |
| 0.482% due 01/25/2034 ~(a) | 86301 | 3217 |
| 0.776% due 03/25/2034 ~(a) | 67989 | 3911 |
| 1.942% due 01/01/2035 •  | 3 | 3 |
| 1.987% due 01/01/2035 •  | 5 | 5 |
| 2.032% due 02/01/2035 •  | 3 | 3 |
| 2.181% due 09/25/2023 •  | 10 | 10 |
| 2.454% due 03/01/2034 •  | 8 | 8 |
| 2.491% due 02/01/2035 •  | 9 | 9 |
| 2.520% due 02/01/2036 •  | 1 | 1 |
| 2.583% due 04/01/2032 •  | 20 | 20 |
| 2.598% due 04/01/2033 •  | 1 | 1 |
| 2.625% due 02/01/2035 •  | 8 | 8 |
| 2.785% due 04/01/2034 •  | 4 | 4 |
| 2.889% due 02/25/2045 •  | 7 | 7 |
| 3.000% due 09/01/2046 - 03/01/2048 | 11619 | 10362 |
| 3.248% due 10/25/2044 •  | 1165 | 1161 |
| 3.448% due 07/25/2044 •  | 247 | 248 |
| 3.500% due 07/01/2046 - 02/01/2048 | 149 | 138 |
| 3.574% due 12/01/2033 •  | 13 | 13 |
| 3.586% due 09/01/2035 •  | 3 | 3 |
| 3.670% due 03/01/2028 •  | 2 | 2 |
| 3.987% due 01/01/2035 •  | 3 | 3 |
| 4.000% due 10/15/2033 | 19 | 18 |
| 4.050% due 09/01/2028 •  | 2 | 2 |
| 4.069% due 03/01/2032 •  | 13 | 13 |
| 4.090% due 09/01/2035 •  | 1 | 1 |
| 4.117% due 07/01/2037 •  | 1 | 1 |
| 4.209% due 10/01/2034 •  | 6 | 6 |
| 4.231% due 09/01/2033 •  | 9 | 10 |
| 4.362% due 11/01/2034 •  | 4 | 4 |
| 4.375% due 11/01/2034 •  | 11 | 11 |
| 4.540% due 03/01/2030 •  | 1 | 1 |
| 4.568% due 10/15/2032 •  | 3 | 3 |
| 4.640% due 05/01/2026 •  | 3 | 3 |
| 4.649% due 08/25/2031 ~ | 32 | 32 |
| 4.668% due 12/15/2029 ~ | 4 | 4 |
| 4.768% due 12/15/2031 •  | 1 | 1 |
| 4.868% due 08/15/2031 ~ | 4 | 4 |
| 5.000% due 02/15/2036 | 104 | 105 |
| 5.500% due 05/15/2036 | 8 | 8 |
| 5.780% due 08/01/2031 •  | 8 | 8 |
| 6.500% due 07/25/2043 | 294 | 305 |
| 7.000% due 06/15/2029 | 4 | 4 |
| 7.500% due 02/15/2023 - 01/15/2031 | 1 | 1 |
| **Ginnie Mae**  |  |  |
| 1.750% (H15T1Y + 1.500%) due 10/20/2026 ~ | 6 | 5 |
| 1.750% due 12/20/2027 - 10/20/2033 •  | 12 | 12 |
| 2.625% due 01/20/2027 - 09/20/2033 •  | 37 | 35 |
| 2.875% due 05/20/2030 - 05/20/2032 •  | 17 | 17 |
| 3.000% due 05/20/2030 - 07/20/2030 •  | 23 | 23 |
| 4.292% due 02/20/2061 ~ | 198 | 196 |
| 4.592% due 09/20/2063 •  | 938 | 936 |
| **Ginnie Mae, TBA**  |  |  |
| 2.000% due 02/01/2053 | 3000 | 2517 |
| 2.500% due 02/01/2053 | 5800 | 5033 |
| 3.500% due 02/01/2053  | 57300 | 52695 |
| 4.000% due 01/01/2053 | 6200 | 5868 |
| 4.500% due 01/01/2053 | 3400 | 3299 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.000% due 12/01/2026 - 10/01/2046 | 13770 | 12960 |
| 3.500% due 03/01/2040 - 02/01/2050 | 21156 | 19580 |
| 4.000% due 08/01/2038 - 03/01/2049 | 13759 | 13132 |
| 8.500% due 11/01/2025 - 06/01/2030 | 5 | 6 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 2.500% due 01/01/2037 - 02/01/2053 | 30300 | 25752 |
| 3.000% due 01/01/2038 | 54440 | 50994 |
| 3.000% due 02/01/2053  | 199400 | 175197 |
| 3.500% due 02/01/2049  | 163246 | 148328 |
| 3.500% due 02/01/2053 | 448650 | 407913 |
| 4.000% due 01/01/2053 | 108850 | 102098 |
| 4.000% due 02/01/2053 - 03/01/2053 | 218300 | 204826 |
| 4.500% due 02/01/2053 | 46200 | 44476 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.000% due 01/01/2053 - 02/01/2053 | 204600 | 207507 |
| Total U.S. Government Agencies (Cost $1,525,868) |  | 1506877 |
| **U.S. TREASURY OBLIGATIONS 1.4%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 4.000% due 11/15/2042 (b)(g) | 29000 | 28402 |
| 4.000% due 11/15/2052 | 21800 | 21837 |
| **U.S. Treasury Notes**  |  |  |
| 2.375% due 05/15/2029 (i)(k) | 8900 | 8093 |
| Total U.S. Treasury Obligations (Cost $63,003) |  | 58332 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 27.9%**  |  |  |
| **1211 Avenue of the Americas Trust** <br>3.901% due 08/10/2035 | 3700 | 3441 |
| **225 Liberty Street Trust** <br>3.597% due 02/10/2036 | 2000 | 1825 |
| **280 Park Avenue Mortgage Trust** <br>5.117% due 09/15/2034 •  | 1400 | 1366 |
| **Adjustable Rate Mortgage Trust**  |  |  |
| 4.929% due 11/25/2035 •  | 175 | 171 |
| 4.949% due 11/25/2035 ~  | 367 | 355 |
| 4.949% due 08/25/2036 ~  | 32852 | 13084 |
| **American Home Mortgage Assets Trust** <br>6.750% due 11/25/2046 þ | 10053 | 8568 |
| **American Home Mortgage Investment Trust** <br>7.162% due 06/25/2045 •  | 530 | 519 |
| **Angel Oak Mortgage Trust** <br>1.469% due 06/25/2065 ~ | 222 | 199 |
| **Arroyo Mortgage Trust**  |  |  |
| 1.175% due 10/25/2048 ~  | 5714 | 4515 |
| 1.483% due 10/25/2048 ~  | 7512 | 5999 |
| 1.637% due 10/25/2048 ~  | 3810 | 3055 |
| **Ashford Hospitality Trust**  |  |  |
| 5.218% due 04/15/2035 •  | 10224 | 9890 |
| 5.768% due 06/15/2035 •  | 3100 | 2985 |
| 6.168% due 06/15/2035 •  | 2300 | 2189 |
| 7.068% due 06/15/2035 •  | 3200 | 3026 |
| **BAMLL Commercial Mortgage Securities Trust**  |  |  |
| 5.368% due 04/15/2036 ~  | 3500 | 3423 |
| 5.518% due 03/15/2034 •  | 900 | 876 |
| **Banc of America Alternative Loan Trust** <br>6.000% due 04/25/2037 | 1620 | 1278 |
| **Banc of America Funding Trust**  |  |  |
| 2.917% due 10/20/2046 ^~  | 172 | 134 |
| 4.273% due 01/20/2047 ^~  | 5 | 5 |
| 4.286% due 09/20/2046 ^~  | 475 | 450 |
| 4.733% due 10/20/2036 ~  | 2829 | 2106 |
| 5.028% due 04/20/2035 ~  | 210 | 206 |
| 5.468% due 10/26/2036 ~  | 78290 | 71974 |
| **Banc of America Mortgage Trust**  |  |  |
| 3.587% due 06/25/2034 ~  | 115 | 110 |
| 3.648% due 06/25/2035 ~  | 231 | 199 |
| 3.848% due 10/25/2035 ^~  | 230 | 212 |
| 4.122% due 12/25/2033 ~  | 41 | 39 |
| 4.184% due 11/25/2033 ~  | 9 | 9 |
| **BCAP LLC Trust** <br>6.789% due 10/25/2047 •  | 14857 | 12199 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 0.000% due 10/25/2034 ~  | 41 | 27 |
| 2.459% due 04/25/2034 ~  | 43 | 37 |
| 2.634% due 05/25/2034 ~  | 28 | 24 |
| 2.780% due 11/25/2030 ~  | 23 | 22 |
| 2.855% due 02/25/2035 ~  | 138 | 130 |
| 3.141% due 05/25/2033 ~  | 81 | 73 |
| 3.250% due 02/25/2033 ~  | 1 | 1 |
| 3.255% due 05/25/2047 ^~  | 237 | 210 |
| 3.830% due 01/25/2034 ~  | 21 | 20 |
| 3.843% due 02/25/2036 ^~  | 65 | 60 |
| 3.889% due 08/25/2035 ~  | 543 | 490 |
| 4.191% due 11/25/2034 ~  | 98 | 87 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.042% due 04/25/2035 ~  | 20 | 20 |
| 3.383% due 08/25/2036 ^~  | 1579 | 1046 |
| 3.553% due 02/25/2036 ^~  | 2280 | 1594 |
| 3.601% due 11/25/2035 ^~  | 889 | 521 |
| 3.605% due 01/25/2036 ^~  | 1060 | 980 |
| 3.697% due 08/25/2036 ^~  | 1002 | 533 |
| 3.764% due 07/25/2035 ~  | 8266 | 5857 |
| 3.811% due 12/25/2033 ~  | 153 | 145 |
| 6.114% due 09/25/2034 •  | 2668 | 2365 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 4.639% due 07/25/2036 •  | 11435 | 9642 |
| 5.500% due 01/25/2034 þ  | 21 | 18 |
| 5.500% due 06/25/2034 þ  | 209 | 199 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.500% due 12/25/2035  | 65 | 45 |
| 5.750% due 10/25/2033 þ  | 114 | 115 |
| **Bear Stearns Mortgage Securities, Inc.** <br>3.079% due 06/25/2030 ~ | 3 | 3 |
| **Bear Stearns Structured Products, Inc. Trust**  |  |  |
| 3.523% due 01/26/2036 ^~  | 2328 | 1872 |
| 5.219% due 12/26/2046 ^~  | 2890 | 2085 |
| **BellaVista Mortgage Trust**  |  |  |
| 4.839% due 05/20/2045 •  | 1425 | 901 |
| 5.129% due 02/25/2035 ~  | 2203 | 1466 |
| **Benchmark Mortgage Trust** <br>2.994% due 04/15/2054 ~ | 8809 | 6353 |
| **BX Trust** <br>3.202% due 12/09/2041 | 2726 | 2288 |
| **Chase Mortgage Finance Trust** <br>3.941% due 12/25/2035 ^~ | 645 | 545 |
| **Chevy Chase Funding LLC Mortgage-Backed Certificates** <br>3.916% due 01/25/2035 ~ | 407 | 361 |
| **CIM Trust** <br>3.750% due 12/25/2061 ~ | 12457 | 11771 |
| **Citigroup Commercial Mortgage Trust**  |  |  |
| 3.098% due 04/10/2049  | 13936 | 13378 |
| 3.209% due 05/10/2049  | 700 | 652 |
| 5.273% due 12/15/2036 •  | 9200 | 9018 |
| 5.593% due 12/15/2036 ~  | 3153 | 3048 |
| **Citigroup Global Markets Mortgage Securities, Inc.**  |  |  |
| 4.240% due 09/25/2033 ~  | 1 | 1 |
| 4.889% due 05/25/2032 •  | 19 | 17 |
| 8.500% due 05/25/2032  | 72 | 64 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 3.440% due 09/25/2035 •  | 176 | 166 |
| 3.482% due 05/25/2042 ~  | 661 | 594 |
| 3.885% due 08/25/2035 ~  | 97 | 94 |
| 3.950% due 05/25/2035 •  | 4 | 4 |
| 4.519% due 06/25/2036 •  | 600 | 560 |
| 4.719% due 12/25/2034 ~  | 72 | 67 |
| 4.889% due 09/25/2036 •  | 4037 | 3777 |
| 5.189% due 08/25/2035 ^•  | 72 | 69 |
| 5.410% due 10/25/2035 ~  | 11 | 10 |
| 6.470% due 11/25/2035 ~  | 217 | 207 |
| **CitiMortgage Alternative Loan Trust** <br>6.500% due 06/25/2037 ^ | 1003 | 877 |
| **CityLine Commercial Mortgage Trust** <br>2.778% due 11/10/2031 ~ | 800 | 771 |
| **COLT Mortgage Loan Trust**  |  |  |
| 4.301% due 03/25/2067 ~  | 8519 | 8172 |
| 4.550% due 04/25/2067 ~  | 11710 | 11336 |
| **Commercial Mortgage Trust** <br>3.545% due 02/10/2036 | 3800 | 3479 |
| **Community Program Loan Trust** <br>4.500% due 04/01/2029 | 9 | 8 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 2.690% due 08/25/2035 ~  | 2404 | 2189 |
| 2.888% due 03/25/2047 ^•  | 2391 | 1988 |
| 3.048% due 02/25/2036 •  | 506 | 451 |
| 3.220% due 11/25/2035 •  | 91 | 94 |
| 3.298% due 11/25/2047 ^•  | 3422 | 2760 |
| 3.428% due 11/25/2047 ^~  | 6242 | 5036 |
| 4.533% due 02/20/2047 ^•  | 1380 | 1047 |
| 4.548% due 12/20/2046 ^•  | 6346 | 5110 |
| 4.553% due 07/20/2046 ^•  | 508 | 377 |
| 4.709% due 07/25/2036 «•  | 1 | 0 |
| 4.709% due 02/25/2047 •  | 397 | 338 |
| 4.769% due 07/25/2046 •  | 2380 | 1995 |
| 4.769% due 09/25/2046 ^•  | 229 | 211 |
| 4.773% due 03/20/2046 •  | 230 | 179 |
| 4.789% due 06/25/2037 •  | 628 | 550 |
| 4.889% due 05/25/2035 ~  | 82 | 63 |
| 4.889% due 05/25/2035 ^•  | 152 | 133 |
| 4.889% due 06/25/2035 •  | 1420 | 1196 |
| 4.929% due 02/25/2036 •  | 77 | 60 |
| 4.949% due 12/25/2035 ~  | 383 | 336 |
| 4.969% due 02/25/2036 ^~  | 197 | 173 |
| 4.993% due 11/20/2035 •  | 142 | 131 |
| 5.009% due 10/25/2035 •  | 118 | 117 |
| 5.049% due 10/25/2035 •  | 2712 | 1913 |
| 5.500% due 11/25/2035 ^  | 742 | 446 |
| 5.500% due 03/25/2036 ^  | 65 | 29 |
| 5.750% due 03/25/2037 ^•  | 264 | 152 |
| 5.750% due 04/25/2047 ^  | 370 | 213 |
| 5.929% due 11/25/2035 •  | 1831 | 1452 |
| 6.250% due 12/25/2033  | 12 | 12 |
| 6.500% due 11/25/2031  | 22 | 21 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 2.168% due 02/25/2034 ~  | 28 | 27 |
| 2.980% due 04/25/2035 ^~  | 8 | 1 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.041% due 07/19/2033 ~  | 49 | 45 |
| 3.233% due 05/19/2033 ~  | 8 | 7 |
| 3.402% due 06/19/2031 ~  | 1 | 1 |
| 3.671% due 02/20/2035 ~  | 35 | 35 |
| 3.680% due 08/25/2034 ~  | 29 | 28 |
| 4.247% due 02/19/2034 ~  | 7 | 7 |
| 4.267% due 02/19/2034 ~  | 9 | 8 |
| 4.869% due 03/25/2036 ~  | 9512 | 8234 |
| 4.969% due 04/25/2035 •  | 12 | 11 |
| 4.989% due 03/25/2035 •  | 23 | 16 |
| 5.029% due 03/25/2035 •  | 371 | 299 |
| 5.029% due 03/25/2035 ~  | 859 | 765 |
| 5.069% due 02/25/2035 ~  | 47 | 39 |
| 5.089% due 02/25/2035 ~  | 383 | 323 |
| 5.169% due 02/25/2035 ~  | 68 | 56 |
| 5.309% due 09/25/2034 •  | 64 | 52 |
| 5.910% due 02/20/2036 ^~  | 47 | 39 |
| 6.000% due 11/25/2037 ^  | 92 | 51 |
| 6.537% due 02/20/2036 ^•  | 118 | 107 |
| **Credit Suisse First Boston Mortgage Securities Corp.**  |  |  |
| 2.535% due 12/25/2032 ^~  | 27 | 23 |
| 3.187% due 06/25/2033 ~  | 103 | 95 |
| 3.792% due 03/25/2032 ~  | 53 | 48 |
| 3.910% due 12/25/2033 ~  | 49 | 47 |
| 5.539% due 09/25/2034 ^~  | 644 | 685 |
| 5.750% due 04/25/2033  | 6 | 6 |
| 6.250% due 07/25/2035  | 150 | 146 |
| 7.000% due 02/25/2033  | 10 | 10 |
| **Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates**  |  |  |
| 3.139% due 07/25/2033 ~  | 4 | 4 |
| 3.643% due 10/25/2033 ~  | 41 | 39 |
| 5.500% due 11/25/2035  | 149 | 113 |
| **Credit Suisse Mortgage Capital Certificates**  |  |  |
| 2.436% due 02/25/2061 ~  | 5023 | 4630 |
| 3.792% due 02/27/2036 ~  | 3995 | 2850 |
| 5.750% due 12/26/2035  | 180 | 130 |
| **Credit Suisse Mortgage Capital Mortgage-Backed Trust** <br>6.421% due 10/25/2037 ~ | 194 | 120 |
| **Credit Suisse Mortgage Capital Trust**  |  |  |
| 1.926% due 07/27/2061 ~  | 11819 | 10728 |
| 2.215% due 11/25/2061 ~  | 1036 | 983 |
| 2.257% due 08/15/2037  | 1173 | 1049 |
| 2.750% due 01/25/2060  | 9795 | 6842 |
| 2.750% due 01/25/2060 ~  | 5626 | 4019 |
| 2.963% due 12/26/2059 ~  | 635 | 627 |
| 3.250% due 01/25/2060  | 7373 | 4958 |
| 3.250% due 01/25/2060 ~  | 3775 | 2643 |
| 3.518% due 01/25/2060 ~  | 3343 | 2213 |
| 5.668% due 10/15/2037 •  | 1000 | 976 |
| **Deephaven Residential Mortgage Trust** <br>4.300% due 03/25/2067 ~ | 2095 | 1976 |
| **Deutsche ALT-A Securities, Inc. Mortgage Loan Trust** <br>4.749% due 01/25/2047 •  | 4200 | 3746 |
| **Downey Savings & Loan Association Mortgage Loan Trust** <br>2.988% due 04/19/2046 •  | 278 | 241 |
| **Extended Stay America Trust** <br>5.398% due 07/15/2038 ~ | 46369 | 45102 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 3.605% due 03/25/2035 ~  | 96 | 60 |
| 3.858% due 09/25/2034 ~  | 347 | 313 |
| 4.538% due 06/25/2034 ~  | 836 | 779 |
| 4.797% due 07/25/2035 ~  | 3909 | 3519 |
| **GCAT LLC** <br>2.981% due 09/25/2025 þ | 373 | 362 |
| **GMAC Mortgage Corp. Loan Trust** <br>0.000% due 05/25/2035 ~ | 6 | 5 |
| **GreenPoint Mortgage Funding Trust**  |  |  |
| 4.809% due 04/25/2036 ~  | 103 | 86 |
| 4.849% due 06/25/2045 ~  | 8457 | 6100 |
| **GS Mortgage Securities Corp. Trust**  |  |  |
| 3.104% due 05/10/2034  | 15900 | 14390 |
| 3.924% due 10/10/2032  | 13300 | 12795 |
| **GS Mortgage Securities Trust** <br>3.621% due 10/10/2035 | 2000 | 1839 |
| **GSMPS Mortgage Loan Trust**  |  |  |
| 4.739% due 09/25/2035 ~  | 16840 | 14499 |
| 4.739% due 01/25/2036 •  | 20436 | 16903 |
| 7.000% due 06/25/2043  | 350 | 352 |
| 8.000% due 09/19/2027 ~  | 170 | 160 |
| **GSR Mortgage Loan Trust**  |  |  |
| 2.954% due 04/25/2035 ~  | 303 | 273 |
| 3.796% due 01/25/2036 ^~  | 126 | 121 |
| 3.955% due 09/25/2035 ~  | 26 | 25 |
| 4.124% due 04/25/2035 ~  | 304 | 288 |
| 4.739% due 01/25/2034 •  | 3 | 3 |
| 6.000% due 03/25/2032  | 1 | 1 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HarborView** **Mortgage Loan Trust**  |  |  |
| 3.426% due 11/19/2034 ~  | 4 | 4 |
| 3.435% due 06/19/2045 ^~  | 231 | 115 |
| 3.928% due 12/19/2035 ^~  | 3 | 3 |
| 3.979% due 08/19/2034 ~  | 72 | 66 |
| 4.719% due 01/19/2038 •  | 24073 | 21158 |
| 4.719% due 02/19/2046 •  | 211 | 170 |
| 4.749% due 12/19/2036 •  | 986 | 813 |
| 4.779% due 05/19/2035 ~  | 105 | 93 |
| 4.819% due 06/19/2035 •  | 4524 | 4242 |
| 4.819% due 03/19/2036 ^•  | 155 | 135 |
| 4.819% due 12/19/2036 ^~  | 685 | 620 |
| 5.039% due 01/19/2035 ~  | 12 | 11 |
| 5.253% due 06/20/2035 •  | 146 | 130 |
| **Hilton USA Trust**  |  |  |
| 2.828% due 11/05/2035  | 6500 | 6183 |
| 3.719% due 11/05/2038  | 1000 | 907 |
| **HomeBanc Mortgage Trust** <br>5.124% due 10/25/2035 •  | 8766 | 8106 |
| **Impac CMB Trust** <br>5.289% due 10/25/2033 •  | 4 | 4 |
| **Impac Secured Assets Trust** <br>5.089% due 05/25/2036 •  | 13 | 11 |
| **IndyMac Adjustable Rate Mortgage Trust** <br>3.544% due 01/25/2032 ~ | 3 | 3 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 3.122% due 06/25/2036 ~  | 1699 | 1128 |
| 3.129% due 06/25/2036 ~  | 808 | 634 |
| 3.289% due 06/25/2034 ~(a)  | 1547 | 1215 |
| 3.373% due 02/25/2036 ~  | 3485 | 2472 |
| 4.569% due 07/25/2037 ~  | 6293 | 5450 |
| 4.629% due 07/25/2036 •  | 14228 | 12651 |
| 4.689% due 06/25/2037 ^•  | 109 | 44 |
| 4.769% due 09/25/2046 •  | 365 | 316 |
| 4.849% due 07/25/2046 •  | 2125 | 2276 |
| 4.869% due 04/25/2035 •  | 93 | 77 |
| 4.949% due 03/25/2035 ~  | 13 | 13 |
| 5.029% due 02/25/2035 ~  | 611 | 525 |
| 5.029% due 07/25/2045 ~  | 28 | 24 |
| 5.189% due 11/25/2034 •  | 2277 | 1959 |
| 5.609% due 09/25/2034 •  | 69 | 59 |
| **JP Morgan Alternative Loan Trust**  |  |  |
| 4.529% due 06/27/2037 •  | 1226 | 917 |
| 4.869% due 07/25/2036 •  | 16257 | 13676 |
| 4.869% due 11/25/2036 •  | 4389 | 3812 |
| 4.949% due 06/25/2037 •  | 34023 | 14687 |
| 6.632% due 06/27/2037 ~  | 13802 | 6169 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 2.287% due 03/05/2042  | 18200 | 14889 |
| 2.713% due 08/15/2049  | 8347 | 7938 |
| 3.648% due 12/15/2049 ~  | 300 | 280 |
| 4.549% due 07/05/2033  | 23176 | 20636 |
| 5.268% due 02/15/2035 ~  | 5000 | 4856 |
| 5.672% due 07/05/2033 ~  | 3239 | 2970 |
| 5.768% due 12/15/2031 •  | 795 | 758 |
| **JP Morgan Mortgage Trust**  |  |  |
| 2.843% due 06/25/2035 ~  | 56 | 45 |
| 3.416% due 04/25/2035 ~  | 2 | 2 |
| 3.548% due 10/25/2035 ^~  | 30 | 24 |
| 4.233% due 10/25/2035 ~  | 67 | 58 |
| 5.000% due 07/25/2036  | 260 | 163 |
| **Legacy Mortgage Asset Trust**  |  |  |
| 1.650% due 11/25/2060 þ  | 2180 | 1960 |
| 1.750% due 07/25/2061 þ  | 9127 | 8295 |
| 1.875% due 10/25/2068 þ  | 4573 | 4117 |
| 1.892% due 10/25/2066 þ  | 2161 | 1985 |
| 1.991% due 09/25/2060 ~  | 631 | 619 |
| 2.250% due 07/25/2067 þ  | 2491 | 2242 |
| **Lehman Mortgage Trust** <br>5.500% due 02/25/2036 ^ | 212 | 110 |
| **Lehman XS Trust**  |  |  |
| 4.749% due 11/25/2035 •  | 4760 | 4478 |
| 4.849% due 04/25/2046 ^~  | 131 | 157 |
| **Luminent Mortgage Trust** <br>4.809% due 05/25/2036 •  | 2719 | 2344 |
| **Manhattan West Mortgage Trust** <br>2.130% due 09/10/2039 | 3400 | 2908 |
| **MASTR Adjustable Rate Mortgages Trust**  |  |  |
| 3.447% due 07/25/2035 ~  | 10117 | 5682 |
| 4.000% due 12/25/2033 ~  | 4 | 4 |
| 4.689% due 03/25/2047 ~  | 1796 | 1608 |
| 4.719% due 12/25/2034 •  | 235 | 207 |
| 5.489% due 09/25/2037 ~  | 3500 | 1553 |
| **Mellon Residential Funding Corp. Mortgage Pass-Through Certificates** <br>5.018% due 11/15/2031 •  | 31 | 30 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Merrill** **Lynch Mortgage Investors Trust**  |  |  |
| 2.848% due 04/25/2035 ~  | 8 | 7 |
| 3.983% due 08/25/2033 ~  | 45 | 2 |
| 4.138% due 11/25/2035 ~  | 3346 | 3192 |
| 5.009% due 08/25/2028 ~  | 3 | 3 |
| 5.029% due 10/25/2028 ~  | 31 | 29 |
| 5.109% due 08/25/2035 •  | 12000 | 11011 |
| 5.129% due 03/25/2028 ~  | 5 | 5 |
| **MFA Trust**  |  |  |
| 1.947% due 04/25/2065 ~  | 587 | 531 |
| 3.300% due 08/25/2061 ~  | 10926 | 9845 |
| **Mill City Mortgage Loan Trust**  |  |  |
| 1.850% due 11/25/2060 ~  | 8550 | 7217 |
| 2.500% due 11/25/2060 ~  | 5358 | 4348 |
| **Morgan Stanley Capital Trust** <br>5.318% due 05/15/2036 •  | 5347 | 5116 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 3.787% due 10/25/2034 ~  | 20 | 19 |
| 4.649% due 03/25/2036 •  | 1008 | 651 |
| **Morgan Stanley Re-REMIC Trust** <br>3.223% due 06/26/2047 ~ | 12750 | 11419 |
| **NAAC Reperforming Loan REMIC Trust** <br>7.500% due 03/25/2034 ^ | 367 | 319 |
| **New Residential Mortgage Loan Trust**  |  |  |
| 2.750% due 07/25/2059 ~  | 21960 | 20507 |
| 3.250% due 02/25/2059 ~  | 9286 | 8733 |
| 3.500% due 12/25/2057 ~  | 412 | 391 |
| 4.500% due 05/25/2058 ~  | 620 | 583 |
| **New York Mortgage Trust** <br>1.670% due 08/25/2061 þ | 2587 | 2331 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>5.754% due 10/25/2034 þ | 6871 | 6357 |
| **NYO Commercial Mortgage Trust** <br>5.413% due 11/15/2038 ~ | 3865 | 3515 |
| **One Market Plaza Trust** <br>3.614% due 02/10/2032 | 3200 | 3080 |
| **One New York Plaza Trust** <br>5.268% due 01/15/2036 •  | 9700 | 9169 |
| **Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates** <br>5.364% due 07/25/2035 •  | 6091 | 5819 |
| **Preston Ridge Partners Mortgage LLC** <br>3.720% due 02/25/2027 þ | 11691 | 10986 |
| **RBS Acceptance, Inc.** <br>4.048% due 06/25/2024 ~ | 2 | 2 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 2.644% due 10/25/2037 ~  | 850 | 740 |
| 4.070% due 09/25/2034 ~  | 4 | 3 |
| 4.749% due 11/25/2036 •  | 7016 | 4332 |
| 4.769% due 04/25/2046 •  | 1194 | 1029 |
| 4.789% due 10/25/2046 •  | 8160 | 7668 |
| 6.000% due 12/25/2035  | 3254 | 2743 |
| 6.500% due 10/25/2036 ^  | 1408 | 1183 |
| 6.500% due 10/25/2036  | 20701 | 17388 |
| **Residential Asset Securitization Trust**  |  |  |
| 4.739% due 10/25/2048  | 2 | 2 |
| 4.839% due 02/25/2034 ~  | 19 | 18 |
| 4.839% due 04/25/2035 ^•  | 545 | 307 |
| 6.000% due 08/25/2036  | 3952 | 2078 |
| 6.250% due 08/25/2036  | 1767 | 1198 |
| 6.500% due 04/25/2037 ^  | 4331 | 1171 |
| **Residential Funding Mortgage Securities, Inc. Trust**  |  |  |
| 4.137% due 09/25/2035 ~  | 5034 | 3310 |
| 5.289% due 02/25/2036 ^~  | 34 | 28 |
| **RESIMAC Bastille Trust** <br>5.102% due 09/05/2057 •  | 436 | 436 |
| **RiverView HECM Trust** <br>5.140% due 05/25/2047 •  | 9338 | 9025 |
| **SACO Trust** <br>7.000% due 08/25/2036 | 3 | 3 |
| **Sequoia Mortgage Trust**  |  |  |
| 2.976% due 01/20/2047 ^~  | 377 | 254 |
| 3.867% due 02/20/2034 •  | 71 | 62 |
| 3.871% due 08/20/2034 ~  | 55 | 53 |
| 4.151% due 09/20/2032 ~  | 12 | 11 |
| 4.310% due 06/20/2034 ~  | 48 | 43 |
| 4.813% due 02/20/2035 ~  | 57 | 50 |
| 4.973% due 11/20/2034 •  | 18 | 16 |
| 5.039% due 10/19/2026 ~  | 18 | 17 |
| 5.113% due 10/20/2027 ~  | 3 | 3 |
| 5.153% due 10/20/2027 •  | 7 | 7 |
| 5.235% due 05/20/2034 ~  | 198 | 184 |
| 5.713% due 10/20/2027 ~  | 147 | 141 |
| **SFO Commercial Mortgage Trust** <br>5.468% due 05/15/2038 ~ | 1800 | 1655 |
| **SG Commercial Mortgage Securities Trust** <br>2.895% due 10/10/2048 | 2052 | 1968 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Structured** **Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.448% due 01/25/2035 ^•  | 358 | 298 |
| 3.448% due 05/25/2035 ^•  | 383 | 292 |
| 3.780% due 02/25/2034 ~  | 32 | 30 |
| 3.957% due 04/25/2034 ~  | 18 | 17 |
| 4.024% due 02/25/2036 ^~  | 14 | 13 |
| 5.124% due 06/25/2034 •  | 219 | 198 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 4.539% due 02/25/2037 •  | 869 | 764 |
| 4.579% due 09/25/2047 ~  | 754 | 657 |
| 4.929% due 08/25/2035 •  | 4540 | 3900 |
| 4.939% due 07/19/2034 •  | 351 | 314 |
| 4.949% due 02/25/2036 ^•  | 117 | 90 |
| 5.009% due 12/25/2035 ^~  | 6851 | 5445 |
| 5.039% due 03/19/2034 •  | 103 | 94 |
| 5.179% due 10/19/2033 ~  | 41 | 37 |
| 6.750% due 05/02/2030 ~  | 64 | 1 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>7.500% due 10/25/2036 ^ | 1097 | 639 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates** <br>4.682% due 07/25/2032 ~ | 1 | 1 |
| **Tharaldson Hotel Portfolio Trust**  |  |  |
| 5.268% due 11/11/2034 ~  | 11341 | 11035 |
| 5.618% due 11/11/2034 ~  | 21467 | 20418 |
| 5.868% due 11/11/2034 •  | 10693 | 10103 |
| 6.518% due 11/11/2034 •  | 21548 | 20291 |
| **Thornburg Mortgage Securities Trust** <br>2.994% due 09/25/2037 ~ | 2121 | 2045 |
| **Towd Point Mortgage Trust**  |  |  |
| 1.636% due 04/25/2060 ~  | 44413 | 39111 |
| 2.250% due 12/25/2061 ~  | 11876 | 10917 |
| 2.710% due 01/25/2060 ~  | 40714 | 37507 |
| 2.900% due 10/25/2059 ~  | 14081 | 13141 |
| 5.389% due 10/25/2059 ~  | 475 | 471 |
| 6.089% due 10/25/2059 ~  | 11615 | 10749 |
| **Travelers Mortgage Services, Inc.** <br>1.600% due 02/27/2023 | 2 | 2 |
| **UBS Commercial Mortgage Trust** <br>5.168% due 02/15/2032 ~ | 15996 | 15605 |
| **Verus Securitization Trust**  |  |  |
| 0.820% due 10/25/2063 ~  | 1986 | 1782 |
| 1.057% due 10/25/2063 ~  | 54 | 48 |
| 1.262% due 10/25/2063 ~  | 81 | 72 |
| 4.130% due 02/25/2067 þ  | 8050 | 7634 |
| **Wachovia Bank Commercial Mortgage Trust** <br>0.692% due 10/15/2041 ~(a) | 42 | 0 |
| **Wachovia Mortgage Loan Trust LLC** <br>4.182% due 10/20/2035 ~ | 71 | 66 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 1.989% due 11/25/2041 ~  | 3 | 2 |
| 2.335% due 03/25/2033 ~  | 65 | 61 |
| 2.888% due 11/25/2046 ~  | 9562 | 8167 |
| 3.048% due 08/25/2046 ~  | 5037 | 4615 |
| 3.096% due 08/25/2046 •  | 3485 | 2660 |
| 3.104% due 06/25/2034 ~  | 27 | 24 |
| 3.448% due 06/25/2042 ~  | 67 | 60 |
| 3.448% due 08/25/2042 •  | 908 | 837 |
| 4.159% due 08/25/2033 ~  | 6 | 5 |
| 4.343% due 01/25/2033 ~  | 896 | 841 |
| 4.759% due 05/25/2034 ~  | 17875 | 16736 |
| 4.929% due 12/25/2045 •  | 1702 | 1579 |
| 4.969% due 07/25/2045 ~  | 2174 | 1990 |
| 5.129% due 11/25/2034 •  | 102 | 92 |
| 5.169% due 10/25/2044 •  | 272 | 245 |
| 5.229% due 06/25/2044 ~  | 1210 | 1089 |
| 5.369% due 11/25/2034 •  | 263 | 239 |
| 5.369% due 10/25/2045 •  | 954 | 878 |
| 5.389% due 07/25/2044 •  | 12 | 11 |
| **WaMu Mortgage-Backed Pass-Through Certificates** <br>2.653% due 12/19/2039 ~ | 141 | 128 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.798% due 02/25/2047 ^•  | 12323 | 10431 |
| 2.878% due 11/25/2046 •  | 13648 | 10873 |
| 3.555% due 12/25/2032 ~  | 88 | 83 |
| 3.912% due 11/25/2030 ~  | 7 | 7 |
| 5.039% due 10/25/2035 ~  | 359 | 326 |
| 5.750% due 03/25/2033  | 63 | 54 |
| **Wells Fargo Commercial Mortgage Trust**  |  |  |
| 5.370% due 12/13/2031 •  | 21320 | 21040 |
| 5.620% due 12/13/2031 ~  | 17700 | 17413 |
| 6.365% due 12/13/2031 ~  | 1242 | 1201 |
| **Wells Fargo Mortgage Loan Trust** <br>3.555% due 09/27/2036 ~ | 634 | 604 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Wells** **Fargo Mortgage-Backed Securities Trust** <br>4.564% due 12/25/2036 ^~ | 46 | 43 |
| Total Non-Agency Mortgage-Backed Securities (Cost $1,267,208) |  | 1169757 |
| **ASSET-BACKED SECURITIES 62.9%**  |  |  |
| **510 Asset-Backed Trust** <br>2.240% due 06/25/2061 þ | 1925 | 1768 |
| **Aames Mortgage Investment Trust** <br>5.304% due 10/25/2035 •  | 1900 | 1752 |
| **ABFS Mortgage Loan Trust** <br>6.785% due 07/15/2033 þ | 580 | 406 |
| **ACAS CLO Ltd.** <br>5.084% due 10/18/2028 •  | 3141 | 3102 |
| **Accredited Mortgage Loan Trust**  |  |  |
| 4.649% due 09/25/2036 ~  | 775 | 761 |
| 5.053% due 04/25/2035 •  | 1567 | 1561 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.829% due 01/25/2037 ~  | 23727 | 5970 |
| 4.829% due 05/25/2037 •  | 59847 | 10331 |
| 5.289% due 09/25/2033 ~  | 1002 | 950 |
| 5.439% due 12/25/2033 •  | 246 | 236 |
| 5.439% due 07/25/2034 •  | 27 | 26 |
| **AFC Home Equity Loan Trust** <br>4.616% due 06/25/2028 •  | 128 | 125 |
| **Allegro CLO Ltd.** <br>5.244% due 10/16/2031 •  | 5900 | 5789 |
| **American Home Mortgage Investment Trust** <br>4.569% due 08/25/2035 ~ | 4 | 3 |
| **American Money Management Corp. CLO Ltd.** <br>4.991% due 04/14/2029 •  | 2054 | 2042 |
| **Ameriquest Mortgage Securities Trust**  |  |  |
| 4.549% due 10/25/2036 •  | 9634 | 3211 |
| 4.629% due 10/25/2036 ~  | 3196 | 1065 |
| **Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.130% due 06/25/2034 •  | 2056 | 1872 |
| 5.259% due 10/25/2035 •  | 15670 | 15006 |
| 5.304% due 01/25/2035 ~  | 500 | 481 |
| 5.439% due 11/25/2034 ~  | 6613 | 6454 |
| 5.499% due 03/25/2035 •  | 6305 | 6134 |
| **Amortizing Residential Collateral Trust** <br>5.389% due 10/25/2034 •  | 1771 | 1724 |
| **AMSR Trust**  |  |  |
| 1.632% due 07/17/2037  | 47000 | 42575 |
| 2.033% due 07/17/2037  | 11000 | 9930 |
| **Apex Credit CLO Ltd.** <br>5.736% due 09/20/2029 ~ | 5678 | 5586 |
| **Apidos CLO** <br>5.009% due 07/17/2030 ~ | 2000 | 1979 |
| **Arbor Realty Commercial Real Estate Notes Ltd.**  |  |  |
| 5.240% due 12/15/2035 •  | 11500 | 11121 |
| 6.186% due 05/15/2037 ~  | 33000 | 32322 |
| **AREIT Trust** <br>5.710% due 09/14/2036 ~ | 1409 | 1385 |
| **Argent Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.859% due 01/25/2036 •  | 17888 | 17263 |
| 5.124% due 10/25/2035 •  | 433 | 420 |
| 5.154% due 10/25/2035 •  | 37500 | 33238 |
| 5.514% due 05/25/2034 •  | 1231 | 949 |
| **Arivo Acceptance Auto Loan Receivables Trust** <br>1.190% due 01/15/2027 | 3298 | 3188 |
| **Asset-Backed Funding Certificates Trust**  |  |  |
| 4.669% due 11/25/2036 ~  | 8889 | 5773 |
| 4.869% due 09/25/2036 •  | 4060 | 3848 |
| 5.069% due 04/25/2033 ~  | 491 | 452 |
| 5.409% due 03/25/2032 ~  | 246 | 236 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.838% due 06/15/2031 ~  | 111 | 104 |
| 5.094% due 11/25/2035 ~  | 29963 | 29290 |
| 5.668% due 04/15/2033 ~  | 22 | 22 |
| **Atlas Senior Loan Fund Ltd.** <br>5.229% due 01/16/2030 •  | 952 | 942 |
| **BDS Ltd.** <br>5.689% due 12/16/2036 ~ | 11220 | 10886 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 2.906% due 09/25/2034 •  | 32 | 30 |
| 3.644% due 07/25/2036 ~  | 87 | 86 |
| 4.421% due 11/25/2035 ^~  | 893 | 802 |
| 4.529% due 01/25/2037 •  | 4384 | 4179 |
| 4.709% due 08/25/2036 ~  | 350 | 337 |
| 4.939% due 10/25/2036 •  | 9128 | 8255 |
| 4.990% due 03/25/2035 ~  | 3000 | 2799 |
| 5.049% due 10/25/2032 •  | 37 | 36 |
| 5.079% due 12/25/2035 ~  | 6462 | 6428 |
| 5.094% due 01/25/2035 •  | 3538 | 3481 |
| 5.124% due 09/25/2035 ~  | 302 | 300 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.189% due 10/27/2032 ~  | 10 | 10 |
| 5.289% due 12/25/2033 •  | 252 | 238 |
| 5.389% due 10/25/2037 ~  | 5397 | 4735 |
| 5.389% due 11/25/2042 •  | 84 | 82 |
| 5.569% due 06/25/2043 •  | 370 | 354 |
| 5.589% due 10/25/2032 •  | 27 | 26 |
| 5.639% due 08/25/2037 •  | 1484 | 1459 |
| 5.889% due 11/25/2042 •  | 51 | 50 |
| 6.039% due 11/25/2042 ~  | 59 | 72 |
| **BNC Mortgage Loan Trust** <br>4.599% due 07/25/2037 •  | 71568 | 64255 |
| **BPCRE Holder LLC** <br>6.725% due 01/16/2037 •  | 4800 | 4737 |
| **BSPRT Issuer Ltd.** <br>5.638% due 12/15/2038 •  | 24563 | 23612 |
| **BXMT Ltd.** <br>5.322% due 11/15/2037 ~ | 23500 | 23140 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>5.049% due 04/17/2031 •  | 1097 | 1082 |
| **CarNow Auto Receivables Trust** <br>3.440% due 07/15/2024 | 1501 | 1496 |
| **Carrington Mortgage Loan Trust** <br>5.493% due 07/20/2030 •  | 8074 | 7993 |
| **CDC Mortgage Capital Trust**  |  |  |
| 5.009% due 01/25/2033 •  | 5 | 4 |
| 5.439% due 01/25/2033 •  | 15 | 16 |
| **Cedar Funding CLO Ltd.** <br>5.179% due 07/17/2031 •  | 5000 | 4917 |
| **Centex Home Equity Loan Trust**  |  |  |
| 4.118% due 06/25/2034 •  | 277 | 261 |
| 5.409% due 03/25/2035 ~  | 1413 | 1238 |
| 5.424% due 09/25/2034 •  | 47 | 48 |
| 5.660% due 09/25/2034 þ  | 254 | 256 |
| **Chase Funding Trust**  |  |  |
| 4.537% due 09/25/2032  | 1 | 1 |
| 4.969% due 11/25/2034 •  | 2 | 2 |
| 5.289% due 05/25/2033 •  | 1358 | 1309 |
| **Chesapeake Funding LLC**  |  |  |
| 0.870% due 08/15/2032  | 468 | 462 |
| 4.968% due 08/15/2032 •  | 468 | 468 |
| **CIFC Funding Ltd.** <br>5.275% due 10/24/2030 ~ | 2900 | 2871 |
| **CIT Group Home Equity Loan Trust** <br>5.364% due 12/25/2031 ~ | 93 | 92 |
| **CIT Mortgage Loan Trust** <br>5.739% due 10/25/2037 •  | 103 | 102 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 4.469% due 01/25/2037 •  | 609 | 453 |
| 4.529% due 01/25/2037 ~  | 12323 | 11085 |
| 4.709% due 09/25/2036 ~  | 10306 | 9098 |
| 4.794% due 06/25/2037 •  | 24348 | 21882 |
| 4.809% due 08/25/2036 •  | 10113 | 9793 |
| 4.909% due 03/25/2036 ~  | 4570 | 4066 |
| 5.064% due 11/25/2045 •  | 116 | 116 |
| 6.050% due 08/25/2035 þ  | 239 | 217 |
| 6.129% due 08/25/2035 þ  | 1330 | 1188 |
| **CLNC Ltd.** <br>5.689% due 08/20/2035 •  | 8922 | 8768 |
| **College Avenue Student Loans LLC**  |  |  |
| 1.600% due 07/25/2051  | 10220 | 8786 |
| 3.280% due 12/28/2048  | 10879 | 9766 |
| 4.130% due 12/26/2047  | 5803 | 5406 |
| 5.489% due 07/25/2051 •  | 6096 | 5884 |
| 5.589% due 12/26/2047 ~  | 4252 | 4176 |
| **Conseco Finance Securitizations Corp.** <br>8.260% due 12/01/2030 ~ | 22467 | 6333 |
| **CoreVest American Finance Trust** <br>1.358% due 08/15/2053 | 11277 | 9956 |
| **Countrywide Asset-Backed Certificates**  |  |  |
| 5.289% due 05/25/2032 •  | 166 | 159 |
| 5.289% due 06/25/2034 •  | 878 | 854 |
| 5.389% due 09/25/2032 •  | 138 | 133 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 3.542% due 12/25/2035 ~  | 9500 | 9065 |
| 3.779% due 12/25/2034 ~  | 452 | 411 |
| 3.856% due 01/25/2037 ~  | 4203 | 4081 |
| 4.106% due 01/25/2037 •  | 5436 | 5371 |
| 4.529% due 06/25/2035 •  | 17900 | 16174 |
| 4.539% due 09/25/2046 •  | 4420 | 4384 |
| 4.609% due 06/25/2047 ^•  | 18740 | 16293 |
| 4.669% due 03/25/2047 ~  | 916 | 906 |
| 4.679% due 10/25/2047 •  | 39229 | 34270 |
| 4.889% due 04/25/2046 ^•  | 7187 | 6839 |
| 4.929% due 09/25/2036 •  | 107 | 107 |
| 4.974% due 06/25/2036 ~  | 14975 | 14046 |
| 5.079% due 04/25/2036 ~  | 6393 | 6180 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.109% due 05/25/2036 •  | 50400 | 47959 |
| 5.125% due 12/25/2034 ~  | 1997 | 1947 |
| 5.129% due 12/25/2034 •  | 15 | 15 |
| 5.129% due 08/25/2047 •  | 648 | 624 |
| 5.169% due 11/25/2034 •  | 292 | 276 |
| 5.169% due 05/25/2036 ~  | 32300 | 28202 |
| 5.364% due 10/25/2034 ~  | 1118 | 1087 |
| 5.484% due 04/25/2036 ^~  | 5500 | 5149 |
| 5.529% due 08/25/2035 ~  | 11400 | 11074 |
| 6.547% due 05/25/2036 ^þ  | 303 | 243 |
| **Credit Suisse ABS Trust** <br>2.610% due 10/15/2026 | 4188 | 4073 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>4.598% due 01/25/2032 •  | 4 | 4 |
| **Credit-Based Asset Servicing & Securitization LLC**  |  |  |
| 2.801% due 05/25/2036 •  | 5001 | 3290 |
| 3.399% due 12/25/2035 ~  | 1377 | 1287 |
| 6.780% due 05/25/2035 þ  | 221 | 195 |
| **CWHEQ Revolving Home Equity Loan Trust** <br>4.508% due 04/15/2032 •  | 209 | 208 |
| **Dryden Senior Loan Fund** <br>5.099% due 04/15/2029 ~ | 1096 | 1084 |
| **ECMC Group Student Loan Trust**  |  |  |
| 5.389% due 01/27/2070 •  | 9030 | 8973 |
| 5.539% due 11/25/2069 ~  | 7008 | 6799 |
| **Ellington Loan Acquisition Trust** <br>5.889% due 05/25/2037 •  | 2069 | 1937 |
| **EMC Mortgage Loan Trust** <br>5.889% due 08/25/2040 •  | 141 | 135 |
| **Encore Credit Receivables Trust**  |  |  |
| 5.079% due 07/25/2035 •  | 414 | 402 |
| 5.319% due 11/25/2035 •  | 11430 | 10352 |
| **EquiFirst Mortgage Loan Trust** <br>4.250% due 09/25/2033 þ | 125 | 115 |
| **Equity One Mortgage Pass-Through Trust** <br>2.585% due 07/25/2034 •  | 4 | 4 |
| **First Franklin Mortgage Loan Trust**  |  |  |
| 4.499% due 12/25/2037 ~  | 46463 | 42680 |
| 4.509% due 11/25/2036 ~  | 39220 | 35459 |
| 4.639% due 06/25/2036 •  | 2505 | 2460 |
| 4.699% due 11/25/2036 ~  | 25256 | 20625 |
| 4.709% due 06/25/2036 •  | 11860 | 11472 |
| 5.064% due 11/25/2035 •  | 1648 | 1599 |
| 5.139% due 12/25/2035 •  | 18731 | 17704 |
| 6.264% due 07/25/2034 •  | 2771 | 2716 |
| **First NLC Trust**  |  |  |
| 4.529% due 08/25/2037 ~  | 26952 | 12776 |
| 4.669% due 08/25/2037 •  | 1472 | 698 |
| **FirstKey Homes Trust** <br>1.339% due 08/17/2037 | 3071 | 2747 |
| **Flagship Credit Auto Trust** <br>0.700% due 04/15/2025 | 3 | 3 |
| **Fremont Home Loan Trust**  |  |  |
| 4.524% due 10/25/2036 ~  | 33343 | 29433 |
| 4.529% due 01/25/2037 •  | 8377 | 4197 |
| 5.244% due 07/25/2034 ~  | 3706 | 3485 |
| **Gallatin CLO Ltd.** <br>5.169% due 07/15/2031 ~ | 11200 | 11007 |
| **GoldenTree Loan Management U.S. CLO Ltd.** <br>5.153% due 11/20/2030 •  | 1450 | 1432 |
| **Greystone Commercial Real Estate Notes Ltd.** <br>5.498% due 09/15/2037 •  | 1115 | 1098 |
| **GSAMP Trust**  |  |  |
| 3.354% due 10/25/2036 ^~  | 5064 | 52 |
| 4.529% due 12/25/2036 ~  | 837 | 453 |
| 4.839% due 06/25/2036 •  | 12928 | 10434 |
| 5.124% due 09/25/2035 ^~  | 8186 | 7988 |
| **Halseypoint CLO Ltd.**  |  |  |
| 5.343% due 07/20/2031 ~  | 10953 | 10785 |
| 5.865% due 11/30/2032 ~  | 6100 | 6023 |
| **HERA Commercial Mortgage Ltd.** <br>5.389% due 02/18/2038 ~ | 5200 | 5036 |
| **Home Equity Asset Trust**  |  |  |
| 4.989% due 11/25/2032 ~  | 4 | 3 |
| 5.289% due 12/25/2035 ~  | 13097 | 12840 |
| 5.304% due 03/25/2035 •  | 6082 | 5920 |
| 5.309% due 02/25/2033 ~  | 1 | 1 |
| **Home Equity Loan Trust** <br>4.579% due 04/25/2037 ~ | 3184 | 2986 |
| **Home Equity Mortgage Loan Asset-Backed Trust** <br>4.549% due 07/25/2037 ~ | 88 | 48 |
| **Home Equity Mortgage Trust** <br>5.800% due 05/25/2036 ^þ | 38 | 37 |
| **HSI Asset Loan Obligation Trust** <br>4.136% due 12/25/2036 •  | 10 | 3 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HSI** **Asset Securitization Corp. Trust**  |  |  |
| 4.929% due 12/25/2035 ~  | 1536 | 1520 |
| 4.974% (US0001M + 0.585%) due 01/25/2036 ~  | 2033 | 2001 |
| **IMC Home Equity Loan Trust** <br>7.310% due 11/20/2028 | 5 | 5 |
| **IndyMac Home Equity Mortgage Loan Asset-Backed Trust** <br>3.611% due 07/25/2034 •  | 283 | 272 |
| **IXIS Real Estate Capital Trust**  |  |  |
| 4.589% due 01/25/2037 ~  | 11354 | 4492 |
| 4.709% due 08/25/2036 •  | 22528 | 6397 |
| 4.849% due 01/25/2037 •  | 41477 | 16408 |
| **Jamestown CLO Ltd.** <br>5.419% due 04/15/2033 •  | 1000 | 984 |
| **JP Morgan Mortgage Acquisition Corp.**  |  |  |
| 5.019% due 05/25/2035 •  | 21779 | 19451 |
| 5.364% due 12/25/2035 •  | 5000 | 4473 |
| 6.189% due 07/25/2035 •  | 10000 | 8887 |
| **JP Morgan Mortgage Acquisition Trust**  |  |  |
| 4.549% due 08/25/2036 •  | 1 | 1 |
| 4.609% due 08/25/2036 •  | 611 | 430 |
| 4.669% due 03/25/2047 ~  | 1625 | 1492 |
| 4.689% due 03/25/2037 ~  | 3851 | 3608 |
| **KKR CLO Ltd.** <br>5.134% due 07/18/2030 ~ | 943 | 934 |
| **LCCM Trust** <br>5.768% due 11/15/2038 ~ | 15457 | 14850 |
| **LCM LP** <br>5.097% due 07/19/2027 ~ | 14629 | 14471 |
| **LCM Ltd.**  |  |  |
| 5.063% due 07/20/2030 •(g)  | 21072 | 20833 |
| 5.313% due 01/20/2031 ~  | 4580 | 4519 |
| **Lehman XS Trust**  |  |  |
| 4.849% due 03/25/2036 ~  | 7189 | 6856 |
| 4.869% due 03/25/2037 ~  | 12581 | 11334 |
| **Lendingpoint Asset Securitization Trust**  |  |  |
| 1.680% due 06/15/2029  | 2015 | 1993 |
| 4.770% due 10/15/2029  | 1967 | 1922 |
| **LendingPoint Pass-Through Trust** <br>5.700% due 07/15/2029 | 2223 | 2183 |
| **LMREC LLC** <br>5.436% due 04/22/2037 ~ | 3394 | 3363 |
| **LoanCore Issuer Ltd.** <br>4.722% due 07/15/2035 ~ | 656 | 637 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.549% due 11/25/2036 ~  | 13950 | 4346 |
| 4.689% due 05/25/2036 ~  | 14125 | 8220 |
| 4.689% due 09/25/2036 ~  | 1263 | 807 |
| 4.749% due 05/25/2046 ~  | 41996 | 14204 |
| 4.949% due 10/25/2034 •  | 415 | 381 |
| 5.009% due 08/25/2033 •  | 231 | 220 |
| 5.244% due 07/25/2034 ~  | 123 | 117 |
| 5.439% due 10/25/2034 ~  | 32 | 32 |
| 5.439% due 06/25/2035 •  | 11095 | 10745 |
| 5.814% due 03/25/2032 •  | 74 | 73 |
| **Lument Finance Trust, Inc.** <br>5.488% due 06/15/2039 ~ | 1000 | 977 |
| **Madison Park Funding Ltd.** <br>5.328% due 07/27/2031 ~ | 2400 | 2373 |
| **Marathon CLO Ltd.** <br>5.229% due 04/15/2029 •  | 4043 | 4018 |
| **Massachusetts Educational Financing Authority** <br>5.308% due 04/25/2038 •  | 208 | 207 |
| **MASTR Asset-Backed Securities Trust**  |  |  |
| 4.649% due 08/25/2036 •  | 12304 | 6427 |
| 5.139% due 12/25/2034 ^•  | 319 | 304 |
| 5.214% due 10/25/2034 ~  | 533 | 503 |
| **MASTR Specialized Loan Trust** <br>5.239% due 05/25/2037 ~ | 247 | 38 |
| **Merrill Lynch First Franklin Mortgage Loan Trust** <br>7.389% due 10/25/2037 •  | 129 | 121 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.509% due 10/25/2037 ^~  | 6057 | 1017 |
| 4.549% due 09/25/2037 •  | 130 | 29 |
| 4.569% due 06/25/2037 •  | 647 | 175 |
| **MF1 Ltd.**  |  |  |
| 5.176% due 02/19/2037 ~  | 26425 | 25457 |
| 5.419% due 10/16/2036 •  | 25000 | 23984 |
| 5.426% due 07/16/2036 •  | 28718 | 27569 |
| 6.150% due 11/15/2035 ~  | 25407 | 25083 |
| 6.471% due 06/19/2037 •  | 16500 | 16267 |
| **MFA Trust** <br>2.363% due 03/25/2060 þ | 1722 | 1624 |
| **MKS CLO Ltd.** <br>5.243% due 07/20/2030 •(g) | 16847 | 16552 |
| **Morgan Stanley ABS Capital, Inc. Trust**  |  |  |
| 4.449% due 05/25/2037 ~  | 81 | 71 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.489% due 11/25/2036 •  | 8051 | 4020 |
| 4.519% due 01/25/2037 •  | 56275 | 23263 |
| 4.689% due 06/25/2036 •  | 516 | 449 |
| 4.729% due 03/25/2037 ~  | 20111 | 9097 |
| 4.869% due 06/25/2036 ~  | 6466 | 5685 |
| 4.884% due 03/25/2036 •  | 19069 | 16302 |
| 5.049% due 11/25/2035 •  | 7388 | 7015 |
| 5.069% due 08/25/2034 ~  | 827 | 757 |
| 5.274% due 11/25/2034 ~  | 1833 | 1709 |
| 6.389% due 07/25/2037 ^•  | 314 | 248 |
| **Morgan Stanley Capital, Inc. Trust**  |  |  |
| 4.929% due 03/25/2036 •  | 6258 | 5071 |
| 4.944% due 01/25/2036 •  | 7117 | 5318 |
| **Morgan Stanley Dean Witter Capital, Inc. Trust**  |  |  |
| 5.739% due 02/25/2033 •  | 40 | 39 |
| 6.864% due 01/25/2032 ~  | 88 | 129 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 4.709% due 11/25/2036 •  | 567 | 63 |
| 4.909% due 10/25/2036 •  | 1280 | 399 |
| **Mountain View CLO LLC** <br>5.169% due 10/16/2029 •  | 934 | 924 |
| **Mountain View CLO Ltd.** <br>5.199% due 07/15/2031 •  | 1500 | 1471 |
| **Nationstar Home Equity Loan Trust**  |  |  |
| 4.669% due 03/25/2037 ~  | 5632 | 5093 |
| 4.759% due 09/25/2036 ~  | 5483 | 4910 |
| **Navient Private Education Loan Trust**  |  |  |
| 2.650% due 12/15/2028  | 519 | 515 |
| 2.740% due 02/15/2029  | 17 | 17 |
| 3.910% due 12/15/2045  | 2797 | 2708 |
| 5.768% due 07/16/2040 •  | 3385 | 3338 |
| **Navient Private Education Refi Loan Trust**  |  |  |
| 1.310% due 01/15/2069  | 1987 | 1785 |
| 1.330% due 04/15/2069  | 594 | 506 |
| 1.690% due 05/15/2069  | 1386 | 1248 |
| 5.318% due 04/15/2069 ~  | 2137 | 2080 |
| **Navient Student Loan Trust** <br>5.439% due 12/27/2066 •  | 8917 | 8771 |
| **Nelnet Student Loan Trust**  |  |  |
| 5.189% due 09/25/2065 •  | 11396 | 11269 |
| 5.289% due 06/27/2067 ~  | 24652 | 24420 |
| **New Century Home Equity Loan Trust**  |  |  |
| 4.749% due 05/25/2036 •  | 104 | 101 |
| 5.064% due 02/25/2036 •  | 8978 | 8614 |
| **Newcastle Mortgage Securities Trust**  |  |  |
| 4.974% due 03/25/2036 ~  | 7406 | 7402 |
| 5.109% due 03/25/2036 •  | 7700 | 7195 |
| **Nomura Home Equity Loan, Inc. Home Equity Loan Trust** <br>4.884% due 03/25/2036 ~ | 8620 | 7948 |
| **NovaStar Mortgage Funding Trust**  |  |  |
| 4.489% due 03/25/2037 ~  | 11 | 4 |
| 5.124% due 01/25/2036 ~  | 25000 | 23248 |
| 5.169% due 05/25/2033 •  | 1 | 1 |
| **Octagon Investment Partners Ltd.** <br>5.049% due 04/15/2031 •  | 4040 | 3983 |
| **Option One Mortgage Loan Trust**  |  |  |
| 4.929% due 01/25/2036 •  | 25000 | 22148 |
| 5.169% due 02/25/2035 •  | 397 | 375 |
| 5.184% due 05/25/2034 ~  | 11 | 10 |
| **Option One Mortgage Loan Trust Asset-Backed Certificates** <br>4.853% due 08/20/2030 ~ | 1 | 1 |
| **OSD CLO Ltd.** <br>4.949% due 04/17/2031 ~ | 10760 | 10585 |
| **OZLM Ltd.**  |  |  |
| 5.089% due 07/17/2029 ~  | 1261 | 1247 |
| 5.099% due 04/15/2031 ~  | 4600 | 4486 |
| 5.493% due 07/20/2030 •  | 1888 | 1862 |
| 5.674% due 05/16/2030 ~  | 8613 | 8482 |
| **Pagaya AI Debt Selection Trust**  |  |  |
| 1.530% due 08/15/2029  | 15159 | 14624 |
| 2.030% due 10/15/2029  | 4303 | 4133 |
| 4.970% due 01/15/2030  | 3229 | 3182 |
| **Palmer Square Loan Funding Ltd.**  |  |  |
| 4.879% due 10/15/2029 ~  | 3878 | 3822 |
| 5.043% due 07/20/2029 ~  | 1973 | 1951 |
| 5.475% due 02/20/2028 •  | 548 | 544 |
| **Park Place Securities, Inc. Asset-Backed Pass-Through Certificates** <br>5.439% due 10/25/2034 •  | 7098 | 6949 |
| **Popular ABS Mortgage Pass-Through Trust** <br>3.375% due 01/25/2036 ^þ | 184 | 160 |
| **PRET LLC**  |  |  |
| 1.744% due 07/25/2051 þ  | 3549 | 3222 |
| 1.843% due 09/25/2051 þ  | 32261 | 28913 |
| 1.868% due 07/25/2051 þ  | 4498 | 3993 |
| 2.240% due 09/27/2060 þ  | 1025 | 939 |
| 2.487% due 07/25/2051 þ  | 7372 | 6846 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 2.487% due 10/25/2051 ~  | 1321 | 1162 |
| 2.487% due 10/25/2051 þ  | 14576 | 13233 |
| 3.721% due 07/25/2051 þ  | 17111 | 16051 |
| 5.240% due 04/25/2052 þ  | 12294 | 11871 |
| 5.927% due 06/25/2052 þ  | 22113 | 21385 |
| **RAAC Trust**  |  |  |
| 4.899% due 02/25/2036 ~  | 100 | 99 |
| 8.139% due 12/25/2035 ~  | 1447 | 1434 |
| **Rad CLO Ltd.** <br>5.445% due 07/24/2032 ~ | 14400 | 14054 |
| **Regatta Funding Ltd.** <br>5.329% due 10/17/2030 ~ | 3400 | 3363 |
| **Renaissance Home Equity Loan Trust**  |  |  |
| 4.934% due 08/25/2035 þ  | 33 | 32 |
| 5.489% due 09/25/2037 •  | 600 | 285 |
| 5.589% due 08/25/2032 •  | 599 | 562 |
| 5.629% due 03/25/2033 •  | 9 | 9 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 4.929% due 02/25/2036 •  | 13559 | 12737 |
| 4.989% due 02/25/2036 ~  | 1696 | 1671 |
| 4.989% due 05/25/2036 ^•  | 13054 | 11796 |
| 5.169% due 09/25/2035 ~  | 2450 | 2275 |
| **Residential Asset Securities Corp. Trust**  |  |  |
| 4.649% due 07/25/2036 •  | 1449 | 1440 |
| 4.659% due 08/25/2036 •  | 5651 | 5451 |
| 4.969% due 06/25/2033 •  | 552 | 493 |
| 5.034% due 03/25/2035 •  | 23 | 23 |
| 5.034% due 01/25/2036 •  | 10295 | 9845 |
| 6.309% due 07/25/2035 ~  | 1645 | 1577 |
| 6.339% due 11/25/2034 •  | 2156 | 2021 |
| **SACO Trust**  |  |  |
| 4.749% due 05/25/2036 ~  | 127 | 150 |
| 5.139% due 07/25/2035 •  | 53 | 48 |
| **Salomon Mortgage Loan Trust** <br>4.798% due 11/25/2033 •  | 29 | 29 |
| **Saxon Asset Securities Trust**  |  |  |
| 2.047% due 03/25/2035 •  | 564 | 513 |
| 3.452% due 08/25/2035 •  | 4207 | 3982 |
| 4.629% due 05/25/2047 •  | 6550 | 4670 |
| 4.699% due 09/25/2037 •  | 921 | 866 |
| 6.139% due 12/25/2037 •  | 8890 | 8207 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.489% due 10/25/2036 ^•  | 4602 | 1639 |
| 4.569% due 05/25/2037 ~  | 23387 | 17688 |
| 4.689% due 12/25/2036 •  | 19936 | 12362 |
| 4.889% due 03/25/2036 ~  | 3578 | 2225 |
| 5.169% due 02/25/2034 •  | 1697 | 1634 |
| **SG Mortgage Securities Trust** <br>4.649% due 07/25/2036 •  | 49947 | 23516 |
| **Shenton Aircraft Investment Ltd.** <br>4.750% due 10/15/2042 | 7891 | 6136 |
| **SLC Student Loan Trust**  |  |  |
| 5.574% due 11/25/2042 ~  | 1047 | 1040 |
| 5.669% due 03/15/2023  | 3061 | 2972 |
| **SLM Private Credit Student Loan Trust** <br>5.099% due 06/15/2039 ~ | 1600 | 1519 |
| **SLM Student Loan Trust**  |  |  |
| 5.258% due 07/25/2023 ~  | 9218 | 9129 |
| 5.858% due 04/25/2023 ~  | 11587 | 11563 |
| 5.969% due 12/15/2033 •  | 16218 | 15916 |
| 6.058% due 07/25/2023 ~  | 6079 | 6021 |
| **SMB Private Education Loan Trust**  |  |  |
| 1.600% due 09/15/2054  | 21183 | 18835 |
| 2.880% due 09/15/2034  | 1071 | 1027 |
| 3.940% due 02/16/2055  | 18503 | 17120 |
| 4.436% due 09/15/2054 ~  | 8972 | 8623 |
| 4.668% due 02/16/2055 •  | 22312 | 21655 |
| **SoFi Professional Loan Program LLC**  |  |  |
| 2.370% due 11/16/2048  | 20430 | 18986 |
| 2.630% due 07/25/2040  | 3867 | 3796 |
| 2.740% due 05/25/2040  | 2158 | 2131 |
| **SoFi Professional Loan Program Trust** <br>1.950% due 02/15/2046 | 1411 | 1265 |
| **Sound Point CLO Ltd.**  |  |  |
| 5.223% due 10/20/2030 •  | 15300 | 15093 |
| 5.225% due 01/23/2029 ~  | 933 | 922 |
| 5.293% due 10/20/2028 •(g)  | 15638 | 15514 |
| 5.315% due 01/23/2029 •  | 3015 | 2999 |
| 5.338% due 07/25/2030 •(g)  | 30500 | 30043 |
| 5.344% due 04/18/2031 •  | 10400 | 10177 |
| 5.363% due 01/21/2031 •  | 7000 | 6835 |
| 5.427% due 07/26/2031 •  | 8300 | 8081 |
| **Soundview Home Loan Trust**  |  |  |
| 4.469% due 06/25/2037 ~  | 3704 | 2653 |
| 4.559% due 07/25/2037 ~  | 29791 | 25104 |
| 4.559% due 08/25/2037 •  | 24472 | 21031 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.639% due 08/25/2037 •  | 3000 | 2521 |
| 5.094% due 11/25/2035 •  | 2148 | 2089 |
| 5.289% due 10/25/2037 •  | 68149 | 53215 |
| 5.389% due 09/25/2037 •  | 8235 | 5763 |
| 5.689% due 11/25/2033 •  | 13 | 13 |
| **Specialty Underwriting & Residential Finance Trust**  |  |  |
| 4.619% (US0001M + 0.230%) due 04/25/2037 ~  | 5175 | 3690 |
| 4.669% due 06/25/2037 •  | 31904 | 28538 |
| 4.689% due 06/25/2037 •  | 18986 | 11274 |
| 5.289% due 06/25/2036 ~  | 12965 | 12210 |
| **Structured Asset Investment Loan Trust**  |  |  |
| 5.154% due 08/25/2035 ~  | 796 | 754 |
| 5.364% due 09/25/2034 ~  | 1 | 1 |
| 5.664% due 12/25/2034 •  | 813 | 779 |
| **Structured Asset Securities Corp. Mortgage Loan Trust**  |  |  |
| 4.544% due 09/25/2036 ~  | 7058 | 4462 |
| 4.549% due 01/25/2037 ~  | 5603 | 5335 |
| 4.649% due 05/25/2047 •  | 13716 | 10640 |
| 5.514% due 04/25/2035 ~  | 884 | 870 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates** <br>3.375% due 08/25/2031 | 12 | 12 |
| **TCI-Symphony CLO Ltd.** <br>4.961% due 10/13/2032 •  | 13200 | 12910 |
| **TCW CLO Ltd.** <br>5.328% due 04/25/2031 ~(g) | 21700 | 21369 |
| **Theorem Funding Trust** <br>1.850% due 02/15/2028 | 2339 | 2282 |
| **THL Credit Wind River CLO Ltd.**  |  |  |
| 5.159% due 04/15/2031 ~  | 12300 | 11970 |
| 5.219% due 01/15/2031 ~  | 1260 | 1242 |
| **TICP CLO Ltd.** <br>5.157% due 04/26/2028 ~ | 2161 | 2151 |
| **Towd Point Mortgage Trust** <br>3.000% due 11/25/2058 ~ | 1309 | 1285 |
| **TPG Real Estate Finance Issuer Ltd.** <br>5.458% due 02/15/2039 ~ | 6500 | 6350 |
| **Tricon American Homes**  |  |  |
| 1.499% due 07/17/2038  | 26446 | 22979 |
| 2.049% due 07/17/2038  | 5280 | 4642 |
| 2.249% due 07/17/2038  | 3300 | 2874 |
| **TruPS Financials Note Securitization Ltd.** <br>6.316% due 09/20/2039 •  | 15428 | 14657 |
| **UCFC Manufactured Housing Contract** <br>7.900% due 01/15/2028 ^~ | 86 | 76 |
| **Upstart Pass-Through Trust Series** <br>3.800% due 04/20/2030 | 4450 | 4138 |
| **Upstart Securitization Trust**  |  |  |
| 3.120% due 03/20/2032  | 8443 | 8139 |
| 4.370% due 05/20/2032  | 10482 | 10251 |
| **Upstart Structured Pass-Through Trust** <br>4.250% due 06/17/2030 | 1269 | 1215 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 07/15/2027 •  | 815 | 817 |
| 5.139% due 07/15/2031 ~  | 2000 | 1972 |
| 5.143% due 10/20/2028 •  | 5872 | 5800 |
| 5.263% due 04/20/2029 ~  | 2079 | 2058 |
| 5.293% due 07/20/2030 ~  | 9693 | 9470 |
| 5.343% due 01/20/2029 •  | 13819 | 13659 |
| 5.575% due 07/30/2032 •  | 12900 | 12504 |
| 5.596% due 09/07/2030 •  | 10900 | 10701 |
| 5.766% due 08/28/2029 •  | 13350 | 13213 |
| **Vibrant CLO Ltd.** <br>5.696% due 06/20/2029 •  | 785 | 775 |
| **VMC Finance LLC** <br>5.426% due 09/15/2036 ~ | 127 | 123 |
| **Voya CLO Ltd.**  |  |  |
| 5.079% due 10/15/2030 •  | 8000 | 7858 |
| 5.139% due 04/15/2031 •  | 5000 | 4927 |
| **Washington Mutual Asset-Backed Certificates Trust** <br>3.816% due 10/25/2036 •  | 81 | 31 |
| **Wellfleet CLO Ltd.**  |  |  |
| 5.133% due 07/20/2029 •  | 874 | 862 |
| 5.153% due 04/20/2028 •  | 3133 | 3111 |
| 5.303% due 10/20/2029 •  | 3950 | 3908 |
| **Wells Fargo Home Equity Asset-Backed Securities Trust**  |  |  |
| 4.734% due 01/25/2037 •  | 6397 | 6124 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.964% due 02/25/2035 ~  | 38 | 38 |
| Total Asset-Backed Securities (Cost $2,795,040) |  | 2637356 |
| **SHORT-TERM INSTRUMENTS 1.0%**  |  |  |
| **REPURCHASE AGREEMENTS (f) 0.7%** |  | 28600 |
| **U.S. TREASURY BILLS 0.3%**  |  |  |
| 3.932% due 01/10/2023 - 03/23/2023 (c)(d)(k) | 14544 | 14457 |
| Total Short-Term Instruments (Cost $43,059) |  | 43057 |
| Total Investments in Securities (Cost $5,716,082) |  | 5437224 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 6.7%**  |  |  |
| **SHORT-TERM INSTRUMENTS 6.7%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 6.7%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 29012428 | 281885 |
| Total Short-Term Instruments (Cost $281,794) |  | 281885 |
| Total Investments in Affiliates (Cost $281,794) |  | 281885 |
| Total Investments 136.3% (Cost $5,997,876) |  | $5719109 |
| **Financial Derivative Instruments (h)(j) (0.1)**%(Cost or Premiums, net $9,787) |  | (5651) |
| Other Assets and Liabilities, net (36.2)% |  | (1517120) |
| Net Assets 100.0% |  | $4196338 |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| þ | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(c)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(d)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(e)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(f)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BOS | 01/03/2023 | &nbsp;&nbsp; U.S. Treasury Bonds 2.875% due 05/15/2049 | &nbsp;&nbsp; U.S. Treasury Bonds 2.875% due 05/15/2049 | &nbsp;&nbsp; U.S. Treasury Bonds 2.875% due 05/15/2049 | &nbsp;&nbsp; U.S. Treasury Bonds 2.875% due 05/15/2049 | (29089) | 28600 | 28600 | $28613 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  | **(29089)** | **28600** | **28600** | $**28613** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| JML | JML | 4.252%  | 10/06/2022 | 01/03/2023 | 01/03/2023 | (42253) | (42253) | (42697) | (42697) |
|  |  | 4.252  | 11/21/2022 | 01/03/2023 | 01/03/2023 | (37863) | (37863) | (38056) | (38056) |
|  |  | 4.252  | 12/06/2022 | 01/03/2023 | 01/03/2023 | (13399) | (13399) | (13443) | (13443) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  | **(94196)** | **(94196)** |
| **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Sale-Buyback<br>Transactions | Payable for<br>Sale-Buyback<br>Transactions |
| BPG | BPG | (1.500)%  | 12/30/2022 | 01/03/2023 | 01/03/2023 | (28745) | (28745) | (28741) | (28741) |
| **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** |  |  |  |  |  |  | **(28741)** | **(28741)** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Maturity<br>Date | Principal<br>Amount | Proceeds | Proceeds | Proceeds | Payable for<br>Short Sales |
| U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% | U.S. Government Agencies (3.6)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 01/01/2053 | $ | $ | (153819) | (153819) | $(151235) |
| **Total Short Sales (3.6)%** | **Total Short Sales (3.6)%** | **Total Short Sales (3.6)%** | **Total Short Sales (3.6)%** |  |  | **$** | **(153819)** | **(153819)** | $**(151235)** |
| **(g)** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $130,950 and cash of $1,208 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(35161) at a weighted average interest rate of 4.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| **(h)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** |
| **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** |
| Description | Description | Description | Description | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date | # of<br>Contracts | # of<br>Contracts | Notional Amount | Notional Amount | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | $96.500 | 96.500 | 12/15/2023 | 75 | 75 | $188 | 188 | (70) | (70) | $ | (228) |
| Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | 98.000 | 98.000 | 12/15/2023 | 75 | 75 | 188 | 188 | (61) | (61) |  | (6) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(131)** | **(131)** | **$** | **(234)** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount |  | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 03/2023 | 809 | 809 | 165908 | 165908 |  | $109 | 109 | 109 | 0 | 0 | 0 | (126) |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 257 | 257 | 34518 | 34518 |  | (880) | (880) | (880) | 0 | 0 | 0 | (129) |
|  |  |  |  |  |  |  |  |  | $ | (771) | (771) | $ | 0 | 0 | $ | (255) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount |  | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2024 | 188 | 188 | (44871) | (44871) |  | $869 | 869 | 869 | 21 | 21 | 21 | 0 |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2025 | 97 | 97 | (23440) | (23440) |  | 266 | 266 | 266 | 0 | 0 | 0 | (9) |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2026 | 104 | 104 | (25173) | (25173) |  | 267 | 267 | 267 | 0 | 0 | 0 | (10) |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2024 | 122 | 122 | (29350) | (29350) |  | 416 | 416 | 416 | 3 | 3 | 3 | 0 |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2025 | 99 | 99 | (23956) | (23956) |  | 258 | 258 | 258 | 0 | 0 | 0 | (10) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2024 | 163 | 163 | (39063) | (39063) |  | 651 | 651 | 651 | 12 | 12 | 12 | 0 |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2025 | 89 | 89 | (21526) | (21526) |  | 237 | 237 | 237 | 0 | 0 | 0 | (9) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2026 | 99 | 99 | (23960) | (23960) |  | 250 | 250 | 250 | 0 | 0 | 0 | (10) |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2024 | 114 | 114 | (27503) | (27503) |  | 338 | 338 | 338 | 0 | 0 | 0 | (4) |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2025 | 81 | 81 | (19605) | (19605) |  | 207 | 207 | 207 | 0 | 0 | 0 | (8) |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 172 | 172 | (18564) | (18564) |  | (3) | (3) | (3) | 15 | 15 | 15 | 0 |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 4553 | 4553 | (511288) | (511288) |  | 2960 | 2960 | 2960 | 640 | 640 | 640 | 0 |
| U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | 03/2023 | 760 | 760 | (95261) | (95261) |  | (13) | (13) | (13) | 119 | 119 | 119 | 0 |
|  |  |  |  |  |  |  |  |  | $ | 6703 | 6703 | $ | 810 | 810 | $ | (60) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **$** | **5932** | **5932** | **$** | **810** | **810** | **$** | **(315)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive<sup>(1)</sup> | 2.450% | Annual | 12/20/2024 | 12/20/2024 | $197400 | 197400 | $(14) | (14) | $ | 2953 | 2953 | 2939 | 2939 | $101 | 101 | $0 |
| Receive<sup>(1)</sup> | 2.350 | Annual | 01/17/2025 | 01/17/2025 | 98200 | 98200 | 11 | 11 |  | 1444 | 1444 | 1455 | 1455 | 36 | 36 | 0 |
| Receive<sup>(1)</sup> | 2.300 | Annual | 01/17/2026 | 01/17/2026 | 15800 | 15800 | 7 | 7 |  | 370 | 370 | 377 | 377 | 15 | 15 | 0 |
| Pay | 1.573 | Annual | 02/28/2027 | 02/28/2027 | 6800 | 6800 | (12) | (12) |  | (599) | (599) | (611) | (611) | 0 | 0 | (13) |
| Pay | 1.928 | Annual | 03/25/2027 | 03/25/2027 | 11500 | 11500 | (24) | (24) |  | (843) | (843) | (867) | (867) | 0 | 0 | (22) |
| Pay | 1.620 | Annual | 04/18/2027 | 04/18/2027 | 10700 | 10700 | (34) | (34) |  | (945) | (945) | (979) | (979) | 0 | 0 | (21) |
| Pay | 1.783 | Annual | 04/22/2027 | 04/22/2027 | 8000 | 8000 | (28) | (28) |  | (646) | (646) | (674) | (674) | 0 | 0 | (16) |
| Pay | 1.788 | Annual | 05/03/2027 | 05/03/2027 | 8100 | 8100 | (28) | (28) |  | (659) | (659) | (687) | (687) | 0 | 0 | (16) |
| Receive | 1.000 | Annual | 06/15/2027 | 06/15/2027 | 12600 | 12600 | 501 | 501 |  | 1059 | 1059 | 1560 | 1560 | 26 | 26 | 0 |
| Pay | 2.250 | Annual | 06/17/2027 | 06/17/2027 | 17800 | 17800 | (71) | (71) |  | (1110) | (1110) | (1181) | (1181) | 0 | 0 | (36) |
| Pay | 2.370 | Annual | 06/21/2027 | 06/21/2027 | 12300 | 12300 | (50) | (50) |  | (700) | (700) | (750) | (750) | 0 | 0 | (25) |
| Pay | 2.605 | Annual | 06/28/2027 | 06/28/2027 | 12100 | 12100 | (61) | (61) |  | (550) | (550) | (611) | (611) | 0 | 0 | (24) |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.850 | Annual | 08/30/2027 | 11700 | (58) | (425) | (483) | 0 | (24) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/07/2027 | 5900 | (30) | (161) | (191) | 0 | (12) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.450 | Annual | 10/04/2027 | 16870 | 0 | 1014 | 1014 | 35 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.900 | Annual | 10/04/2027 | 48200 | (351) | (1559) | (1910) | 0 | (99) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.955 | Annual | 10/04/2027 | 10700 | (75) | (322) | (397) | 0 | (22) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/13/2027 | 10700 | (25) | 30 | 5 | 22 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.618 | Annual | 02/09/2029 | 102000 | (244) | (11322) | (11566) | 0 | (250) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.888 | Annual | 03/22/2029 | 8500 | (23) | (824) | (847) | 0 | (21) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.185 | Annual | 04/21/2029 | 7400 | (19) | (597) | (616) | 0 | (18) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | 06/15/2029 | 4100 | (165) | (495) | (660) | 0 | (11) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2029 | 6660 | (716) | (45) | (761) | 0 | (13) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/08/2029 | 5900 | (37) | (176) | (213) | 0 | (15) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.100 | Annual | 09/09/2029 | 5900 | (37) | (158) | (195) | 0 | (15) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.650 | Annual | 02/08/2032 | 6400 | (24) | (933) | (957) | 0 | (23) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.770 | Annual | 02/14/2032 | 5700 | (20) | (776) | (796) | 0 | (20) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.730 | Annual | 02/24/2032 | 6100 | (23) | (855) | (878) | 0 | (22) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.765 | Annual | 03/16/2032 | 2100 | (10) | (289) | (299) | 0 | (7) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.817 | Annual | 04/05/2032 | 23300 | (115) | (3136) | (3251) | 0 | (82) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.872 | Annual | 04/06/2032 | 11800 | (61) | (1531) | (1592) | 0 | (41) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.250 | Annual | 06/15/2032 | 71100 | (5283) | (8419) | (13702) | 0 | (210) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2032 | 51180 | (2503) | (5176) | (7679) | 0 | (168) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.680 | Annual | 07/11/2032 | 1100 | (15) | (64) | (79) | 0 | (4) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.690 | Annual | 07/11/2032 | 1100 | (15) | (63) | (78) | 0 | (4) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/06/2032 | 8900 | (74) | (307) | (381) | 0 | (31) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.610 | Annual | 12/12/2032 | 4300 | (20) | 3 | (17) | 15 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.350 | Annual | 12/14/2032 | 2100 | (9) | 46 | 37 | 7 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2052 | 174500 | 20937 | 27847 | 48784 | 714 | 0 |
| Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 06/15/2023 | 42500 | 434 | 207 | 641 | 19 | 0 |
| Pay | 3-Month USD-LIBOR | 1.270 | Semi-Annual | 11/04/2023 | 363700 | (2647) | (10813) | (13460) | 0 | (209) |
| Pay | 3-Month USD-LIBOR | 1.000 | Semi-Annual | 01/26/2024 | 10800 | (12) | (486) | (498) | 0 | (7) |
| Pay<sup>(1)</sup> | 3-Month USD-LIBOR | 1.700 | Semi-Annual | 03/06/2024 | 99000 | (123) | (3151) | (3274) | 0 | (47) |
| Receive | 3-Month USD-LIBOR | 0.928 | Semi-Annual | 05/06/2026 | 10100 | (14) | 1108 | 1094 | 15 | 0 |
| Pay | 3-Month USD-LIBOR | 0.500 | Semi-Annual | 06/16/2026 | 69500 | (2078) | (6339) | (8417) | 0 | (122) |
| Receive | 3-Month USD-LIBOR | 3.000 | Semi-Annual | 06/19/2026 | 176400 | (6234) | 13333 | 7099 | 280 | 0 |
| Receive | 3-Month USD-LIBOR | 1.250 | Semi-Annual | 12/15/2026 | 2500 | (54) | 321 | 267 | 4 | 0 |
| Receive | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 12/21/2026 | 105400 | 6093 | 3190 | 9283 | 171 | 0 |
| Pay | 3-Month USD-LIBOR | 1.380 | Semi-Annual | 01/04/2027 | 14500 | (33) | (1469) | (1502) | 0 | (21) |
| Pay | 3-Month USD-LIBOR | 1.570 | Semi-Annual | 01/12/2027 | 5300 | (11) | (496) | (507) | 0 | (7) |
| Pay | 3-Month USD-LIBOR | 1.425 | Semi-Annual | 01/18/2027 | 10200 | (26) | (1016) | (1042) | 0 | (14) |
| Pay | 3-Month USD-LIBOR | 1.418 | Semi-Annual | 01/20/2027 | 5000 | (8) | (504) | (512) | 0 | (7) |
| Pay | 3-Month USD-LIBOR | 1.580 | Semi-Annual | 02/16/2027 | 10400 | (28) | (968) | (996) | 0 | (16) |
| Receive | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 06/21/2027 | 13600 | 1179 | 258 | 1437 | 25 | 0 |
| Pay | 3-Month USD-LIBOR | 0.500 | Semi-Annual | 06/16/2028 | 62849 | (3257) | (7547) | (10804) | 0 | (124) |
| Pay | 3-Month USD-LIBOR | 1.265 | Semi-Annual | 09/28/2028 | 8100 | (16) | (1080) | (1096) | 0 | (16) |
| Pay | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 12/15/2028 | 35446 | 706 | (5363) | (4657) | 0 | (75) |
| Receive | 3-Month USD-LIBOR | 1.379 | Semi-Annual | 12/22/2028 | 7800 | (18) | 1090 | 1072 | 16 | 0 |
| Pay | 3-Month USD-LIBOR | 1.518 | Semi-Annual | 01/20/2029 | 3000 | (7) | (389) | (396) | 0 | (5) |
| Pay | 3-Month USD-LIBOR | 1.630 | Semi-Annual | 01/26/2029 | 5100 | (13) | (626) | (639) | 0 | (9) |
| Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 12/10/2029 | 14800 | (25) | 1761 | 1736 | 33 | 0 |
| Receive | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 12/18/2029 | 11800 | 367 | 1373 | 1740 | 27 | 0 |
| Receive | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 01/15/2030 | 49400 | (587) | 7120 | 6533 | 98 | 0 |
| Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 02/12/2030 | 28600 | (505) | 3830 | 3325 | 61 | 0 |
| Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 03/10/2030 | 14100 | (13) | 1639 | 1626 | 32 | 0 |
| Receive | 3-Month USD-LIBOR | 1.250 | Semi-Annual | 06/17/2030 | 320180 | 13563 | 41369 | 54932 | 730 | 0 |
| Receive | 3-Month USD-LIBOR | 1.000 | Semi-Annual | 12/16/2030 | 9102 | 40 | 1761 | 1801 | 21 | 0 |
| Pay | 3-Month USD-LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 44422 | (3914) | (6112) | (10026) | 0 | (105) |
| Receive | 3-Month USD-LIBOR | 1.405 | Semi-Annual | 09/07/2031 | 10100 | (49) | 1862 | 1813 | 24 | 0 |
| Pay | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 10/05/2031 | 6100 | (18) | (1081) | (1099) | 0 | (14) |
| Pay | 3-Month USD-LIBOR | 1.535 | Semi-Annual | 10/15/2031 | 6100 | (14) | (1070) | (1084) | 0 | (13) |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.535 | Semi-Annual | Semi-Annual | 10/22/2031 | 4000 | 4000 | (11) | (11) |  | (701) | (701) |  | (712) | (712) |  | 0 |  | (9) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.545 | Semi-Annual | Semi-Annual | 10/26/2031 | 4000 | 4000 | (11) | (11) |  | (698) | (698) |  | (709) | (709) |  | 0 |  | (9) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.735 | Semi-Annual | Semi-Annual | 01/12/2032 | 4000 | 4000 | (13) | (13) |  | (633) | (633) |  | (646) | (646) |  | 0 |  | (9) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.655 | Semi-Annual | Semi-Annual | 01/24/2032 | 5000 | 5000 | (17) | (17) |  | (826) | (826) |  | (843) | (843) |  | 0 |  | (11) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.768 | Semi-Annual | Semi-Annual | 02/02/2032 | 3800 | 3800 | (14) | (14) |  | (590) | (590) |  | (604) | (604) |  | 0 |  | (7) |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.988 | Semi-Annual | Semi-Annual | 02/09/2032 | 1900 | 1900 | 12 | 12 |  | 257 | 257 |  | 269 | 269 |  | 4 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 2.008 | Semi-Annual | Semi-Annual | 02/09/2032 | 3100 | 3100 | 14 | 14 |  | 420 | 420 |  | 434 | 434 |  | 7 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.524 | Semi-Annual | Semi-Annual | 01/19/2051 | 23500 | 23500 | (187) | (187) |  | (8336) | (8336) |  | (8523) | (8523) |  | 0 |  | (106) |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.250 | Semi-Annual | Semi-Annual | 06/16/2051 | 65800 | 65800 | 13168 | 13168 |  | 14033 | 14033 |  | 27201 | 27201 |  | 368 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.967 | Semi-Annual | Semi-Annual | 06/23/2051 | 22900 | 22900 | (172) | (172) |  | 6669 | 6669 |  | 6497 | 6497 |  | 114 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.968 | Semi-Annual | Semi-Annual | 06/23/2051 | 69000 | 69000 | (522) | (522) |  | 20086 | 20086 |  | 19564 | 19564 |  | 344 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.815 | Semi-Annual | Semi-Annual | 01/24/2052 | 1000 | 1000 | (8) | (8) |  | (304) | (304) |  | (312) | (312) |  | 0 |  | (5) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.867 | Semi-Annual | Semi-Annual | 01/26/2052 | 1000 | 1000 | (9) | (9) |  | (293) | (293) |  | (302) | (302) |  | 0 |  | (5) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **26090** | **26090** | $**51877** | **51877** | **51877** | $**77967** | **77967** | **77967** | $**3364** | **3364** | $**(2257)** | **(2257)** |
| **(i)** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $7,897 and cash of $37,316 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(j)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Counterparty | Counterparty | Description | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| BOA | BOA | BOA | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.150% | 2.150% | 12/01/2023 | 12/01/2023 | 12/01/2023 | 7700 | 7700 | 7700 | $(24) | (24) | (24) | (5) | (5) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.650 | 3.650 | 12/01/2023 | 12/01/2023 | 12/01/2023 | 7700 | 7700 | 7700 | (24) | (24) | (24) | (58) | (58) |
|  |  |  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.000 | 3.000 | 01/19/2023 | 01/19/2023 | 01/19/2023 | 2500 | 2500 | 2500 | (11) | (11) | (11) | (1) | (1) |
|  |  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.500 | 3.500 | 01/19/2023 | 01/19/2023 | 01/19/2023 | 2500 | 2500 | 2500 | (11) | (11) | (11) | (30) | (30) |
| BPS | BPS | BPS | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.150 | 3.150 | 01/09/2023 | 01/09/2023 | 01/09/2023 | 4900 | 4900 | 4900 | (17) | (17) | (17) | 0 | 0 |
|  |  |  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.650 | 3.650 | 01/09/2023 | 01/09/2023 | 01/09/2023 | 4900 | 4900 | 4900 | (17) | (17) | (17) | (30) | (30) |
|  |  |  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.270 | 3.270 | 01/23/2023 | 01/23/2023 | 01/23/2023 | 2400 | 2400 | 2400 | (6) | (6) | (6) | (2) | (2) |
|  |  |  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.770 | 3.770 | 01/23/2023 | 01/23/2023 | 01/23/2023 | 2400 | 2400 | 2400 | (6) | (6) | (6) | (12) | (12) |
| BRC | BRC | BRC | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.200 | 3.200 | 01/12/2023 | 01/12/2023 | 01/12/2023 | 5100 | 5100 | 5100 | (16) | (16) | (16) | (1) | (1) |
|  |  |  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.800 | 3.800 | 01/12/2023 | 01/12/2023 | 01/12/2023 | 5100 | 5100 | 5100 | (16) | (16) | (16) | (17) | (17) |
|  |  |  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.000 | 3.000 | 01/19/2023 | 01/19/2023 | 01/19/2023 | 2500 | 2500 | 2500 | (11) | (11) | (11) | (1) | (1) |
|  |  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.500 | 3.500 | 01/19/2023 | 01/19/2023 | 01/19/2023 | 2500 | 2500 | 2500 | (11) | (11) | (11) | (30) | (30) |
| CBK | CBK | CBK | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.690 | 2.690 | 04/02/2024 | 04/02/2024 | 04/02/2024 | 2100 | 2100 | 2100 | (17) | (17) | (17) | (6) | (6) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.690 | 2.690 | 04/02/2024 | 04/02/2024 | 04/02/2024 | 2100 | 2100 | 2100 | (16) | (16) | (16) | (26) | (26) |
|  |  |  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.150 | 3.150 | 01/09/2023 | 01/09/2023 | 01/09/2023 | 5100 | 5100 | 5100 | (18) | (18) | (18) | 0 | 0 |
|  |  |  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.650 | 3.650 | 01/09/2023 | 01/09/2023 | 01/09/2023 | 5100 | 5100 | 5100 | (18) | (18) | (18) | (31) | (31) |
| DUB | DUB | DUB | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.920 | 2.920 | 10/13/2023 | 10/13/2023 | 10/13/2023 | 4900 | 4900 | 4900 | (30) | (30) | (30) | (5) | (5) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.920 | 2.920 | 10/13/2023 | 10/13/2023 | 10/13/2023 | 4900 | 4900 | 4900 | (30) | (30) | (30) | (67) | (67) |
| FAR | FAR | FAR | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.688 | 2.688 | 04/02/2024 | 04/02/2024 | 04/02/2024 | 4200 | 4200 | 4200 | (33) | (33) | (33) | (12) | (12) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.688 | 2.688 | 04/02/2024 | 04/02/2024 | 04/02/2024 | 4200 | 4200 | 4200 | (33) | (33) | (33) | (53) | (53) |
|  |  |  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.781 | 2.781 | 04/05/2024 | 04/05/2024 | 04/05/2024 | 4800 | 4800 | 4800 | (37) | (37) | (37) | (16) | (16) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.781 | 2.781 | 04/05/2024 | 04/05/2024 | 04/05/2024 | 4800 | 4800 | 4800 | (37) | (37) | (37) | (57) | (57) |
| GLM | GLM | GLM | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.920 | 2.920 | 10/13/2023 | 10/13/2023 | 10/13/2023 | 4900 | 4900 | 4900 | (30) | (30) | (30) | (5) | (5) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.920 | 2.920 | 10/13/2023 | 10/13/2023 | 10/13/2023 | 4900 | 4900 | 4900 | (30) | (30) | (30) | (67) | (67) |
|  |  |  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.018 | 3.018 | 10/20/2023 | 10/20/2023 | 10/20/2023 | 3900 | 3900 | 3900 | (25) | (25) | (25) | (5) | (5) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.018 | 3.018 | 10/20/2023 | 10/20/2023 | 10/20/2023 | 3900 | 3900 | 3900 | (25) | (25) | (25) | (50) | (50) |
|  |  |  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.140 | 3.140 | 10/23/2023 | 10/23/2023 | 10/23/2023 | 3900 | 3900 | 3900 | (27) | (27) | (27) | (6) | (6) |
|  |  |  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.140 | 3.140 | 10/23/2023 | 10/23/2023 | 10/23/2023 | 3900 | 3900 | 3900 | (27) | (27) | (27) | (46) | (46) |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.190 | 3.190 | 10/23/2023 | 3900 | (27) | (6) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.190 | 3.190 | 10/23/2023 | 3900 | (27) | (45) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.225 | 3.225 | 10/23/2023 | 3900 | (27) | (6) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.225 | 3.225 | 10/23/2023 | 3900 | (27) | (44) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.973 | 2.973 | 10/25/2023 | 4100 | (28) | (5) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.973 | 2.973 | 10/25/2023 | 4100 | (28) | (54) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.841 | 2.841 | 10/27/2023 | 4200 | (29) | (5) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.841 | 2.841 | 10/27/2023 | 4200 | (29) | (59) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.088 | 3.088 | 11/03/2023 | 4200 | (30) | (6) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.088 | 3.088 | 11/03/2023 | 4200 | (30) | (50) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.910 | 2.910 | 11/10/2023 | 3900 | (26) | (5) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.910 | 2.910 | 11/10/2023 | 3900 | (26) | (51) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.250 | 2.250 | 11/17/2023 | 5100 | (19) | (4) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.750 | 3.750 | 11/17/2023 | 5100 | (19) | (36) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.150 | 2.150 | 11/20/2023 | 5100 | (18) | (3) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.650 | 3.650 | 11/20/2023 | 5100 | (18) | (40) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.250 | 2.250 | 12/07/2023 | 7700 | (24) | (6) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.750 | 3.750 | 12/07/2023 | 7700 | (24) | (53) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.697 | 2.697 | 04/02/2024 | 8300 | (65) | (25) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.697 | 2.697 | 04/02/2024 | 8300 | (65) | (104) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.721 | 2.721 | 04/08/2024 | 4100 | (31) | (13) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.721 | 2.721 | 04/08/2024 | 4100 | (31) | (50) |
| JPM | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.200 | 3.200 | 01/12/2023 | 3700 | (11) | 0 |
|  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.800 | 3.800 | 01/12/2023 | 3700 | (11) | (12) |
| MYC | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.993 | 2.993 | 10/11/2023 | 4100 | (28) | (5) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.993 | 2.993 | 10/11/2023 | 4100 | (28) | (56) |
| NGF | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.020 | 3.020 | 11/06/2023 | 3900 | (25) | (6) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.020 | 3.020 | 11/06/2023 | 3900 | (25) | (48) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.845 | 2.845 | 11/13/2023 | 2500 | (16) | (3) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.845 | 2.845 | 11/13/2023 | 2500 | (16) | (34) |
|  |  |  |  |  |  |  |  | $(1411) | $(1473) |
| **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** |
| Counterparty | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Market<br>Value |
| BOA | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | $99.813 | 99.813 | 02/06/2023 | 02/06/2023 | 1100 | $(7) | $(7) |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 100.000 | 100.000 | 02/06/2023 | 02/06/2023 | 800 | (5) | (6) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 101.813 | 101.813 | 02/06/2023 | 02/06/2023 | 1100 | (7) | (2) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 102.000 | 102.000 | 02/06/2023 | 02/06/2023 | 800 | (5) | (1) |
| JPM | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.000 | 97.000 | 03/06/2023 | 03/06/2023 | 2900 | (25) | (45) |
|  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.156 | 97.156 | 03/06/2023 | 03/06/2023 | 2900 | (25) | (47) |
|  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.000 | 99.000 | 03/06/2023 | 03/06/2023 | 2900 | (21) | (7) |
|  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.156 | 99.156 | 03/06/2023 | 03/06/2023 | 2900 | (21) | (6) |
|  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 98.766 | 98.766 | 03/06/2023 | 03/06/2023 | 2800 | (24) | (38) |
|  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 100.766 | 100.766 | 03/06/2023 | 03/06/2023 | 2800 | (20) | (9) |
| SAL | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 97.578 | 97.578 | 03/06/2023 | 03/06/2023 | 1500 | (12) | (14) |
|  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 99.578 | 99.578 | 03/06/2023 | 03/06/2023 | 1500 | (11) | (11) |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.750 | 99.750 | 02/06/2023 | 02/06/2023 | 9000 | (64) | (55) |

---

------

<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  |  | 100.000 | 100.000 | 02/06/2023 | 02/06/2023 |  | 2500 |  | (17) | (17) | (18) | (18) | (18) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  |  | 101.750 | 101.750 | 02/06/2023 | 02/06/2023 |  | 9000 |  | (52) | (52) | (21) | (21) | (21) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  |  | 102.000 | 102.000 | 02/06/2023 | 02/06/2023 |  | 2500 |  | (15) | (15) | (4) | (4) | (4) |
|  |  |  |  |  |  |  |  |  |  |  |  |  | $ | (331) | (331) | $(291) | (291) | (291) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(1742)** | **(1742)** | $**(1764)** | **(1764)** | **(1764)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Counterparty | Reference Obligation | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| BOA | BOA | Long Beach Mortgage Loan Trust 6.584% due 07/25/2033  | 6.250% | 6.250% | Monthly | Monthly | 07/25/2033 | 07/25/2033 | 07/25/2033 | 07/25/2033 | 68 | $0 | 0 | 0 | $0 | 0 | 0 | $0 |
| GST | GST | Structured Asset Investment Loan Trust 5.034% due 11/25/2034  | 1.950 | 1.950 | Monthly | Monthly | 11/25/2034 | 11/25/2034 | 11/25/2034 | 11/25/2034 | 1 | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | $0 | 0 | 0 | $0 | 0 | 0 | $0 |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Counterparty | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset |  | Liability |
| BOA | BOA | ABX.HE.AAA.6-2 Index  | ABX.HE.AAA.6-2 Index  | 0.110% | 0.110% | Monthly | Monthly | 05/25/2046 | 05/25/2046 | $ | $10428 | (2809) | (2809) | 2706 | 0 | 0 | $ | (103) |
| DUB | DUB | ABX.HE.AA.6-2 Index  | ABX.HE.AA.6-2 Index  | 0.170 | 0.170 | Monthly | Monthly | 05/25/2046 | 05/25/2046 |  | 116 | (47) | (47) | 20 | 0 | 0 |  | (27) |
|  |  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500 | 0.500 | Monthly | Monthly | 05/11/2063 | 05/11/2063 |  | 98 | (2) | (2) | 2 | 0 | 0 |  | 0 |
| FBF | FBF | ABX.HE.AA.7-1 Index  | ABX.HE.AA.7-1 Index  | 0.150 | 0.150 | Monthly | Monthly | 08/25/2037 | 08/25/2037 |  | 534 | (453) | (453) | 353 | 0 | 0 |  | (100) |
|  |  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | 0.500 | 0.500 | Monthly | Monthly | 08/17/2061 | 08/17/2061 |  | 4000 | (28) | (28) | (4) | 0 | 0 |  | (32) |
| GST | GST | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 11/17/2059 |  | 105850 | (2203) | (2203) | 1970 | 0 | 0 |  | (233) |
|  |  | CMBX.NA.AAA.11 Index  | CMBX.NA.AAA.11 Index  | 0.500 | 0.500 | Monthly | Monthly | 11/18/2054 | 11/18/2054 |  | 30000 | 232 | 232 | (373) | 0 | 0 |  | (141) |
|  |  | CMBX.NA.AAA.13 Index  | CMBX.NA.AAA.13 Index  | 0.500 | 0.500 | Monthly | Monthly | 12/16/2072 | 12/16/2072 |  | 160600 | (84) | (84) | (1932) | 0 | 0 |  | (2016) |
|  |  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500 | 0.500 | Monthly | Monthly | 05/11/2063 | 05/11/2063 |  | 1 | 0 | 0 | 0 | 0 | 0 |  | 0 |
|  |  | CMBX.NA.AAA.8 Index  | CMBX.NA.AAA.8 Index  | 0.500 | 0.500 | Monthly | Monthly | 10/17/2057 | 10/17/2057 |  | 1650 | (71) | (71) | 72 | 1 | 1 |  | 0 |
|  |  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | 0.500 | 0.500 | Monthly | Monthly | 09/17/2058 | 09/17/2058 |  | 81272 | (5037) | (5037) | 5011 | 0 | 0 |  | (26) |
| JPS | JPS | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 11/17/2059 |  | 3900 | (73) | (73) | 64 | 0 | 0 |  | (9) |
|  |  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500 | 0.500 | Monthly | Monthly | 05/11/2063 | 05/11/2063 |  | 91 | (2) | (2) | 2 | 0 | 0 |  | 0 |
|  |  | CMBX.NA.AAA.8 Index  | CMBX.NA.AAA.8 Index  | 0.500 | 0.500 | Monthly | Monthly | 10/17/2057 | 10/17/2057 |  | 71400 | (3276) | (3276) | 3340 | 64 | 64 |  | 0 |
| MYC | MYC | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | 0.500 | 0.500 | Monthly | Monthly | 08/17/2061 | 08/17/2061 |  | 13500 | (38) | (38) | (69) | 0 | 0 |  | (107) |
|  |  | CMBX.NA.AAA.13 Index  | CMBX.NA.AAA.13 Index  | 0.500 | 0.500 | Monthly | Monthly | 12/16/2072 | 12/16/2072 |  | 11900 | (5) | (5) | (144) | 0 | 0 |  | (149) |
|  |  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500 | 0.500 | Monthly | Monthly | 05/11/2063 | 05/11/2063 |  | 20 | (1) | (1) | 1 | 0 | 0 |  | 0 |
|  |  | CMBX.NA.AAA.7 Index  | CMBX.NA.AAA.7 Index  | 0.500 | 0.500 | Monthly | Monthly | 01/17/2047 | 01/17/2047 |  | 2960 | (103) | (103) | 106 | 3 | 3 |  | 0 |
| SAL | SAL | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 11/17/2059 |  | 61500 | (588) | (588) | 453 | 0 | 0 |  | (135) |
|  |  | CMBX.NA.AAA.11 Index  | CMBX.NA.AAA.11 Index  | 0.500 | 0.500 | Monthly | Monthly | 11/18/2054 | 11/18/2054 |  | 55100 | 197 | 197 | (457) | 0 | 0 |  | (260) |
|  |  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | 0.500 | 0.500 | Monthly | Monthly | 08/17/2061 | 08/17/2061 |  | 131000 | (339) | (339) | (704) | 0 | 0 |  | (1043) |
|  |  | CMBX.NA.AAA.13 Index  | CMBX.NA.AAA.13 Index  | 0.500 | 0.500 | Monthly | Monthly | 12/16/2072 | 12/16/2072 |  | 75000 | 300 | 300 | (1242) | 0 | 0 |  | (942) |
|  |  |  |  |  |  |  |  |  |  |  |  | (14430) | (14430) | 9175 | 68 | 68 | $ | (5323) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(14430)** | **(14430)** | **9175** | **68** | **68** | **$** | **(5323)** |
| **(k)** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $6,450 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |

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<br> Schedule of Investments PIMCO ABS and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | $0 | $18731 | $0 | $18731 |
| Industrials | 0 | 3114 | 0 | 3114 |
| U.S. Government Agencies | 0 | 1506877 | 0 | 1506877 |
| U.S. Treasury Obligations | 0 | 58332 | 0 | 58332 |
| Non-Agency Mortgage-Backed Securities | 0 | 1169757 | 0 | 1169757 |
| Asset-Backed Securities | 0 | 2637356 | 0 | 2637356 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | 0 | 28600 | 0 | 28600 |
| U.S. Treasury Bills | 0 | 14457 | 0 | 14457 |
|  | $0 | $5437224 | $0 | $5437224 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | $281885 | $0 | $0 | $281885 |
| Total Investments | $281885 | $5437224 | $0 | $5719109 |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |
| U.S. Government Agencies | $0 | $(151235) | $0 | $(151235) |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 0 | 4174 | 0 | 4174 |
| Over the counter | 0 | 68 | 0 | 68 |
|  | $0 | $4242 | $0 | $4242 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (2806) | 0 | (2806) |
| Over the counter | 0 | (7087) | 0 | (7087) |
|  | $0 | $(9893) | $0 | $(9893) |
| Total Financial Derivative Instruments | $0 | $(5651) | $0 | $(5651) |
| Totals | $281885 | $5280338 | $0 | $5562223 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 128.8% ¤** |  |  |
| **CORPORATE BONDS & NOTES 7.5%**  |  |  |
| **BANKING & FINANCE 5.3%**  |  |  |
| **AerCap Ireland Capital DAC**  |  |  |
| 3.300% due 01/30/2032  | $2000 | $1568 |
| 4.125% due 07/03/2023  | 804 | 798 |
| **American Tower Corp.**  |  |  |
| 1.000% due 01/15/2032  | 496 | 391 |
| 3.800% due 08/15/2029  | $836 | 760 |
| **Aviation Capital Group LLC**  |  |  |
| 4.125% due 08/01/2025  | 1200 | 1121 |
| 4.375% due 01/30/2024  | 12 | 12 |
| 5.500% due 12/15/2024  | 1660 | 1632 |
| **Avolon Holdings Funding Ltd.**  |  |  |
| 2.125% due 02/21/2026  | 400 | 345 |
| 2.528% due 11/18/2027  | 2755 | 2206 |
| 4.250% due 04/15/2026  | 700 | 635 |
| **Banco Bilbao Vizcaya Argentaria SA** <br>5.875% due 09/24/2023 •(h)(i) | 2400 | 2475 |
| **Banco BTG Pactual SA** <br>4.500% due 01/10/2025 | $954 | 921 |
| **Bank of Ireland Group PLC** <br>7.500% due 05/19/2025 •(h) | 300 | 313 |
| **Barclays PLC**  |  |  |
| 2.000% due 02/07/2028 • | 400 | 425 |
| 5.875% due 09/15/2024 •(h) | 500 | 555 |
| 6.024% (US0003M + 1.380%) due 05/16/2024 ~  | $924 | 924 |
| 7.125% due 06/15/2025 •(h)(i)  | 2273 | 2605 |
| 7.250% due 03/15/2023 •(h)(i)  | 2400 | 2875 |
| 7.750% due 09/15/2023 •(h)(i)  | $3900 | 3817 |
| **BNP Paribas SA** <br>1.323% due 01/13/2027 •  | 3500 | 3063 |
| **Credit Suisse Group AG**  |  |  |
| 3.091% due 05/14/2032 • | 1700 | 1178 |
| 4.194% due 04/01/2031 • | 250 | 195 |
| 5.250% due 02/11/2027 •(h)(i)  | 2400 | 1568 |
| 6.250% due 12/18/2024 •(h)(i)  | 2800 | 2207 |
| 6.375% due 08/21/2026 •(h)(i)  | 1006 | 724 |
| 7.250% due 09/12/2025 •(h)(i)  | 200 | 144 |
| 7.500% due 07/17/2023 •(h)(i)  | 2260 | 1812 |
| 7.500% due 12/11/2023 •(h)(i)  | 5500 | 4818 |
| **Crown Castle, Inc.** <br>4.300% due 02/15/2029 | 351 | 332 |
| **Deutsche Bank AG**  |  |  |
| 1.375% due 09/03/2026 • | 1900 | 1856 |
| 1.625% due 01/20/2027  | 3600 | 3404 |
| 1.750% due 01/17/2028  | 300 | 275 |
| 1.750% due 11/19/2030 • | 1700 | 1433 |
| 2.129% due 11/24/2026 •(j)  | $4400 | 3886 |
| 3.035% due 05/28/2032 •(j)  | 3100 | 2357 |
| 3.547% due 09/18/2031 • | 4633 | 3724 |
| 3.961% due 11/26/2025 • | 1993 | 1906 |
| 5.966% (US0003M + 1.230%) due 02/27/2023 ~  | 2766 | 2767 |
| **Equinix, Inc.** <br>1.550% due 03/15/2028 | 222 | 184 |
| **Erste Group Bank AG** <br>6.500% due 04/15/2024 •(h)(i) | 3400 | 3561 |
| **Fairfax Financial Holdings Ltd.** <br>2.750% due 03/29/2028 | 3003 | 2813 |
| **Ford Motor Credit Co. LLC**  |  |  |
| 3.375% due 11/13/2025  | $1300 | 1178 |
| 4.063% due 11/01/2024  | 600 | 577 |
| 4.687% due 06/09/2025  | 200 | 191 |
| 5.125% due 06/16/2025  | 1500 | 1445 |
| 5.584% due 03/18/2024  | 600 | 593 |
| **General Motors Financial Co., Inc.**  |  |  |
| 4.738% (US0003M + 0.990%) due 01/05/2023 ~  | 6 | 6 |
| 5.360% (SOFRRATE + 1.200%) due 11/17/2023 ~  | 200 | 200 |
| **Goldman Sachs Group, Inc.** <br>6.162% (SOFRRATE + 1.850%) due 03/15/2028 ~ | 10500 | 10347 |
| **GSPA Monetization Trust** <br>6.422% due 10/09/2029 | 198 | 190 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Healthcare** **Realty Holdings LP** <br>2.400% due 03/15/2030 | 241 | 189 |
| **HSBC Holdings PLC**  |  |  |
| 2.357% due 08/18/2031 • | 431 | 330 |
| 2.848% due 06/04/2031 • | 300 | 240 |
| 3.000% due 05/29/2030 • | 505 | 508 |
| 4.000% due 03/09/2026 •(h)  | $1500 | 1301 |
| 4.292% due 09/12/2026 • | 309 | 296 |
| 4.950% due 03/31/2030  | 200 | 191 |
| **ING Groep NV**  |  |  |
| 3.875% due 05/16/2027 •(h)(i)  | 600 | 440 |
| 5.750% due 11/16/2026 •(h)(i)  | 500 | 444 |
| **Intesa Sanpaolo SpA**  |  |  |
| 5.500% due 03/01/2028 •(h)(i)  | 600 | 532 |
| 7.750% due 01/11/2027 •(h)(i)  | 1650 | 1708 |
| **JPMorgan Chase & Co.** <br>2.182% due 06/01/2028 •  | $862 | 755 |
| **Lloyds Banking Group PLC**  |  |  |
| 4.550% due 08/16/2028  | 266 | 251 |
| 7.500% due 09/27/2025 •(h)(i)  | 2515 | 2433 |
| 7.875% due 06/27/2029 •(h)  | 600 | 695 |
| **NatWest Group PLC**  |  |  |
| 4.269% due 03/22/2025 • | $378 | 370 |
| 4.519% due 06/25/2024 • | 388 | 384 |
| 4.600% due 06/28/2031 •(h)(i)  | 600 | 431 |
| 5.076% due 01/27/2030 • | 222 | 210 |
| 6.274% (US0003M + 1.550%) due 06/25/2024 ~  | 3314 | 3315 |
| 8.000% due 08/10/2025 •(h)(i)  | 258 | 254 |
| **Nissan Motor Acceptance Co. LLC** <br>2.750% due 03/09/2028 | 5700 | 4626 |
| **Nomura Holdings, Inc.** <br>2.679% due 07/16/2030 | 409 | 328 |
| **Nordea Kredit Realkreditaktieselskab** <br>1.500% due 10/01/2053 | 31317 | 3479 |
| **Nykredit Realkredit AS** <br>1.500% due 10/01/2053 | 166965 | 18539 |
| **Park Intermediate Holdings LLC** <br>4.875% due 05/15/2029 | $1500 | 1272 |
| **Realkredit Danmark AS** <br>1.500% due 10/01/2053 | 42202 | 4686 |
| **Societe Generale SA** <br>7.875% due 12/18/2023 •(h)(i) | $5400 | 5358 |
| **Standard Chartered PLC**  |  |  |
| 1.456% due 01/14/2027 • | 4300 | 3734 |
| 7.750% due 04/02/2023 •(h)  | 700 | 696 |
| **Sumitomo Mitsui Financial Group, Inc.** <br>2.130% due 07/08/2030 | 991 | 785 |
| **Toyota Motor Credit Corp.** <br>5.050% due 12/11/2023 •  | 5200 | 5209 |
| **UBS Group AG** <br>4.375% due 02/10/2031 •(h) | 1600 | 1220 |
| **VICI Properties LP** <br>4.750% due 02/15/2028 | 1650 | 1568 |
| **Wells Fargo & Co.**  |  |  |
| 1.741% due 05/04/2030 • | 2100 | 1908 |
| 2.879% due 10/30/2030 • | $1600 | 1362 |
| 3.000% due 04/22/2026  | 366 | 343 |
| **Weyerhaeuser Co.** <br>4.000% due 04/15/2030 | 354 | 323 |
| **WP Carey, Inc.** <br>4.250% due 10/01/2026 | 55 | 53 |
|  |  | 154078 |
| **INDUSTRIALS 1.8%**  |  |  |
| **Aker BP ASA** <br>2.875% due 01/15/2026 | 450 | 416 |
| **AngloGold Ashanti Holdings PLC** <br>3.375% due 11/01/2028 | 4300 | 3756 |
| **Boeing Co.** <br>3.250% due 02/01/2035 | 500 | 382 |
| **Broadcom, Inc.**  |  |  |
| 2.450% due 02/15/2031  | 1500 | 1185 |
| 3.137% due 11/15/2035  | 2300 | 1698 |
| 3.187% due 11/15/2036  | 2136 | 1541 |
| 3.419% due 04/15/2033  | 1200 | 965 |
| 3.500% due 02/15/2041  | 1600 | 1142 |
| 3.750% due 02/15/2051  | 500 | 347 |
| 4.150% due 11/15/2030  | 282 | 253 |
| **CCO Holdings LLC** <br>4.500% due 06/01/2033 | 900 | 692 |
| **Charter Communications Operating LLC**  |  |  |
| 3.900% due 06/01/2052  | 4000 | 2526 |
| 6.090% (US0003M + 1.650%) due 02/01/2024 ~  | 1032 | 1037 |
| **Cheniere Corpus Christi Holdings LLC** <br>3.700% due 11/15/2029 | 1300 | 1178 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **CVS** **Health Corp.**  |  |  |
| 4.125% due 04/01/2040  | 18 | 15 |
| 4.250% due 04/01/2050  | 196 | 157 |
| **CVS Pass-Through Trust** <br>6.943% due 01/10/2030 | 32 | 33 |
| **DAE Funding LLC**  |  |  |
| 1.625% due 02/15/2024  | 2100 | 1994 |
| 2.625% due 03/20/2025  | 1800 | 1686 |
| 3.375% due 03/20/2028  | 1800 | 1600 |
| **Dell International LLC**  |  |  |
| 4.900% due 10/01/2026  | 22 | 22 |
| 5.300% due 10/01/2029  | 65 | 64 |
| **Energy Transfer LP** <br>4.250% due 03/15/2023 | 107 | 107 |
| **Equinor ASA**  |  |  |
| 3.125% due 04/06/2030  | 18 | 16 |
| 3.700% due 04/06/2050  | 18 | 14 |
| **Expedia Group, Inc.**  |  |  |
| 2.950% due 03/15/2031  | 189 | 152 |
| 6.250% due 05/01/2025  | 1823 | 1840 |
| **IHO Verwaltungs GmbH (3.625% Cash or 4.375% PIK)** <br>3.625% due 05/15/2025 (c) | 1481 | 1451 |
| **IHO Verwaltungs GmbH (6.000% Cash or 6.750% PIK)** <br>6.000% due 05/15/2027 (c) | $867 | 763 |
| **Imperial Brands Finance PLC**  |  |  |
| 3.125% due 07/26/2024  | 330 | 316 |
| 3.500% due 07/26/2026  | 1527 | 1402 |
| **INEOS Finance PLC** <br>2.125% due 11/15/2025 | 2835 | 2758 |
| **Micron Technology, Inc.**  |  |  |
| 4.185% due 02/15/2027  | $36 | 34 |
| 5.327% due 02/06/2029  | 187 | 180 |
| **MPLX LP** <br>2.650% due 08/15/2030 | 1100 | 894 |
| **Nakilat, Inc.** <br>6.067% due 12/31/2033 | 453 | 468 |
| **Nissan Motor Co. Ltd.**  |  |  |
| 3.043% due 09/15/2023  | 570 | 559 |
| 3.522% due 09/17/2025  | 1856 | 1726 |
| 4.810% due 09/17/2030  | 4600 | 3914 |
| **NPC Ukrenergo** <br>6.875% due 11/09/2028 ^(d) | 400 | 71 |
| **Oracle Corp.**  |  |  |
| 3.600% due 04/01/2040  | 18 | 13 |
| 3.850% due 04/01/2060  | 1138 | 761 |
| 3.950% due 03/25/2051 (j)  | 3700 | 2652 |
| **Rolls-Royce PLC**  |  |  |
| 1.625% due 05/09/2028  | 400 | 341 |
| 4.625% due 02/16/2026  | 100 | 104 |
| **Southern Co.** <br>3.700% due 04/30/2030 | $123 | 111 |
| **T-Mobile USA, Inc.**  |  |  |
| 2.875% due 02/15/2031  | 1800 | 1490 |
| 3.375% due 04/15/2029  | 1300 | 1148 |
| 3.500% due 04/15/2031  | 2000 | 1731 |
| **Takeda Pharmaceutical Co. Ltd.**  |  |  |
| 3.175% due 07/09/2050  | 658 | 447 |
| 3.375% due 07/09/2060  | 458 | 309 |
| **Westinghouse Air Brake Technologies Corp.** <br>4.400% due 03/15/2024 | 147 | 145 |
| **Wynn Macau Ltd.** <br>5.625% due 08/26/2028 | 2800 | 2398 |
|  |  | 51004 |
| **UTILITIES 0.4%**  |  |  |
| **American Water Capital Corp.** <br>3.450% due 06/01/2029 | 143 | 131 |
| **Berkshire Hathaway Energy Co.** <br>4.250% due 10/15/2050 | 18 | 15 |
| **Consolidated Edison Co. of New York, Inc.**  |  |  |
| 3.350% due 04/01/2030  | 266 | 240 |
| 3.950% due 04/01/2050  | 18 | 14 |
| **DTE Electric Co.** <br>2.625% due 03/01/2031 | 311 | 265 |
| **Edison International** <br>5.750% due 06/15/2027 | 54 | 54 |
| **Exelon Corp.** <br>4.050% due 04/15/2030 | 18 | 17 |
| **Georgia Power Co.** <br>2.650% due 09/15/2029 | 18 | 15 |
| **Pacific Gas & Electric Co.**  |  |  |
| 1.700% due 11/15/2023  | 2200 | 2130 |
| 2.500% due 02/01/2031  | 582 | 453 |
| 3.000% due 06/15/2028  | 2300 | 1993 |
| 4.550% due 07/01/2030  | 1200 | 1091 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Rio** **Oil Finance Trust** <br>8.200% due 04/06/2028 | 2060 | 2090 |
| **San Diego Gas & Electric Co.** <br>3.320% due 04/15/2050 | 200 | 144 |
| **Southern California Edison Co.**  |  |  |
| 3.650% due 03/01/2028  | 824 | 770 |
| 3.700% due 08/01/2025  | 566 | 548 |
| **Verizon Communications, Inc.** <br>3.550% due 03/22/2051 | 1100 | 789 |
|  |  | 10759 |
| Total Corporate Bonds & Notes (Cost $258,784) |  | 215841 |
| **MUNICIPAL BONDS & NOTES 0.1%**  |  |  |
| **CALIFORNIA 0.1%**  |  |  |
| **California State Public Works Board Revenue Bonds, (BABs), Series 2010** <br>7.804% due 03/01/2035 | 35 | 41 |
| **Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021** <br>3.000% due 06/01/2046 | 1505 | 1394 |
| **Pasadena Public Financing Authority, California Revenue Bonds, (BABs), Series 2010** <br>7.148% due 03/01/2043 | 645 | 759 |
|  |  | 2194 |
| **ILLINOIS 0.0%**  |  |  |
| **Chicago, Illinois General Obligation Bonds, Series 2015** <br>7.750% due 01/01/2042 | 48 | 49 |
| **Chicago, Illinois Waterworks Revenue Bonds, Series 2010** <br>6.642% due 11/01/2029 | 110 | 115 |
| **Illinois State General Obligation Bonds, (BABs), Series 2010**  |  |  |
| 6.630% due 02/01/2035  | 65 | 66 |
| 6.725% due 04/01/2035  | 130 | 132 |
| 7.350% due 07/01/2035  | 93 | 98 |
|  |  | 460 |
| **NEBRASKA 0.0%**  |  |  |
| **Public Power Generation Agency, Nebraska Revenue Bonds, (BABs), Series 2009** <br>7.242% due 01/01/2041 | 20 | 23 |
| **OHIO 0.0%**  |  |  |
| **Ohio State University Revenue Bonds, Series 2011** <br>4.800% due 06/01/2111 | 67 | 55 |
| **PENNSYLVANIA 0.0%**  |  |  |
| **Pennsylvania Economic Development Financing Authority Revenue Bonds, (BABs), Series 2010** <br>6.532% due 06/15/2039 | 5 | 5 |
| **WASHINGTON 0.0%**  |  |  |
| **Washington State Convention Center Public Facilities District Revenue Bonds, (BABs), Series 2010** <br>6.790% due 07/01/2040 | 690 | 725 |
| Total Municipal Bonds & Notes (Cost $4,028) |  | 3462 |
| **U.S. GOVERNMENT AGENCIES 0.3%**  |  |  |
| **Fannie Mae**  |  |  |
| 0.000% due 08/25/2039 (b)(f) | 94 | 78 |
| 0.592% due 11/25/2040 •  | 1 | 1 |
| 1.461% due 03/25/2041 •(a) | 155 | 11 |
| 1.661% due 03/25/2037 ~(a) | 44 | 3 |
| 1.711% due 04/25/2037 •(a) | 146 | 11 |
| 1.761% due 11/25/2039 •(a) | 24 | 2 |
| 1.991% due 03/25/2037 ~(a) | 60 | 5 |
| 2.011% due 05/25/2037 •(a) | 142 | 10 |
| 2.241% due 01/25/2031 ~(a) | 790 | 76 |
| 2.311% due 03/25/2036 •(a) | 60 | 4 |
| 2.401% due 04/25/2037 •(a) | 278 | 28 |
| 2.701% due 12/01/2034 •  | 19 | 18 |
| 2.811% due 02/25/2037 •(a) | 26 | 3 |
| 3.261% due 07/25/2033 ~(a) | 14 | 1 |
| 3.619% due 08/01/2035 •  | 3 | 3 |
| 3.672% due 06/01/2034 •  | 1 | 1 |
| 3.887% due 03/25/2036 ~ | 1 | 1 |
| 3.906% due 03/01/2034 •  | 9 | 9 |
| 3.908% due 10/01/2035 •  | 1 | 1 |
| 4.027% due 11/01/2034 •  | 1 | 1 |
| 4.047% due 03/01/2036 •  | 1 | 1 |
| 4.366% due 09/25/2042 •  | 3 | 3 |
| 4.500% due 09/25/2040 | 452 | 442 |
| 4.719% due 04/25/2037 •  | 1 | 1 |
| 4.739% due 07/25/2037 •  | 7 | 7 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.769% due 07/25/2037 ~ | 9 | 9 |
| 4.789% due 09/25/2035 •  | 18 | 17 |
| 4.799% due 09/25/2035 ~ | 16 | 15 |
| 4.909% due 10/25/2040 ~ | 6 | 6 |
| 5.109% due 06/25/2037 •  | 73 | 72 |
| 9.005% due 12/25/2036 ~ | 3 | 4 |
| **Freddie Mac**  |  |  |
| 2.152% due 07/15/2036 •(a) | 83 | 7 |
| 2.190% due 09/15/2041 ~ | 134 | 109 |
| 2.224% due 02/15/2040 •  | 35 | 29 |
| 2.252% due 09/15/2036 •(a) | 52 | 4 |
| 2.382% due 04/15/2036 ~(a) | 14 | 1 |
| 3.248% due 10/25/2044 •  | 1 | 1 |
| 3.448% due 07/25/2044 •  | 2 | 2 |
| 3.500% due 07/15/2042 - 05/01/2049 | 955 | 878 |
| 3.508% due 06/01/2035 •  | 0 | 1 |
| 4.000% due 07/01/2047 - 03/01/2049 | 663 | 635 |
| 4.618% due 05/15/2037 ~ | 2 | 2 |
| 4.698% due 03/15/2037 ~ | 30 | 30 |
| 4.718% due 11/15/2043 ~ | 24 | 23 |
| 4.868% due 07/15/2041 ~ | 32 | 32 |
| 5.000% due 05/01/2023 - 04/15/2041 | 490 | 497 |
| 5.018% due 08/15/2037 •  | 79 | 79 |
| 5.028% due 10/15/2037 •  | 13 | 13 |
| 5.038% due 05/15/2037 - 09/15/2037 •  | 92 | 92 |
| 5.500% due 03/15/2034 - 03/01/2039 | 68 | 69 |
| 6.000% due 08/01/2027 - 12/01/2037 | 3 | 3 |
| 6.500% due 05/01/2035 | 20 | 21 |
| **Ginnie Mae**  |  |  |
| 1.750% due 11/20/2044 •  | 126 | 123 |
| 2.459% due 08/20/2047 ~ | 217 | 206 |
| 2.857% due 04/20/2068 ~ | 452 | 443 |
| 3.500% due 02/15/2045 - 03/15/2045 | 65 | 61 |
| 5.000% due 08/15/2033 - 03/15/2042 | 767 | 784 |
| 6.000% due 07/15/2037 - 08/15/2037 | 2 | 2 |
| **U.S. Small Business Administration**  |  |  |
| 4.430% due 05/01/2029 | 5 | 5 |
| 5.490% due 03/01/2028 | 5 | 5 |
| 6.020% due 08/01/2028 | 40 | 40 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.500% due 02/01/2043 - 09/01/2048 | 2411 | 2238 |
| 4.000% due 01/01/2025 - 10/01/2030 | 5 | 5 |
| 4.500% due 05/01/2023 - 02/01/2044 | 637 | 626 |
| 5.000% due 08/01/2023 - 12/01/2029 | 50 | 50 |
| 5.500% due 02/01/2025 - 09/01/2041 | 330 | 334 |
| 6.000% due 10/01/2026 - 05/01/2041 | 399 | 413 |
| 6.500% due 09/01/2036 | 27 | 27 |
| **Uniform Mortgage-Backed Security, TBA**<br>3.500% due 02/01/2053 | 50 | 45 |
| Total U.S. Government Agencies (Cost $10,133) |  | 8779 |
| **U.S. TREASURY OBLIGATIONS 4.1%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 1.375% due 11/15/2040 | 4100 | 2668 |
| 2.250% due 08/15/2049 | 146 | 102 |
| 3.000% due 08/15/2048 | 473 | 389 |
| 3.000% due 02/15/2049 | 17298 | 14255 |
| 3.125% due 05/15/2048 | 124 | 105 |
| 4.000% due 11/15/2052 | 100 | 100 |
| 4.625% due 02/15/2040 | 3734 | 4016 |
| **U.S. Treasury Inflation Protected Securities (g)** |  |  |
| 0.125% due 07/15/2030  | 28825 | 25827 |
| 0.125% due 01/15/2031 (m) | 5495 | 4884 |
| 0.250% due 02/15/2050  | 1739 | 1174 |
| 0.625% due 07/15/2032  | 9539 | 8745 |
| 0.625% due 02/15/2043  | 770 | 622 |
| 0.750% due 02/15/2045  | 2404 | 1947 |
| 1.000% due 02/15/2046  | 3020 | 2568 |
| 1.000% due 02/15/2048  | 8589 | 7238 |
| 1.000% due 02/15/2049  | 9849 | 8243 |
| 1.375% due 02/15/2044  | 6531 | 6071 |
| **U.S. Treasury Notes**  |  |  |
| 0.375% due 12/31/2025 | 1000 | 894 |
| 0.500% due 02/28/2026 | 4300 | 3832 |
| 1.500% due 10/31/2024 (m) | 2002 | 1897 |
| 1.750% due 12/31/2024 (m) | 622 | 590 |
| 2.125% due 05/15/2025 (m) | 2485 | 2362 |
| 2.375% due 05/15/2029 | 2075 | 1887 |
| 2.625% due 12/31/2025 | 1777 | 1700 |
| 2.750% due 05/31/2023 | 194 | 192 |
| 3.000% due 09/30/2025 (m) | 10043 | 9709 |
| 3.000% due 10/31/2025 | 7253 | 7006 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total U.S. Treasury Obligations (Cost $150,009) |  | 119023 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 10.3%**  |  |  |
| **Adjustable Rate Mortgage Trust** <br>3.765% due 01/25/2036 ^~ | 523 | 407 |
| **American Home Mortgage Assets Trust**  |  |  |
| 2.968% due 11/25/2046 ~  | 10652 | 3391 |
| 4.579% due 05/25/2046 ^~  | 10 | 8 |
| 4.579% due 10/25/2046 • | 35 | 19 |
| 6.750% due 11/25/2046 þ  | 230 | 196 |
| **American Home Mortgage Investment Trust** <br>6.500% due 03/25/2047 þ | 28 | 21 |
| **Angel Oak Mortgage Trust** <br>1.469% due 06/25/2065 ~ | 48 | 43 |
| **Avon Finance PLC** <br>4.331% due 09/20/2048 •  | 3583 | 4250 |
| **Banc of America Funding Trust**  |  |  |
| 3.431% due 02/20/2035 ~  | $9 | 7 |
| 3.571% due 09/20/2046 ^~  | 395 | 341 |
| 3.714% due 06/20/2037 ^~  | 10 | 8 |
| 4.496% due 09/20/2034 ~  | 1 | 1 |
| 4.733% due 10/20/2036 ~  | 6 | 4 |
| 4.773% due 04/20/2047 ^~  | 3 | 3 |
| 4.813% due 02/20/2047 ~  | 410 | 367 |
| 6.000% due 08/25/2036 ^  | 8 | 7 |
| **Banc of America Mortgage Trust**  |  |  |
| 2.641% due 02/25/2034 ~  | 6 | 6 |
| 3.313% due 06/25/2035 ~  | 5 | 4 |
| 3.348% due 01/25/2035 ~  | 6 | 6 |
| 3.587% due 06/25/2034 ~  | 5 | 5 |
| 4.014% due 05/25/2033 ~  | 4 | 4 |
| **BCAP LLC Trust** <br>4.749% due 03/25/2037 ~ | 1696 | 1475 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 2.842% due 04/25/2033 ~  | 1 | 1 |
| 3.844% due 07/25/2034 ~  | 6 | 5 |
| 3.845% due 02/25/2036 ^~  | 47 | 42 |
| 3.887% due 11/25/2034 ~  | 1 | 1 |
| 4.045% due 08/25/2033 ~  | 3 | 3 |
| 4.337% due 01/25/2033 ~  | 31 | 30 |
| 6.800% due 02/25/2036 ~  | 4 | 3 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.115% due 05/25/2035 ~  | 18 | 17 |
| 3.336% due 11/25/2035 ^~  | 62 | 55 |
| 3.354% due 10/25/2035 ^~  | 50 | 42 |
| 3.764% due 07/25/2035 ~  | 57 | 40 |
| 4.709% due 08/25/2036 ~  | 371 | 313 |
| 4.709% due 01/25/2047 ^• | 38 | 30 |
| 4.729% due 12/25/2046 ^~  | 4 | 3 |
| 4.889% due 01/25/2036 ^• | 5 | 7 |
| **Bear Stearns Mortgage Funding Trust** <br>4.569% due 10/25/2036 •  | 16311 | 13504 |
| **BX Trust** <br>5.615% due 10/15/2036 •  | 16000 | 15049 |
| **Chase Mortgage Finance Trust**  |  |  |
| 3.643% due 01/25/2036 ^~  | 6 | 5 |
| 3.707% due 09/25/2036 ^~  | 119 | 98 |
| 3.824% due 12/25/2035 ^~  | 5 | 5 |
| **ChaseFlex Trust** <br>4.689% due 07/25/2037 ~ | 2576 | 2471 |
| **Chevy Chase Funding LLC Mortgage-Backed Certificates** <br>4.619% due 05/25/2036 •  | 95 | 81 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 3.150% due 10/25/2035 ^~  | 11 | 10 |
| 3.871% due 09/25/2037 ^~  | 138 | 119 |
| 4.709% due 01/25/2037 • | 101 | 85 |
| 5.410% due 10/25/2035 ~  | 9 | 9 |
| 6.170% due 09/25/2062 þ  | 18153 | 17780 |
| 6.228% due 11/25/2070 þ  | 107 | 105 |
| 6.380% due 03/25/2036 ^• | 24 | 22 |
| **CitiMortgage Alternative Loan Trust**  |  |  |
| 4.989% due 04/25/2037 • | 135 | 114 |
| 6.000% due 12/25/2036 ^  | 43 | 37 |
| 6.000% due 06/25/2037 ^  | 56 | 48 |
| **Commercial Mortgage Trust** <br>3.545% due 02/10/2036 | 1034 | 947 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 2.290% due 08/25/2035 ~  | 1318 | 1081 |
| 3.048% due 12/25/2035 • | 6 | 5 |
| 3.448% due 08/25/2035 ~  | 21 | 19 |
| 3.528% due 01/25/2036 ~  | 78 | 71 |
| 4.098% due 10/20/2035 • | 5 | 3 |
| 4.543% due 09/20/2046 ~  | 3018 | 2867 |
| 4.563% due 07/20/2046 ^~  | 8 | 6 |
| 4.563% due 09/20/2046 • | 14 | 11 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.589% due 04/25/2047 • | 2140 | 1962 |
| 4.599% due 04/25/2047 • | 2057 | 1637 |
| 4.629% due 12/25/2046 ~  | 6851 | 5842 |
| 4.689% due 06/25/2035 ^• | 966 | 675 |
| 4.729% due 05/25/2047 • | 197 | 166 |
| 4.769% due 09/25/2046 ^• | 52 | 48 |
| 4.773% due 03/20/2046 • | 13 | 10 |
| 4.789% due 05/25/2036 ~  | 71 | 60 |
| 4.789% due 08/25/2037 • | 10 | 7 |
| 4.813% due 05/20/2046 ^~  | 3 | 3 |
| 4.889% due 11/25/2036 • | 14160 | 11622 |
| 4.909% due 12/25/2035 ~  | 5 | 5 |
| 4.939% due 05/25/2035 • | 29 | 22 |
| 4.949% due 02/25/2037 ~  | 302 | 245 |
| 4.953% due 11/20/2035 • | 39 | 35 |
| 4.989% due 08/25/2035 ~  | 225 | 199 |
| 4.993% due 12/20/2035 ~  | 42 | 36 |
| 5.029% due 11/25/2035 • | 223 | 177 |
| 5.500% due 06/25/2025  | 181 | 147 |
| 5.500% due 05/25/2035  | 94 | 73 |
| 5.500% due 11/25/2035 ^  | 62 | 39 |
| 5.500% due 11/25/2035  | 5 | 3 |
| 5.750% due 03/25/2037  | 83 | 48 |
| 6.000% due 12/25/2035 ^  | 225 | 166 |
| 6.000% due 05/25/2036 ^  | 35 | 18 |
| 6.000% due 08/25/2036 ^• | 42 | 26 |
| 6.000% due 05/25/2037 ^  | 108 | 53 |
| 6.250% due 08/25/2036  | 607 | 364 |
| 7.000% due 10/25/2037  | 75 | 28 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 3.680% due 08/25/2034 ~  | 1 | 1 |
| 3.792% due 11/25/2034 ~  | 12 | 11 |
| 3.952% due 10/20/2034 ~  | 26 | 24 |
| 4.849% due 05/25/2035 ~  | 15 | 12 |
| 4.969% due 04/25/2035 • | 865 | 747 |
| 4.989% due 05/25/2035 ~  | 40 | 31 |
| 5.029% due 03/25/2035 ~  | 1 | 1 |
| 5.049% due 02/25/2035 • | 7 | 6 |
| 5.750% due 05/25/2037 ^  | 4 | 2 |
| 6.000% due 07/25/2036  | 245 | 140 |
| 6.000% due 01/25/2037 ^  | 162 | 84 |
| 6.000% due 02/25/2037 ^  | 174 | 91 |
| 6.500% due 12/25/2037  | 369 | 171 |
| 6.537% due 02/20/2036 ^• | 2 | 2 |
| **Countrywide Home Loan Reperforming REMIC Trust** <br>4.729% due 06/25/2035 ~ | 44 | 41 |
| **Credit Suisse First Boston Mortgage Securities Corp.**  |  |  |
| 5.250% due 09/25/2035  | 223 | 183 |
| **Credit Suisse Mortgage Capital Certificates**  |  |  |
| 3.276% due 11/30/2037 ~  | 16288 | 14899 |
| 3.586% due 12/27/2037 ~  | 5997 | 5465 |
| 4.689% due 01/27/2037 • | 24 | 17 |
| **Credit Suisse Mortgage Capital Mortgage-Backed Trust**  |  |  |
| 5.750% due 08/25/2036 ^  | 10 | 8 |
| 5.750% due 03/25/2037 ^  | 15 | 9 |
| 6.421% due 10/25/2037 ~  | 223 | 138 |
| **Credit Suisse Mortgage Capital Trust**  |  |  |
| 1.796% due 12/27/2060 ~  | 4048 | 3718 |
| 1.926% due 07/27/2061 ~  | 8477 | 7695 |
| 2.215% due 11/25/2061 ~  | 1658 | 1573 |
| 2.688% due 03/25/2059 ~  | 2274 | 2160 |
| 2.963% due 12/26/2059 ~  | 75 | 74 |
| 3.861% due 06/25/2050 ~  | 484 | 409 |
| **Deutsche ALT-A Securities, Inc. Mortgage Loan Trust**  |  |  |
| 4.769% due 02/25/2037 ^• | 5649 | 4843 |
| 4.889% due 02/25/2035 • | 72 | 68 |
| 4.889% due 02/25/2035 ~  | 33 | 31 |
| 5.049% due 02/25/2036 • | 132 | 122 |
| 5.139% due 10/25/2047 • | 197 | 157 |
| **Downey Savings & Loan Association Mortgage Loan Trust**  |  |  |
| 4.479% due 04/19/2047 ~  | 578 | 461 |
| 4.529% due 10/19/2036 ~  | 131 | 105 |
| 4.859% due 08/19/2045 • | 3 | 3 |
| 5.159% due 09/19/2044 • | 23 | 20 |
| **Eurohome UK Mortgages PLC** <br>3.946% due 06/15/2044 •  | 15 | 17 |
| **European Loan Conduit DAC** <br>2.803% due 02/17/2030 •  | 107 | 109 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 3.605% due 03/25/2035 ~  | $1 | 1 |
| 4.186% due 12/25/2035 ~  | 27 | 22 |
| 4.435% due 06/25/2036 ^~  | 293 | 234 |
| **First Horizon Mortgage Pass-Through Trust** <br>3.930% due 10/25/2035 ^~ | 64 | 60 |
| **Frost CMBS DAC** <br>2.952% due 11/20/2033 •  | 3596 | 3642 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **FWD** **Securitization Trust** <br>2.240% due 01/25/2050 ~ | $62 | 56 |
| **GreenPoint Mortgage Funding Trust** <br>4.749% due 01/25/2037 •  | 140 | 118 |
| **GSMSC Pass-Through Trust** <br>4.466% due 12/26/2036 •  | 80 | 57 |
| **GSR Mortgage Loan Trust**  |  |  |
| 3.061% due 11/25/2035 ~  | 5 | 5 |
| 3.652% due 07/25/2035 ~  | 3 | 3 |
| 3.719% due 11/25/2035 ~  | 14 | 12 |
| 3.760% due 04/25/2032 • | 6 | 5 |
| 3.955% due 09/25/2035 ~  | 5 | 5 |
| 4.142% due 09/25/2035 ~  | 16 | 14 |
| 5.500% due 01/25/2037  | 17 | 21 |
| 6.000% due 02/25/2036 ^  | 231 | 106 |
| 6.000% due 07/25/2037 ^  | 61 | 43 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 3.529% due 06/19/2036 ^~  | 61 | 35 |
| 4.048% due 10/19/2035 ~  | 293 | 168 |
| 4.559% due 07/19/2047 ~  | 153 | 139 |
| 4.679% due 12/19/2036 ^• | 6 | 5 |
| 4.749% due 12/19/2036 • | 255 | 210 |
| 4.779% due 05/19/2035 ~  | 183 | 163 |
| 4.819% due 06/19/2035 • | 1579 | 1481 |
| 4.819% due 12/19/2036 ^~  | 121 | 109 |
| 4.839% due 01/19/2036 ~  | 469 | 286 |
| 5.033% due 06/20/2035 ~  | 103 | 92 |
| **HomeBanc Mortgage Trust** <br>5.009% due 03/25/2035 •  | 141 | 117 |
| **Homeward Opportunities Fund Trust** <br>1.657% due 05/25/2065 ~ | 20 | 20 |
| **Impac CMB Trust** <br>5.029% due 03/25/2035 ~ | 188 | 171 |
| **Impac Secured Assets Trust**  |  |  |
| 3.846% due 07/25/2035 ~  | 21 | 18 |
| 4.929% due 02/25/2037 ~  | 13032 | 11666 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 2.808% due 05/25/2035 ~  | 229 | 165 |
| 3.215% due 06/25/2036 ~  | 123 | 111 |
| 4.689% due 06/25/2037 ^• | 5 | 2 |
| 4.749% due 02/25/2037 ^• | 68 | 60 |
| 4.769% due 09/25/2046 • | 56 | 49 |
| 4.789% due 11/25/2046 ~  | 514 | 448 |
| 4.809% due 05/25/2046 ~  | 5118 | 4466 |
| 4.869% due 07/25/2035 • | 154 | 142 |
| 4.909% due 06/25/2035 • | 30 | 23 |
| 5.029% due 07/25/2045 ~  | 3 | 3 |
| **InTown Mortgage Trust** <br>7.622% due 08/15/2039 •  | 23700 | 23620 |
| **JP Morgan Alternative Loan Trust**  |  |  |
| 3.133% due 05/25/2036 ^~  | 59 | 34 |
| 6.000% due 12/27/2036  | 55 | 30 |
| 6.500% due 03/25/2036 ^  | 1825 | 1065 |
| **JP Morgan Chase Commercial Mortgage Securities Trust** <br>5.768% due 12/15/2031 •  | 256 | 244 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.196% due 07/27/2037 ~  | 61 | 56 |
| 3.480% due 04/25/2037 ~  | 4 | 3 |
| 3.525% due 04/25/2036 ^~  | 659 | 579 |
| 3.590% due 10/25/2036 ~  | 5 | 4 |
| 3.614% due 10/25/2036 ^~  | 29 | 22 |
| 3.708% due 07/25/2035 ~  | 22 | 21 |
| 3.960% due 08/25/2035 ^~  | 20 | 16 |
| 4.001% due 07/25/2035 ~  | 73 | 67 |
| **Legacy Mortgage Asset Trust**  |  |  |
| 1.750% due 04/25/2061 þ  | 4147 | 3769 |
| 1.750% due 07/25/2061 þ  | 6355 | 5775 |
| 1.875% due 10/25/2068 þ  | 4372 | 3935 |
| 1.892% due 10/25/2066 þ  | 3521 | 3235 |
| 1.991% due 09/25/2060 ~  | 415 | 407 |
| 2.250% due 07/25/2067 þ  | 3238 | 2915 |
| **Lehman Mortgage Trust** <br>5.039% due 11/25/2036 •  | 416 | 211 |
| **Lehman XS Trust**  |  |  |
| 4.789% due 03/25/2047 • | 5494 | 4602 |
| 4.839% due 08/25/2046 ~  | 673 | 631 |
| 4.889% due 08/25/2037 • | 56 | 50 |
| 6.089% due 09/25/2047 • | 51 | 42 |
| **Luminent Mortgage Trust**  |  |  |
| 3.087% due 04/25/2036 ~  | 2130 | 1581 |
| 5.109% due 04/25/2036 • | 30 | 25 |
| **MASTR Adjustable Rate Mortgages Trust**  |  |  |
| 2.642% due 07/25/2035 ^~  | 8 | 7 |
| 2.848% due 12/25/2046 ~  | 11969 | 8989 |
| 3.200% due 10/25/2033 ~  | 46 | 36 |
| 3.874% due 11/21/2034 ~  | 184 | 166 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **MASTR** **Asset Securitization Trust** <br>6.000% due 06/25/2036 ^ | 84 | 56 |
| **Mellon Residential Funding Corp. Mortgage Pass-Through Trust**  |  |  |
| 4.758% due 12/15/2030 • | 1 | 1 |
| 5.178% due 08/15/2032 • | 19 | 17 |
| **Merrill Lynch Alternative Note Asset Trust**  |  |  |
| 4.609% due 03/25/2037 • | 128 | 37 |
| 4.789% due 03/25/2037 ~  | 1994 | 570 |
| 4.809% due 04/25/2037 • | 14601 | 2937 |
| 4.989% due 03/25/2037 • | 82 | 24 |
| 6.000% due 03/25/2037  | 37 | 15 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 2.848% due 04/25/2035 ~  | 8 | 7 |
| 3.011% due 05/25/2033 ~  | 4 | 4 |
| 3.455% due 05/25/2036 ~  | 39 | 35 |
| 3.820% due 09/25/2035 ^~  | 47 | 38 |
| 6.709% due 02/25/2033 • | 11 | 10 |
| **Mill City Mortgage Loan Trust** <br>2.750% due 08/25/2059 ~ | 60 | 57 |
| **Morgan Stanley Capital Trust** <br>5.767% due 12/15/2023 •  | 7500 | 6843 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 2.915% due 07/25/2035 ~  | 65 | 57 |
| 4.386% due 06/25/2036 ~  | 3 | 3 |
| 6.000% due 08/25/2036  | 59 | 28 |
| 6.315% due 06/25/2036 þ  | 872 | 267 |
| **Morgan Stanley Re-REMIC Trust** <br>5.250% due 05/26/2037 ~ | 54 | 31 |
| **Mortgage Equity Conversion Asset Trust** <br>5.140% due 05/25/2042 ~ | 105 | 91 |
| **MortgageIT Mortgage Loan Trust** <br>4.909% due 12/25/2035 ~ | 163 | 154 |
| **New Residential Mortgage Loan Trust**  |  |  |
| 2.750% due 07/25/2059 ~  | 1025 | 958 |
| 2.750% due 11/25/2059 ~  | 1277 | 1170 |
| 3.500% due 12/25/2057 ~  | 637 | 604 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust**  |  |  |
| 4.579% due 06/25/2037 • | 3807 | 3280 |
| 5.476% due 05/25/2035 ^þ  | 22 | 11 |
| 5.769% due 06/25/2036 ~  | 11083 | 3156 |
| **NovaStar Mortgage Funding Trust** <br>0.412% due 09/25/2046 ~ | 1405 | 492 |
| **PHH Alternative Mortgage Trust** <br>4.709% due 02/25/2037 ~ | 160 | 112 |
| **Precise Mortgage Funding PLC** <br>4.587% due 12/12/2055 •  | 2247 | 2696 |
| **Preston Ridge Partners Mortgage LLC** <br>3.720% due 02/25/2027 þ | $6619 | 6220 |
| **Prime Mortgage Trust** <br>6.000% due 06/25/2036 ^ | 11 | 10 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 2.644% due 10/25/2037 ~  | 230 | 200 |
| 2.848% due 09/25/2046 • | 6961 | 5898 |
| 3.483% due 11/25/2037 ~  | 123 | 100 |
| 4.614% due 09/25/2034 ~  | 45 | 44 |
| 4.689% due 02/25/2037 • | 56 | 48 |
| 4.689% due 02/25/2047 • | 1784 | 1533 |
| 4.709% due 01/25/2037 ~  | 1034 | 866 |
| 4.729% due 01/25/2037 ~  | 2717 | 2213 |
| 4.749% due 07/25/2036 ~  | 203 | 86 |
| 4.749% due 09/25/2036 ~  | 294 | 261 |
| 4.759% due 08/25/2036 ~  | 105 | 92 |
| 4.769% due 07/25/2036 ~  | 99 | 87 |
| 4.769% due 09/25/2036 ^• | 161 | 147 |
| 4.889% due 08/25/2035 ^• | 470 | 331 |
| 5.000% due 09/25/2036 ^  | 4 | 3 |
| 6.000% due 08/25/2036 ^  | 13 | 10 |
| 6.000% due 01/25/2037 ^  | 25 | 19 |
| 6.000% due 03/25/2037 ^  | 49 | 40 |
| 6.000% due 03/25/2037  | 64 | 53 |
| 6.500% due 08/25/2036  | 1273 | 1009 |
| **Residential Asset Securitization Trust**  |  |  |
| 5.500% due 09/25/2035 ^  | 78 | 40 |
| 6.000% due 03/25/2037 ^  | 807 | 278 |
| **Residential Funding Mortgage Securities, Inc. Trust** <br>3.726% due 04/25/2037 ~ | 114 | 89 |
| **Residential Mortgage Securities PLC** <br>4.681% due 06/20/2070 ~ | 1360 | 1638 |
| **RESIMAC Bastille Trust** <br>5.022% due 12/05/2059 ~ | $27 | 26 |
| **Sequoia Mortgage Trust**  |  |  |
| 3.182% due 09/20/2046 ^~  | 72 | 50 |
| 4.913% due 07/20/2034 ~  | 115 | 101 |
| 5.215% due 05/20/2034 ~  | 5 | 5 |
| **Starwood Mortgage Residential Trust** <br>1.486% due 04/25/2065 ~ | 111 | 102 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Structured** **Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.448% due 01/25/2035 ^• | 3 | 2 |
| 3.490% due 03/25/2036 ^~  | 29 | 21 |
| 3.565% due 01/25/2035 ~  | 18 | 18 |
| 3.675% due 11/25/2035 ^~  | 44 | 39 |
| 3.778% due 08/25/2035 ~  | 22 | 13 |
| 3.780% due 02/25/2034 ~  | 1 | 0 |
| 4.689% due 08/25/2036 ^• | 34 | 24 |
| 6.689% due 12/25/2037 ^• | 455 | 387 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 1.567% due 02/25/2036 ^• | 12 | 9 |
| 4.509% due 08/25/2036 • | 134 | 113 |
| 4.769% due 07/25/2046 ^~  | 52 | 39 |
| 4.809% due 04/25/2036 • | 19 | 17 |
| 4.829% due 05/25/2046 • | 9 | 3 |
| 4.849% due 02/25/2036 ^• | 47 | 40 |
| 4.949% due 02/25/2036 ^• | 3 | 2 |
| 5.039% due 02/19/2035 ~  | 2 | 2 |
| **SunTrust Adjustable Rate Mortgage Loan Trust** <br>3.504% due 01/25/2037 ^~ | 44 | 33 |
| **Taurus UK DAC** <br>4.101% due 05/17/2031 ~ | 1291 | 1469 |
| **Thornburg Mortgage Securities Trust**  |  |  |
| 1.528% due 03/25/2044 ~  | $37 | 36 |
| 3.551% due 12/25/2044 ~  | 61 | 57 |
| 6.666% due 06/25/2047 ^• | 169 | 150 |
| 6.666% due 06/25/2047 • | 3 | 3 |
| **Towd Point Mortgage Funding**  |  |  |
| 3.826% due 07/20/2045 ~  | 4420 | 5287 |
| 4.471% due 02/20/2054 • | 166 | 200 |
| **Towd Point Mortgage Trust**  |  |  |
| 2.250% due 12/25/2061 ~  | $8242 | 7577 |
| 2.900% due 10/25/2059 ~  | 771 | 720 |
| 3.000% due 01/25/2058 ~  | 159 | 154 |
| 3.204% due 10/25/2057 ~  | 1031 | 824 |
| 5.389% due 05/25/2058 ~  | 42 | 41 |
| 5.389% due 10/25/2059 ~  | 59 | 58 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.499% due 12/25/2046 ~  | 12 | 11 |
| 2.748% due 03/25/2047 ^~  | 2452 | 2067 |
| 2.798% due 06/25/2047 • | 1768 | 1370 |
| 2.826% due 01/25/2037 ^~  | 50 | 41 |
| 2.858% due 07/25/2047 • | 32 | 26 |
| 2.928% due 10/25/2046 ^• | 353 | 295 |
| 3.030% due 12/25/2046 • | 13 | 12 |
| 3.048% due 02/25/2046 ~  | 155 | 137 |
| 3.096% due 08/25/2046 • | 76 | 58 |
| 3.118% due 01/25/2046 • | 999 | 850 |
| 3.211% due 02/25/2037 ^~  | 17 | 15 |
| 3.229% due 06/25/2037 ^~  | 301 | 270 |
| 3.240% due 06/25/2037 ^~  | 90 | 78 |
| 3.290% due 02/25/2037 ^~  | 125 | 113 |
| 3.390% due 06/25/2033 ~  | 21 | 19 |
| 3.548% due 10/25/2046 ~  | 540 | 479 |
| 3.548% due 11/25/2046 • | 438 | 378 |
| 3.600% due 12/25/2036 ^~  | 28 | 24 |
| 3.666% due 08/25/2035 ~  | 17 | 16 |
| 3.813% due 10/25/2035 ~  | 14 | 13 |
| 3.889% due 12/25/2035 ~  | 139 | 129 |
| 3.952% due 01/25/2035 ~  | 35 | 32 |
| 4.929% due 12/25/2045 • | 5978 | 5233 |
| 4.949% due 11/25/2045 • | 4 | 4 |
| 4.969% due 10/25/2045 ~  | 10 | 10 |
| 4.969% due 12/25/2045 ~  | 284 | 247 |
| 5.029% due 01/25/2045 ~  | 1 | 1 |
| 5.169% due 01/25/2045 • | 445 | 405 |
| 5.189% due 12/25/2045 • | 1187 | 1080 |
| 5.549% due 11/25/2045 ~  | 1751 | 1552 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.798% due 02/25/2047 ^• | 691 | 585 |
| 2.878% due 11/25/2046 • | 59 | 47 |
| 2.898% due 10/25/2046 ^• | 92 | 75 |
| 2.988% due 04/25/2046 ~  | 45 | 37 |
| 4.051% due 09/25/2036 ~  | 346 | 102 |
| 4.051% due 09/25/2036 þ  | 661 | 193 |
| 4.889% due 02/25/2036 • | 365 | 297 |
| **Wells Fargo Alternative Loan Trust**  |  |  |
| 3.563% due 07/25/2037 ^~  | 3 | 3 |
| 6.250% due 07/25/2037 ^  | 90 | 75 |
| **Wells Fargo Mortgage-Backed Securities Trust**  |  |  |
| 4.437% due 09/25/2036 ^~  | 3 | 3 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.564% due 12/25/2036 ^~  | 19 | 18 |
| Total Non-Agency Mortgage-Backed Securities (Cost $323,686) |  | 298869 |
| **ASSET-BACKED SECURITIES 42.6%**  |  |  |
| **510 Asset-Backed Trust** <br>2.240% due 06/25/2061 þ | 1668 | 1533 |
| **Aames Mortgage Investment Trust**  |  |  |
| 5.006% due 07/25/2035 • | 383 | 379 |
| 6.041% due 01/25/2035 • | 62 | 58 |
| **ACAS CLO Ltd.** <br>5.084% due 10/18/2028 •  | 2679 | 2646 |
| **Accredited Mortgage Loan Trust** <br>4.649% due 09/25/2036 ~ | 442 | 434 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.509% due 10/25/2036 ~  | 1 | 0 |
| 4.609% due 11/25/2036 • | 3785 | 1671 |
| 4.629% due 12/25/2036 ~  | 319 | 175 |
| 4.669% due 07/25/2036 • | 2708 | 2561 |
| 4.709% due 03/25/2037 • | 29912 | 13630 |
| 4.869% due 06/25/2036 • | 1836 | 1336 |
| 5.004% due 12/25/2035 • | 1250 | 1105 |
| 5.049% due 08/25/2035 ~  | 8916 | 8582 |
| 5.334% due 05/25/2035 • | 4760 | 4173 |
| **Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates** <br>5.094% due 10/25/2035 •  | 951 | 888 |
| **American Money Management Corp. CLO Ltd.** <br>4.991% due 04/14/2029 •  | 2739 | 2722 |
| **Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 3.245% due 11/25/2034 • | 847 | 784 |
| 5.154% due 10/25/2035 • | 57 | 57 |
| 5.259% due 11/25/2035 ~  | 1300 | 1211 |
| 5.364% due 07/25/2035 ~  | 2000 | 1810 |
| 5.409% due 10/25/2034 • | 1155 | 1135 |
| 5.514% due 11/25/2034 • | 84 | 79 |
| **Aqueduct European CLO DAC** <br>2.096% due 07/20/2030 ~ | 5294 | 5556 |
| **Arbor Realty Commercial Real Estate Notes Ltd.**  |  |  |
| 6.736% due 05/15/2037 • | $5900 | 5769 |
| 7.236% due 05/15/2037 • | 5900 | 5787 |
| **AREIT Trust** <br>6.159% due 11/17/2038 ~ | 3700 | 3513 |
| **Ares European CLO DAC** <br>2.158% due 10/15/2031 •  | 10600 | 10998 |
| **Argent Securities Trust**  |  |  |
| 4.499% due 09/25/2036 • | $70 | 23 |
| 4.689% due 07/25/2036 • | 513 | 444 |
| 4.749% due 04/25/2036 • | 16746 | 5575 |
| 4.769% due 03/25/2036 ~  | 806 | 697 |
| 4.869% due 05/25/2035 • | 63 | 56 |
| 4.869% due 06/25/2036 • | 8950 | 2523 |
| **Argent Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 3.364% due 01/25/2034 • | 222 | 200 |
| 5.049% due 11/25/2035 • | 11831 | 11356 |
| **Asset-Backed Funding Certificates Trust** <br>5.124% due 03/25/2035 •  | 4108 | 3716 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 5.199% due 06/25/2034 ~  | 614 | 570 |
| 5.349% due 07/25/2035 • | 13 | 13 |
| 5.484% due 02/25/2035 ~  | 17 | 17 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 4.081% due 10/25/2036 ~  | 5 | 5 |
| 4.629% due 06/25/2047 • | 412 | 410 |
| 4.709% due 08/25/2036 ~  | 821 | 791 |
| 4.739% due 05/25/2037 ^• | 13644 | 10475 |
| 4.991% due 02/25/2034 • | 1448 | 1370 |
| 5.064% due 08/25/2036 ~  | 49 | 48 |
| 5.119% due 12/25/2034 • | 4939 | 4749 |
| 5.216% due 08/25/2034 ~  | 638 | 644 |
| 5.439% due 08/25/2037 • | 417 | 373 |
| **Benefit Street Partners CLO Ltd.** <br>5.579% due 10/15/2030 •  | 8150 | 7894 |
| **Black Diamond CLO DAC** <br>2.778% due 05/15/2032 •  | 8800 | 9133 |
| **Blackrock European CLO DAC** <br>1.998% due 10/15/2031 ~ | 4500 | 4671 |
| **BlueMountain Fuji EUR CLO II DAC** <br>2.028% due 07/15/2030 ~ | 5040 | 5270 |
| **BPCRE Holder LLC** <br>6.725% due 01/16/2037 •  | $7200 | 7105 |
| **BSPRT Issuer Ltd.** <br>6.632% due 07/15/2039 •  | 22500 | 22015 |
| **Cairn CLO DAC**  |  |  |
| 2.158% due 10/15/2031 ~  | 2900 | 3039 |
| 2.178% due 04/30/2031 ~  | 4342 | 4533 |
| 2.275% due 01/31/2030 • | 654 | 686 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Carlyle** **Euro CLO DAC** <br>2.688% due 08/15/2032 ~ | 7900 | 8215 |
| **Carrington Mortgage Loan Trust**  |  |  |
| 4.649% due 02/25/2037 ~  | $341 | 307 |
| 5.139% due 10/25/2035 • | 1493 | 1420 |
| 5.363% due 10/20/2029 • | 1643 | 1623 |
| **Carvana Auto Receivables Trust** <br>5.640% due 01/15/2026 | 11300 | 11234 |
| **Centex Home Equity Loan Trust**  |  |  |
| 4.884% due 06/25/2036 • | 9500 | 8451 |
| 5.034% due 03/25/2034 • | 200 | 191 |
| **Chase Funding Trust** <br>5.029% due 08/25/2032 ~ | 11 | 11 |
| **CIT Mortgage Loan Trust** <br>5.889% due 10/25/2037 ~ | 20000 | 19045 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 4.539% due 12/25/2036 ~  | 315 | 132 |
| 4.569% due 01/25/2037 • | 4429 | 3302 |
| 4.579% due 05/25/2037 • | 1517 | 1014 |
| 4.589% due 05/25/2037 ~  | 2347 | 1622 |
| 4.689% due 10/25/2036 • | 99 | 65 |
| 4.709% due 09/25/2036 • | 37 | 26 |
| 4.809% due 08/25/2036 • | 4191 | 4058 |
| 4.839% due 10/25/2036 • | 170 | 168 |
| 4.869% due 08/25/2036 ~  | 3282 | 2866 |
| 4.909% due 03/25/2036 ~  | 904 | 804 |
| 5.289% due 09/25/2035 ^~  | 4930 | 4525 |
| 7.250% due 05/25/2036 þ  | 370 | 193 |
| **Countrywide Asset-Backed Certificates**  |  |  |
| 4.669% due 03/25/2037 • | 1992 | 1927 |
| 4.789% due 02/25/2037 ~  | 105 | 95 |
| 4.869% due 04/25/2037 • | 233 | 190 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 3.573% due 05/25/2036 • | 2956 | 2844 |
| 4.529% due 06/25/2035 • | 89 | 80 |
| 4.529% due 07/25/2037 ~  | 295 | 266 |
| 4.529% due 04/25/2047 ~  | 61 | 58 |
| 4.539% due 06/25/2047 ^• | 3 | 3 |
| 4.569% due 11/25/2047 ^• | 34 | 33 |
| 4.589% due 06/25/2047 ^• | 65 | 56 |
| 4.599% due 05/25/2047 ^~  | 105 | 93 |
| 4.609% due 09/25/2037 ^• | 150 | 154 |
| 4.619% due 05/25/2037 ~  | 2067 | 1936 |
| 4.639% due 06/25/2047 ~  | 2305 | 2209 |
| 4.669% due 03/25/2037 • | 134 | 128 |
| 4.669% due 12/25/2046 • | 1964 | 1814 |
| 4.679% due 10/25/2047 • | 7600 | 6639 |
| 4.689% due 03/25/2047 ^~  | 430 | 420 |
| 4.789% due 08/25/2036 • | 476 | 474 |
| 4.929% due 03/25/2036 • | 274 | 252 |
| 4.969% due 08/25/2036 • | 1 | 1 |
| 4.989% due 06/25/2036 • | 16 | 16 |
| 5.129% due 08/25/2047 • | 217 | 209 |
| 5.349% due 02/25/2036 • | 2862 | 2788 |
| 5.424% due 12/25/2035 ~  | 145 | 137 |
| 5.739% due 08/25/2047 ~  | 10000 | 9120 |
| 6.339% due 08/25/2035 ~  | 3000 | 2700 |
| 6.867% due 09/25/2046 þ  | 1879 | 1352 |
| **Countrywide Partnership Trust** <br>5.289% due 02/25/2035 •  | 1037 | 979 |
| **CQS U.S. CLO Ltd.** <br>6.747% due 07/20/2031 •  | 13500 | 13406 |
| **Credit-Based Asset Servicing and Securitization LLC** <br>5.439% due 03/25/2046 ~ | 914 | 910 |
| **CSAB Mortgage-Backed Trust** <br>6.184% due 12/25/2036 þ | 1367 | 299 |
| **CVC Cordatus Loan Fund DAC**  |  |  |
| 2.028% due 10/15/2031 ~  | 8400 | 8732 |
| 2.112% due 07/21/2030 ~  | 600 | 630 |
| 2.676% due 09/15/2031 ~  | 3200 | 3334 |
| **Dryden Euro CLO DAC**  |  |  |
| 2.038% due 04/15/2033 • | 15500 | 16098 |
| 2.622% due 05/15/2034 • | 9100 | 9467 |
| **ECMC Group Student Loan Trust** <br>5.389% due 07/25/2069 •  | $339 | 332 |
| **Ellington Loan Acquisition Trust** <br>5.489% due 05/25/2037 •  | 3347 | 3215 |
| **EMC Mortgage Loan Trust** <br>5.689% due 02/25/2041 •  | 4 | 4 |
| **Encore Credit Receivables Trust** <br>5.124% due 09/25/2035 •  | 30 | 29 |
| **Euro-Galaxy CLO DAC** <br>2.122% due 04/24/2034 ~ | 3150 | 3270 |
| **Fieldstone Mortgage Investment Trust**  |  |  |
| 4.769% due 05/25/2036 ~  | $111 | 76 |
| 4.929% due 05/25/2036 ~  | 2563 | 1759 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **First** **Franklin Mortgage Loan Trust**  |  |  |
| 4.494% due 10/25/2036 ~  | 12753 | 10801 |
| 4.549% due 11/25/2036 ~  | 110 | 108 |
| 4.699% due 09/25/2036 • | 7363 | 6726 |
| 4.869% due 04/25/2036 • | 2757 | 2495 |
| 4.869% due 05/25/2036 • | 12581 | 10309 |
| 4.889% due 06/25/2036 ~  | 3500 | 3072 |
| 5.109% due 11/25/2035 • | 375 | 344 |
| **FREED ABS Trust**  |  |  |
| 1.910% due 03/19/2029  | 10440 | 10131 |
| 4.500% due 08/20/2029  | 6704 | 6683 |
| **Fremont Home Loan Trust**  |  |  |
| 4.524% due 10/25/2036 ~  | 468 | 413 |
| 4.529% due 11/25/2036 • | 2588 | 1549 |
| 4.539% due 10/25/2036 ~  | 747 | 316 |
| 4.709% due 08/25/2036 ~  | 10258 | 3557 |
| 4.729% due 02/25/2037 ~  | 4819 | 1723 |
| 5.124% due 01/25/2035 • | 125 | 120 |
| 5.124% due 07/25/2035 ~  | 2 | 2 |
| 5.439% due 11/25/2034 • | 1168 | 1088 |
| **Galaxy CLO Ltd.** <br>5.049% due 10/15/2030 •  | 280 | 274 |
| **GE-WMC Asset-Backed Pass-Through Certificates** <br>5.029% due 12/25/2035 ~ | 11127 | 10440 |
| **GLS Auto Receivables Issuer Trust** <br>3.550% due 01/15/2026 | 16516 | 16327 |
| **GSAA Home Equity Trust**  |  |  |
| 3.755% due 03/25/2036 ~  | 162 | 38 |
| 4.489% due 05/25/2037 ~  | 185 | 62 |
| 4.529% due 03/25/2036 • | 144 | 54 |
| 4.629% due 06/25/2036 ~  | 60 | 14 |
| 4.789% due 03/25/2037 ~  | 1394 | 428 |
| 5.029% due 04/25/2047 ~  | 285 | 138 |
| 5.454% due 06/25/2035 • | 100 | 95 |
| 5.995% due 03/25/2046 ^~  | 1352 | 569 |
| 6.795% due 06/25/2036 þ  | 250 | 67 |
| **GSAMP Trust**  |  |  |
| 4.439% due 12/25/2046 • | 141 | 71 |
| 4.479% due 01/25/2037 • | 1093 | 664 |
| 4.489% due 12/25/2046 • | 103 | 52 |
| 4.519% due 12/25/2046 • | 5384 | 2904 |
| 4.529% due 12/25/2036 ~  | 2486 | 1347 |
| 4.539% due 12/25/2046 ~  | 512 | 257 |
| 4.559% due 12/25/2036 • | 293 | 146 |
| 4.569% due 11/25/2035 • | 1 | 0 |
| 4.619% due 01/25/2037 • | 3394 | 2723 |
| 4.689% due 09/25/2036 • | 3937 | 1458 |
| 4.789% due 01/25/2047 ~  | 1639 | 872 |
| 4.869% due 03/25/2046 ~  | 135 | 130 |
| 4.889% due 05/25/2046 • | 560 | 525 |
| 6.189% due 06/25/2035 • | 197 | 189 |
| **GSRPM Mortgage Loan Trust** <br>5.289% due 03/25/2035 ~ | 911 | 879 |
| **Harvest CLO DAC**  |  |  |
| 2.018% due 10/15/2031 • | 2500 | 2601 |
| 2.136% due 10/20/2031 • | 7200 | 7485 |
| **HERA Commercial Mortgage Ltd.** <br>5.389% due 02/18/2038 ~ | $5700 | 5520 |
| **Home Equity Asset Trust** <br>3.826% due 02/25/2036 ~ | 221 | 212 |
| **Home Equity Loan Trust**  |  |  |
| 4.619% due 04/25/2037 • | 5735 | 5525 |
| 4.729% due 04/25/2037 ~  | 314 | 276 |
| **HSI Asset Securitization Corp. Trust**  |  |  |
| 4.224% due 04/25/2037 ~  | 848 | 590 |
| 4.589% due 07/25/2036 ~  | 114 | 53 |
| 4.609% due 12/25/2036 ~  | 820 | 224 |
| 4.709% due 05/25/2037 • | 30 | 30 |
| 4.869% due 11/25/2035 • | 662 | 596 |
| **Invesco Euro CLO DAC** <br>2.028% due 07/15/2031 ~ | 1000 | 1040 |
| **IXIS Real Estate Capital Trust**  |  |  |
| 4.789% due 03/25/2036 ^~  | $185 | 96 |
| 4.849% due 01/25/2037 • | 10937 | 4327 |
| **JP Morgan Mortgage Acquisition Trust**  |  |  |
| 4.599% due 10/25/2036 ~  | 150 | 148 |
| 4.689% due 07/25/2036 • | 59 | 27 |
| 4.789% due 07/25/2036 ~  | 1874 | 1722 |
| **Jubilee CLO DAC**  |  |  |
| 1.988% due 04/15/2030 • | 6700 | 7011 |
| 2.028% due 04/15/2031 • | 5700 | 5930 |
| **KKR CLO Ltd.** <br>5.479% due 04/15/2031 •  | $3850 | 3679 |
| **KKR Static CLO Ltd.** <br>5.077% due 07/20/2031 ~ | 5000 | 4814 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Lehman** **XS Trust** <br>4.709% due 05/25/2036 •  | 66 | 55 |
| **LendingClub Receivables Trust**  |  |  |
| 3.750% due 01/15/2027  | 3120 | 3079 |
| 3.750% due 12/15/2045  | 1813 | 1787 |
| 4.000% due 08/15/2025  | 1649 | 1635 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.549% due 12/25/2036 ~  | 385 | 265 |
| 4.559% due 12/25/2036 ~  | 268 | 102 |
| 4.689% due 05/25/2036 ~  | 51 | 30 |
| 4.829% due 02/25/2036 • | 404 | 390 |
| 4.909% due 08/25/2045 • | 22 | 21 |
| 4.929% due 05/25/2046 • | 334 | 113 |
| 4.989% due 01/25/2036 • | 7980 | 7144 |
| 5.034% due 11/25/2035 • | 3 | 3 |
| 5.304% due 08/25/2035 ~  | 5466 | 4893 |
| 5.364% due 04/25/2035 • | 80 | 79 |
| 5.814% due 02/25/2035 ~  | 8445 | 7652 |
| **M360 Ltd.** <br>6.611% due 11/22/2038 •  | 6463 | 6401 |
| **Man GLG Euro CLO DAC**  |  |  |
| 2.058% due 10/15/2030 • | 1220 | 1276 |
| 2.736% due 12/15/2031 ~  | 7000 | 7269 |
| **Marathon CLO Ltd.** <br>5.229% due 04/15/2029 •  | $5027 | 4995 |
| **Massachusetts Educational Financing Authority** <br>5.308% due 04/25/2038 •  | 11 | 11 |
| **MASTR Asset-Backed Securities Trust**  |  |  |
| 4.439% due 01/25/2037 • | 1239 | 359 |
| 4.589% due 10/25/2036 • | 8710 | 4595 |
| 4.599% due 05/25/2037 • | 1793 | 1690 |
| 4.609% due 11/25/2036 • | 510 | 167 |
| 4.709% due 10/25/2036 ~  | 274 | 145 |
| 4.869% due 03/25/2036 ~  | 42 | 30 |
| 4.969% due 12/25/2035 • | 17 | 17 |
| 5.139% due 10/25/2035 ^~  | 8015 | 7403 |
| 7.089% due 07/25/2034 ~  | 175 | 162 |
| **MASTR Specialized Loan Trust** <br>5.514% due 11/25/2035 •  | 597 | 556 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.311% due 03/25/2037 • | 64964 | 17899 |
| 4.609% due 07/25/2037 • | 383 | 175 |
| 4.609% due 08/25/2037 • | 2454 | 1301 |
| 4.889% due 07/25/2037 • | 189 | 49 |
| 4.909% due 02/25/2037 • | 675 | 206 |
| 4.989% due 01/25/2037 • | 8274 | 7489 |
| **MF1 LLC** <br>6.956% due 09/17/2037 ~ | 8750 | 8717 |
| **MF1 Ltd.**  |  |  |
| 5.576% due 02/19/2037 ~  | 12500 | 11933 |
| 5.789% due 10/16/2036 • | 12800 | 12129 |
| 6.089% due 10/16/2036 • | 12800 | 12220 |
| **MFA Trust** <br>2.363% due 03/25/2060 þ | 1063 | 1003 |
| **MidOcean Credit CLO** <br>5.725% due 02/20/2031 ~ | 10500 | 10322 |
| **MKS CLO Ltd.** <br>5.243% due 07/20/2030 •  | 6031 | 5925 |
| **Morgan Stanley ABS Capital, Inc. Trust**  |  |  |
| 4.469% due 11/25/2036 ~  | 396 | 239 |
| 4.479% due 01/25/2037 ~  | 287 | 142 |
| 4.499% due 12/25/2036 • | 6938 | 3627 |
| 4.499% due 03/25/2037 • | 567 | 256 |
| 4.519% due 10/25/2036 ~  | 20 | 18 |
| 4.519% due 01/25/2037 ~  | 226 | 112 |
| 4.519% due 02/25/2037 • | 1974 | 1771 |
| 4.519% due 02/25/2037 ~  | 1035 | 466 |
| 4.524% due 11/25/2036 • | 415 | 281 |
| 4.569% due 03/25/2037 • | 910 | 411 |
| 4.599% due 01/25/2037 ~  | 206 | 102 |
| 4.604% due 03/25/2037 ~  | 2730 | 1124 |
| 4.619% due 10/25/2036 • | 590 | 293 |
| 4.619% due 11/25/2036 • | 1598 | 966 |
| 4.669% due 08/25/2036 ~  | 377 | 200 |
| 4.709% due 09/25/2036 ~  | 614 | 278 |
| 4.749% due 02/25/2037 • | 16160 | 5480 |
| 4.889% due 04/25/2036 ~  | 2455 | 2297 |
| 5.094% due 12/25/2034 • | 23 | 22 |
| 5.244% due 03/25/2034 • | 1289 | 1255 |
| 5.304% due 03/25/2035 ~  | 56 | 55 |
| 5.319% due 07/25/2035 ~  | 760 | 730 |
| 6.289% due 02/25/2047 • | 106 | 92 |
| **Morgan Stanley Dean Witter Capital, Inc. Trust** <br>5.369% due 02/25/2033 ~ | 91 | 89 |
| **Morgan Stanley Home Equity Loan Trust** <br>4.489% due 12/25/2036 •  | 1013 | 514 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Morgan** **Stanley Mortgage Loan Trust**  |  |  |
| 4.569% due 12/25/2036 ~  | 3881 | 1572 |
| 4.729% due 11/25/2036 • | 30 | 9 |
| 5.109% due 04/25/2037 • | 32 | 10 |
| **Nationstar Home Equity Loan Trust** <br>4.749% due 09/25/2036 •  | 16180 | 15310 |
| **New Century Home Equity Loan Trust**  |  |  |
| 5.169% due 03/25/2035 • | 299 | 275 |
| 5.364% due 11/25/2034 ~  | 343 | 333 |
| **Nomura Home Equity Loan, Inc. Home Equity Loan Trust**  |  |  |
| 4.719% due 10/25/2036 ^• | 144 | 33 |
| 6.032% due 10/25/2036 ^þ  | 178 | 45 |
| **NovaStar Mortgage Funding Trust**  |  |  |
| 4.589% due 09/25/2037 ~  | 337 | 325 |
| 4.709% due 10/25/2036 • | 203 | 115 |
| 5.469% due 06/25/2035 ~  | 40 | 40 |
| **Oaktree CLO Ltd.** <br>5.239% due 07/15/2034 •  | 6500 | 6280 |
| **OCP CLO Ltd.** <br>5.363% due 07/20/2029 ~ | 303 | 300 |
| **Oportun Issuance Trust** <br>5.940% due 10/09/2029 | 6635 | 6582 |
| **Option One Mortgage Loan Trust**  |  |  |
| 4.489% due 07/25/2036 • | 3884 | 1739 |
| 4.519% due 07/25/2037 • | 5894 | 3340 |
| 4.529% due 01/25/2037 • | 4754 | 2834 |
| 4.529% due 03/25/2037 • | 2106 | 1883 |
| 4.609% due 04/25/2037 ~  | 576 | 421 |
| 4.609% due 05/25/2037 • | 432 | 263 |
| 4.929% due 01/25/2036 • | 1626 | 1440 |
| 5.169% due 02/25/2035 • | 322 | 305 |
| **Ownit Mortgage Loan Trust**  |  |  |
| 5.214% due 08/25/2036 • | 12524 | 11256 |
| 5.289% due 10/25/2036 ^• | 28 | 26 |
| **OZLM Ltd.**  |  |  |
| 5.343% due 10/20/2031 ~  | 3950 | 3873 |
| 5.693% due 07/20/2032 ~  | 6650 | 6437 |
| 5.943% due 10/20/2031 ~  | 1485 | 1434 |
| 5.943% due 07/20/2032 ~  | 4050 | 3883 |
| **Pagaya AI Debt Selection Trust**  |  |  |
| 1.150% due 05/15/2029  | 1624 | 1583 |
| 2.030% due 10/15/2029  | 12486 | 11993 |
| 6.060% due 03/15/2030  | 19316 | 19087 |
| **Palmer Square European Loan Funding** <br>3.993% due 04/12/2032 •  | 23100 | 24640 |
| **Palmer Square European Loan Funding DAC** <br>2.158% due 04/15/2031 •  | 13229 | 13769 |
| **Park Place Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 5.439% due 10/25/2034 • | $33 | 32 |
| 6.039% due 12/25/2034 ~  | 566 | 569 |
| 6.114% due 02/25/2035 ~  | 7592 | 6566 |
| 6.189% due 12/25/2034 • | 34 | 33 |
| 6.264% due 12/25/2034 • | 4101 | 3795 |
| **Popular ABS Mortgage Pass-Through Trust**  |  |  |
| 4.699% due 06/25/2047 ^~  | 10194 | 9361 |
| 4.884% due 07/25/2036 • | 309 | 288 |
| 5.259% due 02/25/2036 • | 3675 | 3305 |
| **PRET LLC**  |  |  |
| 1.744% due 07/25/2051 þ  | 4048 | 3674 |
| 1.843% due 09/25/2051 þ  | 10239 | 9176 |
| 1.868% due 07/25/2051 þ  | 2682 | 2380 |
| 1.992% due 02/25/2061 þ  | 2655 | 2406 |
| 2.240% due 09/27/2060 þ  | 1387 | 1270 |
| 2.487% due 10/25/2051 ~  | 1166 | 1026 |
| 2.487% due 10/25/2051 þ  | 7061 | 6410 |
| 3.721% due 07/25/2051 þ  | 9309 | 8732 |
| 5.240% due 04/25/2052 þ  | 7216 | 6968 |
| 5.927% due 06/25/2052 þ  | 15834 | 15313 |
| **RAAC Trust** <br>5.094% due 02/25/2036 ~ | 7202 | 6691 |
| **Ready Capital Mortgage Financing LLC**  |  |  |
| 5.594% due 01/25/2037 • | 12500 | 12202 |
| 6.539% due 02/25/2035 • | 302 | 295 |
| **Renaissance Home Equity Loan Trust**  |  |  |
| 5.489% due 09/25/2037 • | 167 | 79 |
| 5.586% due 11/25/2036 þ  | 2157 | 808 |
| 5.612% due 04/25/2037 þ  | 368 | 111 |
| **Research-Driven Pagaya Motor Asset Trust**  |  |  |
| 2.650% due 03/25/2030  | 3682 | 3242 |
| 4.320% due 09/25/2030  | 2364 | 2285 |
| 5.380% due 11/25/2030  | 12330 | 12022 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 4.493% due 08/25/2034 ~  | 3263 | 3116 |
| 4.749% due 08/25/2046 ~  | 9531 | 8388 |
| 4.829% due 12/25/2035 • | 16 | 14 |
| 4.989% due 03/25/2036 • | 169 | 163 |

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------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.079% due 10/25/2035 • | 99 | 97 |
| 5.639% due 10/25/2034 • | 1074 | 938 |
| 6.069% due 08/25/2035 • | 8584 | 7800 |
| **Residential Asset Securities Corp. Trust**  |  |  |
| 4.659% due 08/25/2036 • | 423 | 408 |
| 4.969% due 06/25/2033 • | 57 | 51 |
| 5.049% due 12/25/2035 • | 2760 | 2622 |
| 5.274% due 12/25/2035 ~  | 17408 | 14880 |
| 5.634% due 02/25/2035 • | 4966 | 4597 |
| **Saxon Asset Securities Trust** <br>4.689% due 09/25/2036 •  | 8365 | 6400 |
| **Sculptor CLO Ltd.** <br>5.349% due 01/15/2031 •  | 7000 | 6871 |
| **Sculptor European CLO DAC** <br>2.428% due 10/15/2034 •  | 10510 | 10835 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.489% due 10/25/2036 ^• | $24511 | 8732 |
| 4.549% due 08/25/2036 • | 2224 | 726 |
| 4.729% due 08/25/2036 ^~  | 17 | 6 |
| 4.869% due 07/25/2036 • | 799 | 335 |
| 5.034% due 10/25/2035 • | 2329 | 2008 |
| 5.049% due 08/25/2035 ^• | 41 | 31 |
| 5.109% due 10/25/2035 ~  | 1317 | 1147 |
| 5.349% due 01/25/2036 ^• | 284 | 269 |
| 5.439% due 03/25/2035 ~  | 50 | 48 |
| **SG Mortgage Securities Trust**  |  |  |
| 4.529% due 10/25/2036 • | 115 | 97 |
| 5.274% due 10/25/2035 ~  | 5879 | 4699 |
| **Shelter Growth CRE Issuer Ltd.**  |  |  |
| 6.617% due 06/17/2037 ~  | 13400 | 13332 |
| 7.514% due 06/17/2037 ~  | 8658 | 8501 |
| **SLM Student Loan Trust** <br>5.858% due 04/25/2023 ~ | 102 | 101 |
| **SMB Private Education Loan Trust**  |  |  |
| 1.310% due 07/17/2051  | 7806 | 6973 |
| 4.550% due 02/16/2055  | 11220 | 10290 |
| **SoFi Professional Loan Program Trust** <br>2.540% due 05/15/2046 | 873 | 790 |
| **Sound Point CLO Ltd.**  |  |  |
| 5.293% due 10/20/2028 • | 10516 | 10433 |
| 5.315% due 01/23/2029 • | 3742 | 3723 |
| 5.338% due 07/25/2030 • | 6100 | 6008 |
| **Soundview Home Loan Trust**  |  |  |
| 4.469% due 06/25/2037 ~  | 53 | 38 |
| 4.559% due 07/25/2037 ~  | 242 | 204 |
| 4.559% due 08/25/2037 • | 733 | 630 |
| 4.569% due 02/25/2037 ~  | 2185 | 633 |
| 4.589% due 06/25/2037 • | 828 | 598 |
| 4.649% due 02/25/2037 • | 125 | 37 |
| 4.854% due 02/25/2036 • | 908 | 826 |
| 5.289% due 10/25/2037 • | 4185 | 3268 |
| 5.689% due 10/25/2037 ~  | 1276 | 943 |
| **Specialty Underwriting & Residential Finance Trust**  |  |  |
| 4.353% due 12/25/2036 • | 287 | 272 |
| 4.529% due 11/25/2037 • | 2398 | 1372 |
| 4.689% due 06/25/2037 • | 38 | 23 |
| 4.689% due 09/25/2037 • | 291 | 203 |
| 4.739% due 04/25/2037 ~  | 3118 | 2265 |
| **Structured Asset Investment Loan Trust**  |  |  |
| 4.519% due 07/25/2036 • | 28 | 20 |
| 4.539% due 09/25/2036 • | 18 | 18 |
| 4.569% due 09/25/2036 ~  | 6716 | 4261 |
| 5.009% due 01/25/2036 • | 69 | 61 |
| 5.169% due 02/25/2035 ~  | 927 | 894 |
| 5.319% due 06/25/2035 • | 284 | 271 |
| 5.339% due 08/25/2033 • | 187 | 181 |
| 7.539% due 08/25/2033 ~  | 120 | 108 |
| **Structured Asset Securities Corp. Mortgage Loan Trust**  |  |  |
| 4.524% due 07/25/2036 • | 21 | 20 |
| 4.549% due 03/25/2036 ~  | 9 | 8 |
| 4.699% due 08/25/2046 • | 3608 | 3348 |
| 4.729% due 12/25/2036 ~  | 31 | 30 |
| 4.809% due 02/25/2037 • | 371 | 357 |
| 5.620% due 04/25/2035 • | 2 | 2 |
| **Symphony CLO Ltd.** <br>4.961% due 07/14/2026 ~ | 54 | 54 |
| **Theorem Funding Trust**  |  |  |
| 1.210% due 12/15/2027  | 2254 | 2218 |
| 1.850% due 02/15/2028  | 6549 | 6389 |
| **TICP CLO Ltd.** <br>5.083% due 04/20/2028 •  | 213 | 213 |
| **Tikehau CLO DAC** <br>2.596% due 08/04/2034 ~ | 9000 | 9353 |
| **Towd Point Mortgage Trust** <br>3.000% due 11/25/2058 ~ | $132 | 130 |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Upstart** **Pass-Through Trust Series** <br>3.800% due 04/20/2030 | 7519 | 6992 |
| **Upstart Securitization Trust**  |  |  |
| 0.870% due 03/20/2031  | 275 | 274 |
| 3.120% due 03/20/2032  | 18440 | 17775 |
| 4.370% due 05/20/2032  | 4905 | 4797 |
| 4.480% due 03/20/2032  | 12000 | 10801 |
| 5.500% due 06/20/2032  | 17113 | 16701 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 04/15/2027 ~  | 90 | 89 |
| 5.143% due 10/20/2028 • | 7843 | 7747 |
| 5.263% due 04/20/2029 ~  | 1046 | 1036 |
| 5.293% due 07/20/2030 ~  | 4397 | 4296 |
| 5.343% due 01/20/2029 • | 8987 | 8883 |
| 5.596% due 09/07/2030 • | 11400 | 11192 |
| 5.766% due 08/28/2029 • | 354 | 350 |
| **Vibrant CLO Ltd.** <br>5.943% due 07/20/2032 •  | 9125 | 8694 |
| **WaMu Asset-Backed Certificates WaMu Trust**  |  |  |
| 4.614% due 05/25/2037 • | 107 | 98 |
| 4.629% due 05/25/2037 • | 414 | 340 |
| **Washington Mutual Asset-Backed Certificates Trust**  |  |  |
| 4.449% due 11/25/2036 • | 718 | 263 |
| 4.699% due 08/25/2036 • | 2046 | 1908 |
| **Wellfleet CLO Ltd.** <br>5.133% due 04/20/2029 •  | 5840 | 5769 |
| **Wells Fargo Home Equity Asset-Backed Securities Trust** <br>5.139% due 12/25/2035 •  | 422 | 412 |
| Total Asset-Backed Securities (Cost $1,319,135) |  | 1232945 |
| **SOVEREIGN ISSUES 0.0%**  |  |  |
| **Brazil Government International Bond** <br>4.750% due 01/14/2050 | 995 | 700 |
| **Russia Government International Bond**  |  |  |
| 4.250% due 06/23/2027 ^(d)  | 200 | 70 |
| 5.250% due 06/23/2047 ^(d)  | 600 | 222 |
| Total Sovereign Issues (Cost $1,468) |  | 992 |
|  | SHARES |  |
| **PREFERRED SECURITIES 0.1%**  |  |  |
| **BANKING & FINANCE 0.1%**  |  |  |
| **CaixaBank SA**<br>6.750% due 06/13/2024 •(h)(i) | 1000000 | 1047 |
| **JPMorgan Chase & Co.**<br>4.600% due 02/01/2025 •(h) | 145000 | 129 |
| **SL Green Realty Corp.**<br>6.500% due 01/30/2023 (h) | 26950 | 545 |
| **Stichting AK Rabobank Certificaten**<br>6.500% due 12/29/2049 þ(h) | 1236900 | 1274 |
| **Truist Financial Corp.**<br>4.950% due 09/01/2025 •(h) | 302000 | 290 |
| Total Preferred Securities (Cost $4,233) |  | 3285 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 63.8%**  |  |  |
| **COMMERCIAL PAPER 0.3%**  |  |  |
| **Crown Castle, Inc.** <br>5.100% due 01/05/2023 | $5700 | 5695 |
| **Duke Energy Corp.** <br>4.650% due 01/09/2023 | 1100 | 1099 |
| **Quanta Services, Inc.** <br>5.300% due 01/19/2023 | 1400 | 1396 |
|  |  | 8190 |
| **REPURCHASE AGREEMENTS (k) 58.3%**<br>|  | 1686400 |
| **SHORT-TERM NOTES 4.1%**  |  |  |
| **CCG Receivables Trust**<br>1.842% due 06/14/2023 | 812 | 811 |

---

------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Enterprise** **Fleet Financing LLC**<br>2.764% due 06/20/2023 | 11052 | 11031 |
| **Federal Home Loan Bank**<br>4.310% due 01/03/2023 - 01/25/2023 •  | 105800 | 105801 |
|  |  | 117643 |
| **HUNGARY TREASURY BILLS 0.5%**  |  |  |
| 18.250% due 01/03/2023 (e)(f) | 5299000 | 14206 |
| **U.S. TREASURY BILLS 0.6%**  |  |  |
| 4.214% due 03/02/2023 - 03/23/2023 (e)(f)(o) | $17271 | 17151 |
| Total Short-Term Instruments (Cost $1,843,035) |  | 1843590 |
| Total Investments in Securities (Cost $3,914,511) |  | 3726786 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 0.0%**  |  |  |
| **SHORT-TERM INSTRUMENTS 0.0%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 0.0%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 18401 | 179 |
| Total Short-Term Instruments (Cost $179) |  | 179 |
| Total Investments in Affiliates (Cost $179) |  | 179 |
| Total Investments 128.8% (Cost $3,914,690) |  | $3726965 |
| **Financial Derivative Instruments (l)(n) (1.0)**%(Cost or Premiums, net $8,789) |  | (29975) |
| Other Assets and Liabilities, net (27.8)% |  | (803325) |
| Net Assets 100.0% |  | $2893665 |

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------

<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** |
| **(c)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(d)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(e)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(f)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(g)** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** |
| **(h)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(i)** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** |
| **(j)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Coupon | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | 2.129 | 11/24/2026 | 11/24/2026 | 11/24/2026 | 11/17/2020 | 11/17/2020 | 4400 | 4400 | 4400 | $ | 3886 | 3886 | 0.13 |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | 3.035 | 05/28/2032 | 05/28/2032 | 05/28/2032 | 05/27/2021 - 06/16/2021 | 05/27/2021 - 06/16/2021 | 3104 | 3104 | 3104 |  | 2357 | 2357 | 0.08 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 3.950 | 03/25/2051 | 03/25/2051 | 03/25/2051 | 03/22/2021 | 03/22/2021 | 3694 | 3694 | 3694 |  | 2652 | 2652 | 0.09 |
|  |  |  |  |  |  |  |  | $ | 11198 | 11198 | $ | $ | 8895 | 0.30%  | 0.30%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(k)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Lending<br>Rate | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 4.280%  | 01/03/2023 | 143200 | 143200 | &nbsp;&nbsp; U.S. Treasury Notes 3.025% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.025% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.025% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.025% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.025% due 06/30/2029 | (146064) | (146064) | (146064) | 143200 | $ | $143268 |
| NOM | 4.260  | 01/04/2023 | 802000 | 802000 | &nbsp;&nbsp; U.S. Treasury Bonds 1.125% - 5.000% due 05/15/2037 - 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 1.125% - 5.000% due 05/15/2037 - 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 1.125% - 5.000% due 05/15/2037 - 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 1.125% - 5.000% due 05/15/2037 - 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 1.125% - 5.000% due 05/15/2037 - 08/15/2051 | (817379) | (817379) | (817379) | 802000 |  | 802000 |
|  | 4.280  | 01/03/2023 | 741200 | 741200 | &nbsp;&nbsp; U.S. Treasury Notes 1.125% - 1.375% due 10/31/2028 - 11/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 1.125% - 1.375% due 10/31/2028 - 11/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 1.125% - 1.375% due 10/31/2028 - 11/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 1.125% - 1.375% due 10/31/2028 - 11/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 1.125% - 1.375% due 10/31/2028 - 11/15/2031 | (755957) | (755957) | (755957) | 741200 |  | 741553 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | **(1719400)** | **(1719400)** | **(1719400)** | **1686400** | **$** | $**1686821** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **(l)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | # of<br>Contracts | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 833 | 833 | 833 | $170830 | 170830 | 113 | 113 | 113 | $ | $0 | 0 | $ | (130) |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 1678 | 1678 | 1678 | 188434 | 188434 | (1562) | (1562) | (1562) |  | 0 | 0 |  | (236) |
| U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | 295 | 295 | 295 | 36976 | 36976 | (710) | (710) | (710) |  | 0 | 0 |  | (46) |
|  |  |  |  |  |  |  |  | (2159) | (2159) | $ | $ | 0 | $ | $ | (412) |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description | Description | Description |  |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | 03/2023 | 03/2023 | 188 | (26751) | $1695 | 1695 | $213 | 213 | 213 | (95) |
| Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | 03/2023 | 03/2023 | 28 | (4053) | 766 | 766 | 105 | 105 | 105 | (18) |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 03/2023 | 3704 | (399772) | 732 | 732 | 318 | 318 | 318 | 0 |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 03/2023 | 443 | (59500) | 1515 | 1515 | 222 | 222 | 222 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  | 4708 | $ | 858 | 858 | $ | (113) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **2549** | **$** | **858** | **858** | **$** | **(525)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset | Liability |
| AT&T, Inc.  | AT&T, Inc.  | AT&T, Inc.  | 1.000% | Quarterly | 12/20/2025 | 12/20/2025 | 0.967 | 0.967 | 0.967 | $ | 500 | 7 | (6) | 1 | 1 | $ | 0 | 0 |
| AT&T, Inc.  | AT&T, Inc.  | AT&T, Inc.  | 1.000 | Quarterly | 06/20/2026 | 06/20/2026 | 0.998 | 0.998 | 0.998 |  | 9300 | 152 | (148) | 4 | 4 |  | 0 | (2) |
| Boeing Co.  | Boeing Co.  | Boeing Co.  | 1.000 | Quarterly | 06/20/2023 | 06/20/2023 | 0.709 | 0.709 | 0.709 |  | 7700 | 19 | (6) | 13 | 13 |  | 1 | 0 |
| Boeing Co.  | Boeing Co.  | Boeing Co.  | 1.000 | Quarterly | 12/20/2026 | 12/20/2026 | 1.297 | 1.297 | 1.297 |  | 4300 | (17) | (27) | (44) | (44) |  | 2 | 0 |
| General Electric Co.  | General Electric Co.  | General Electric Co.  | 1.000 | Quarterly | 06/20/2026 | 06/20/2026 | 0.801 | 0.801 | 0.801 |  | 5100 | 34 | 0 | 34 | 34 |  | 0 | (2) |
| General Electric Co.  | General Electric Co.  | General Electric Co.  | 1.000 | Quarterly | 12/20/2026 | 12/20/2026 | 0.870 | 0.870 | 0.870 |  | 500 | 6 | (3) | 3 | 3 |  | 0 | 0 |
| General Motors Co.  | General Motors Co.  | General Motors Co.  | 5.000 | Quarterly | 12/20/2026 | 12/20/2026 | 1.964 | 1.964 | 1.964 |  | 12700 | 2527 | (1149) | 1378 | 1378 |  | 1 | 0 |
| Rolls-Royce PLC  | Rolls-Royce PLC  | Rolls-Royce PLC  | 1.000 | Quarterly | 12/20/2025 | 12/20/2025 | 2.767 | 2.767 | 2.767 | EUR | 200 | (19) | 9 | (10) | (10) |  | 0 | 0 |
| Stellantis NV  | Stellantis NV  | Stellantis NV  | 5.000 | Quarterly | 12/20/2026 | 12/20/2026 | 1.519 | 1.519 | 1.519 |  | 6100 | 1407 | (565) | 842 | 842 |  | 4 | 0 |
| Volkswagen International Finance NV  | Volkswagen International Finance NV  | Volkswagen International Finance NV  | 1.000 | Quarterly | 12/20/2025 | 12/20/2025 | 1.092 | 1.092 | 1.092 |  | 24300 | 298 | (355) | (57) | (57) |  | 18 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | 4414 | (2250) | 2164 | 2164 | $ | 26 | (4) |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Market<br>Value | Asset | Liability |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750% | Annual | Annual | 06/15/2024 | 06/15/2024 | $ | 416500 | (16552) | (3389) | (19941) | (19941) | (19941) | 0 | (346) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2027 | 06/15/2027 |  | 185900 | (14070) | (2520) | (16590) | (16590) | (16590) | 0 | (281) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2032 | 06/15/2032 |  | 267200 | 32351 | 7835 | 40186 | 40186 | 40186 | 696 | 0 |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2052 | 06/15/2052 |  | 2100 | (516) | (72) | (588) | (588) | (588) | 0 | (10) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.000 | Semi-Annual | Semi-Annual | 12/16/2025 | 12/16/2025 |  | 48700 | 1097 | (5687) | (4590) | (4590) | (4590) | 0 | (81) |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 0.500 | Semi-Annual | Semi-Annual | 06/16/2028 | 06/16/2028 |  | 138800 | (8152) | (15709) | (23861) | (23861) | (23861) | 0 | (275) |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.000 | Semi-Annual | Semi-Annual | 12/16/2030 | 12/16/2030 |  | 119200 | 3138 | 20446 | 23584 | 23584 | 23584 | 272 | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.250 | Semi-Annual | Semi-Annual | 06/16/2051 | 06/16/2051 |  | 44400 | 8997 | 9378 | 18375 | 18375 | 18375 | 207 | 0 |
| Pay<sup>(5)</sup> | Pay<sup>(5)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.750 | Annual | Annual | 03/15/2033 | 03/15/2033 | EUR | 58900 | (5141) | (2722) | (7863) | (7863) | (7863) | 0 | (310) |
| Receive<sup>(5)</sup> | Receive<sup>(5)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.500 | Annual | Annual | 03/15/2053 | 03/15/2053 |  | 20900 | 2853 | 1744 | 4597 | 4597 | 4597 | 216 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | 4005 | 9304 | 13309 | 13309 | $ | 1391 | (1303) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **8419** | **7054** | **15473** | **15473** | **$** | **1417** | **(1307)** |
| **(m)** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $11,616 and cash of $39,818 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|
| <sup>(</sup><sup>4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(5)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(n)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Currency to<br>be Delivered | Currency to<br>be Received | Asset | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 2187476 | $5585 | $0 | $(280) |
|  |  | 02/2023  | 21383 | 22612 | 0 | (621) |
|  |  | 02/2023  | 7703 | 8174 | 0 | (95) |
|  |  | 02/2023  | 61644 | 72838 | 38 | (1806) |
|  |  | 02/2023  | 1156700 | 8607 | 0 | (255) |
|  |  | 02/2023  | 13369 | 1347 | 0 | (20) |
|  |  | 02/2023  | 90302 | 8718 | 43 | 0 |
|  |  | 02/2023  | $3209 | 3004 | 16 | 0 |
|  |  | 03/2023  | 23564 | $1186 | 0 | (7) |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 01/2023  | 7419 | 1419 | 14 | 0 |
|  |  | 01/2023  | 980775 | 2549 | 0 | (81) |
|  |  | 01/2023  | 4052 | 1182 | 29 | 0 |
|  |  | 01/2023  | $1989 | 10810 | 59 | 0 |
|  |  | 03/2023  | 1469 | 121832 | 0 | (3) |
|  |  | 03/2023  | 60786 | 1225092 | 1214 | 0 |
|  |  | 03/2023  | 17 | 507 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 01/2023  | 1202203 | $3135 | 0 | (88) |
|  |  | 01/2023  | 5383 | 3997 | 0 | (23) |
|  |  | 01/2023  | $182 | 1269 | 2 | 0 |
|  |  | 02/2023  | 10416 | $11105 | 0 | (212) |
|  |  | 02/2023  | 3106 | 3819 | 60 | 0 |
|  |  | 02/2023  | 20386 | 2043 | 0 | (42) |
|  |  | 02/2023  | $2062 | 1966 | 48 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | 02/2023  | 1137 | 11345 | 23 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 1316 | $251 | 2 | 0 |
|  |  | 01/2023  | 6126 | 6 | 0 | (1) |
|  |  | 01/2023  | 9580 | 1358 | 0 | (21) |
|  |  | 01/2023  | 37194 | 11775 | 1194 | 0 |
|  |  | 01/2023  | $994 | 5274 | 5 | 0 |
|  |  | 01/2023  | 2314 | 2990521 | 61 | 0 |
|  |  | 02/2023  | 39618 | $26554 | 0 | (467) |
|  |  | 02/2023  | 6627 | 1228 | 0 | (20) |
|  |  | 02/2023  | 3269 | 3499 | 0 | (10) |
|  |  | 02/2023  | $2022 | 3019 | 37 | 0 |
|  |  | 02/2023  | 1320 | 1236 | 7 | 0 |
|  |  | 02/2023  | 5166 | 4325 | 80 | (11) |
|  |  | 03/2023  | 2269 | 68122 | 0 | (36) |
|  |  | 05/2023  | 175 | 3545 | 2 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | 01/2023  | 7348 | $1379 | 0 | (13) |
|  |  | 01/2023  | 8382 | 1077 | 2 | 0 |
|  |  | 01/2023  | 15 | 0 | 0 | 0 |
|  |  | 01/2023  | $189 | 1318 | 1 | 0 |
|  |  | 03/2023  | 361133 | $17567 | 0 | (709) |
|  |  | 03/2023  | $1143 | 22939 | 18 | 0 |
|  |  | 04/2023  | 1355 | 7348 | 13 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 01/2023  | 520561 | $1328 | 0 | (68) |
|  |  | 02/2023  | 9540500 | 69229 | 0 | (3871) |
|  |  | 02/2023  | 870829 | 42477 | 0 | (1826) |
|  |  | 02/2023  | $494 | 14992 | 0 | (4) |
|  |  | 03/2023  | 493073 | $32 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 123237 | 17408 | 0 | (340) |
|  |  | 01/2023  | 34792 | 4469 | 10 | 0 |
|  |  | 02/2023  | 298088 | 309145 | 0 | (10863) |
|  |  | 03/2023  | 299267 | 19 | 0 | 0 |
|  |  | 03/2023  | 316328 | 3819 | 12 | 0 |
|  |  | 03/2023  | 96612 | 3209 | 42 | 0 |
|  |  | 03/2023  | $2769 | 229885 | 0 | (3) |
|  |  | 05/2023  | 1247 | $186 | 4 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | $2326 | 16630 | 69 | 0 |
|  |  | 02/2023  | 1857 | $1254 | 0 | (13) |
|  |  | 02/2023  | 19576 | 1894 | 13 | 0 |
|  |  | 02/2023  | $8175 | 7847 | 249 | 0 |
|  |  | 02/2023  | 7550 | 1039500 | 415 | 0 |
|  |  | 02/2023  | 909 | 27716 | 0 | (3) |
|  |  | 02/2023  | 327 | 6071 | 29 | 0 |
|  |  | 03/2023  | 421653 | $27 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 4083375 | 3107 | 0 | (137) |
|  |  | 01/2023  | $1178 | 1557102 | 58 | 0 |
|  |  | 02/2023  | 2365 | $2555 | 0 | (15) |
|  |  | 02/2023  | 7766 | 8213 | 0 | (124) |
|  |  | 02/2023  | 4839 | 157 | 0 | (1) |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | 02/2023  | 02/2023  | $ | $ | $ | 2756 | 2756 | 2756 | CHF | CHF | 2586 | 2586 | 54 | 54 |  | 0 | 0 |
|  |  |  | 04/2023  | 04/2023  | ZAR | ZAR | ZAR | 10286 | 10286 | 10286 | $ | $ | 559 | 559 | 0 | 0 |  | (41) | (41) |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | 01/2023  | 01/2023  | HKD | HKD | HKD | 42057 | 42057 | 42057 |  |  | 5401 | 5401 | 11 | 11 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | 01/2023  | 01/2023  | $ | $ | $ | 10457 | 10457 | 10457 | ILS | ILS | 37066 | 37066 | 88 | 88 |  | 0 | 0 |
|  |  |  | 02/2023  | 02/2023  | ZAR | ZAR | ZAR | 18467 | 18467 | 18467 | $ | $ | 1070 | 1070 | 0 | 0 |  | (13) | (13) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 01/2023  | 01/2023  | DKK | DKK | DKK | 136869 | 136869 | 136869 |  |  | 19158 | 19158 | 0 | 0 |  | (554) | (554) |
|  |  |  | 01/2023  | 01/2023  | HUF | HUF | HUF | 388289 | 388289 | 388289 |  |  | 1012 | 1012 | 0 | 0 |  | (29) | (29) |
|  |  |  | 01/2023  | 01/2023  | $ | $ | $ | 2745 | 2745 | 2745 | HKD | HKD | 21343 | 21343 | 0 | 0 |  | (9) | (9) |
|  |  |  | 02/2023  | 02/2023  |  |  |  | 37 | 37 | 37 | IDR | IDR | 583843 | 583843 | 1 | 1 |  | 0 | 0 |
|  |  |  | 04/2023  | 04/2023  |  |  |  | 551 | 551 | 551 | ZAR | ZAR | 10286 | 10286 | 49 | 49 |  | 0 | 0 |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**4072** | **4072** | **$** | $**(22735)** | **(22735)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Reference Entity | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Liability |
| JPM | Hochtief AG  | Hochtief AG  | Hochtief AG  | 5.000% | 5.000% | Quarterly | Quarterly | 12/20/2025 | 12/20/2025 | 1.661% | 1.661% | 1.661% | 1.661% | 1600 | 370 | $(208) | (208) | 162 | $0 |
| **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | &nbsp;&nbsp; Counterparty | Pay/Receive<sup>(5)</sup> | Underlying<br>Reference | Underlying<br>Reference | Underlying<br>Reference | # of Units | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Liability |
| &nbsp;&nbsp; BPS | &nbsp;&nbsp; BPS | Receive | RADMFXNT Index  | RADMFXNT Index  | RADMFXNT Index  | 64549 | &nbsp;&nbsp; 4.320% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 4.320% (1-Month USD-LIBOR less a specified spread) | Monthly | Monthly | Monthly | 02/08/2023 | 02/08/2023 | 93551 | 0 | $(339) | (339) | 0 | $(339) |
|  |  | Receive | RU20INTR Index  | RU20INTR Index  | RU20INTR Index  | 6024 | &nbsp;&nbsp; 4.380% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.380% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 02/08/2023 | 02/08/2023 | 55704 | 0 | (220) | (220) | 0 | (220) |
|  |  | Receive | ERADXULT Index  | ERADXULT Index  | ERADXULT Index  | 26554 | &nbsp;&nbsp; 4.920% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.920% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 03/15/2023 | 03/15/2023 | 54055 | 0 | (252) | (252) | 0 | (252) |
|  |  | Receive | RADMFXNT Index  | RADMFXNT Index  | RADMFXNT Index  | 6842 | &nbsp;&nbsp; 4.405% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.405% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 04/05/2023 | 04/05/2023 | 9916 | 0 | (58) | (58) | 0 | (58) |
|  |  | Receive | RADMFXNT Index  | RADMFXNT Index  | RADMFXNT Index  | 43924 | &nbsp;&nbsp; 4.390% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.390% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 05/24/2023 | 05/24/2023 | 63659 | 0 | (234) | (234) | 0 | (234) |
|  |  | Receive | ERADXULT Index  | ERADXULT Index  | ERADXULT Index  | 6549 | &nbsp;&nbsp; 4.940% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.940% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 06/14/2023 | 06/14/2023 | 13332 | 0 | (55) | (55) | 0 | (55) |
|  |  | Receive | RADMFXNT Index  | RADMFXNT Index  | RADMFXNT Index  | 5873 | &nbsp;&nbsp; 4.360% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.360% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 06/14/2023 | 06/14/2023 | 8512 | 0 | (31) | (31) | 0 | (31) |
|  |  | Receive | ERADXULT Index  | ERADXULT Index  | ERADXULT Index  | 4588 | &nbsp;&nbsp; 5.020% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 5.020% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 08/09/2023 | 08/09/2023 | 9340 | 0 | (40) | (40) | 0 | (40) |
|  |  | Receive | ERAEMLT Index  | ERAEMLT Index  | ERAEMLT Index  | 158 | &nbsp;&nbsp; 5.540% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 5.540% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 09/13/2023 | 09/13/2023 | 554 | 0 | (3) | (3) | 0 | (3) |
|  |  | Receive | RADMFXNT Index  | RADMFXNT Index  | RADMFXNT Index  | 42826 | &nbsp;&nbsp; 4.410% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.410% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 09/13/2023 | 09/13/2023 | 62068 | 0 | (235) | (235) | 0 | (235) |
|  |  | Receive | RADMFENT Index  | RADMFENT Index  | RADMFENT Index  | 1109 | &nbsp;&nbsp; 4.780% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.780% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 10/11/2023 | 10/11/2023 | 1502 | 0 | (6) | (6) | 0 | (6) |
|  |  | Receive | RADMFENT Index  | RADMFENT Index  | RADMFENT Index  | 3984 | &nbsp;&nbsp; 4.810% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.810% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 10/25/2023 | 10/25/2023 | 5397 | 0 | (22) | (22) | 0 | (22) |
|  |  | Receive | RADMFENT Index  | RADMFENT Index  | RADMFENT Index  | 34347 | &nbsp;&nbsp; 4.770% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.770% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | Monthly | 11/08/2023 | 11/08/2023 | 46525 | 0 | (191) | (191) | 0 | (191) |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; CBK | Receive | NDDUEAFE Index  | 15578 | &nbsp;&nbsp; 4.310% (1-Month USD-LIBOR less a specified spread) | Monthly | 08/02/2023 | 102555 | 0 | (372) | 0 | (372) |
| &nbsp;&nbsp; FAR | Receive | ERAUSST Index  | 15392 | &nbsp;&nbsp; 4.480% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/10/2023 | 80716 | 0 | (333) | 0 | (333) |
| &nbsp;&nbsp; JPM | Receive | RADMFXNT Index  | 17797 | &nbsp;&nbsp; 4.850% (1-Month USD-LIBOR plus a specified spread) | Monthly | 01/11/2023 | 24107 | 0 | (137) | 0 | (137) |
|  | Receive | ERADXULT Index  | 9394 | &nbsp;&nbsp; 4.870% (1-Month USD-LIBOR plus a specified spread) | Monthly | 02/15/2023 | 19123 | 0 | (78) | 0 | (78) |
|  | Receive | ERAEMLT Index  | 4248 | &nbsp;&nbsp; 5.280% (1-Month USD-LIBOR plus a specified spread) | Monthly | 02/15/2023 | 14895 | 0 | (67) | 0 | (67) |
|  | Receive | ERADXULT Index  | 66554 | &nbsp;&nbsp; 4.830% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/15/2023 | 135483 | 0 | (551) | 0 | (551) |
|  | Receive | NDUEEGF Index  | 14065 | &nbsp;&nbsp; 4.350% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/05/2023 | 6836 | 0 | (25) | 0 | (25) |
|  | Receive | NDUEEGF Index  | 16499 | &nbsp;&nbsp; 4.930% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/05/2023 | 8019 | 0 | (24) | 0 | (24) |
|  | Receive | ERAEMLT Index  | 16044 | &nbsp;&nbsp; 5.280% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/12/2023 | 56254 | 0 | (251) | 0 | (251) |
|  | Receive | ERADXULT Index  | 3092 | &nbsp;&nbsp; 4.950% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/26/2023 | 6294 | 0 | (26) | 0 | (26) |
|  | Receive | ERAEMLT Index  | 249 | &nbsp;&nbsp; 5.320% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/10/2023 | 873 | 0 | (4) | 0 | (4) |
|  | Receive | ERAUSST Index  | 10459 | &nbsp;&nbsp; 4.480% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/10/2023 | 54847 | 0 | (226) | 0 | (226) |
|  | Receive | RADMFENT Index  | 72495 | &nbsp;&nbsp; 4.710% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/24/2023 | 98199 | 0 | (397) | 0 | (397) |
|  | Receive | NDDUEAFE Index  | 4242 | &nbsp;&nbsp; 4.310% (1-Month USD-LIBOR less a specified spread) | Monthly | 07/19/2023 | 27927 | 0 | (101) | 0 | (101) |
|  | Receive | RADMFXNT Index  | 38474 | &nbsp;&nbsp; 4.415% (1-Month USD-LIBOR plus a specified spread) | Monthly | 08/02/2023 | 55760 | 0 | (207) | 0 | (207) |
|  | Receive | RADMFENT Index  | 38582 | &nbsp;&nbsp; 4.830% (1-Month USD-LIBOR plus a specified spread) | Monthly | 08/09/2023 | 52262 | 0 | (217) | 0 | (217) |
|  | Receive | ERAUSLT Index  | 326895 | &nbsp;&nbsp; 4.600% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 146348 | 0 | (604) | 0 | (604) |
|  | Receive | RADMFENT Index  | 43852 | &nbsp;&nbsp; 0.000% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 59400 | 0 | (241) | 0 | (241) |
|  | Receive | RADMFENT Index  | 74224 | &nbsp;&nbsp; 4.730% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 100541 | 0 | (408) | 0 | (408) |
|  | Receive | RADMFXNT Index  | 69774 | &nbsp;&nbsp; 3.880% (1-Month USD-LIBOR less a specified spread) | Monthly | 09/13/2023 | 124709 | 0 | (426) | 0 | (426) |
|  | Receive | RADMFXNT Index  | 72686 | &nbsp;&nbsp; 4.390% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 105344 | 0 | (388) | 0 | (388) |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Receive | RU20INTR Index  | 7523 | &nbsp;&nbsp; 4.330% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 69566 | 0 | (272) | 0 | (272) |
|  | Receive | RADMFENT Index  | 18606 | &nbsp;&nbsp; 4.700% (1-Month USD-LIBOR plus a specified spread) | Monthly | 10/11/2023 | 25203 | 0 | (80) | 0 | (80) |
|  | Receive | ERAUSST Index  | 7676 | &nbsp;&nbsp; 4.480% (1-Month USD-LIBOR plus a specified spread) | Monthly | 10/18/2023 | 40253 | 0 | (166) | 0 | (166) |
|  | Receive | ERAEMLT Index  | 12317 | &nbsp;&nbsp; 5.350% (1-Month USD-LIBOR plus a specified spread) | Monthly | 11/08/2023 | 43186 | 0 | (167) | 0 | (167) |
| &nbsp;&nbsp; MBC | Receive | NDUEEGF Index  | 18903 | &nbsp;&nbsp; 4.050% (1-Month USD-LIBOR less a specified spread) | Monthly | 02/08/2023 | 9188 | 0 | (32) | 0 | (32) |
|  | Receive | NDDUEAFE Index  | 91 | &nbsp;&nbsp; 4.340% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/05/2023 | 599 | 0 | (2) | 0 | (2) |
|  | Receive | NDUEEGF Index  | 23336 | &nbsp;&nbsp; 4.260% (1-Month USD-LIBOR less a specified spread) | Monthly | 04/05/2023 | 11343 | 0 | (41) | 0 | (41) |
|  | Receive | ERAUSST Index  | 4861 | &nbsp;&nbsp; 4.210% (1-Month USD-LIBOR less a specified spread) | Monthly | 04/12/2023 | 25491 | 0 | (98) | 0 | (98) |
| &nbsp;&nbsp; MEI | Receive | ERAEMLT Index  | 2547 | &nbsp;&nbsp; 5.330% (1-Month USD-LIBOR plus a specified spread) | Monthly | 01/11/2023 | 8930 | 0 | (40) | 0 | (40) |
|  | Receive | ERAEMLT Index  | 4920 | &nbsp;&nbsp; 5.260% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/15/2023 | 17251 | 0 | (77) | 0 | (77) |
|  | Receive | ERAEMLT Index  | 32451 | &nbsp;&nbsp; 5.200% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/29/2023 | 113781 | 0 | (500) | 0 | (500) |
|  | Receive | NDDUEAFE Index  | 4417 | &nbsp;&nbsp; 4.270% (1-Month USD-LIBOR less a specified spread) | Monthly | 06/21/2023 | 29079 | 0 | (104) | 0 | (104) |
|  | Receive | ERAEMLT Index  | 35420 | &nbsp;&nbsp; 5.310% (1-Month USD-LIBOR plus a specified spread) | Monthly | 07/12/2023 | 124191 | 0 | (626) | 0 | (626) |
|  | Receive | NDDUEAFE Index  | 16380 | &nbsp;&nbsp; 4.280% (1-Month USD-LIBOR less a specified spread) | Monthly | 08/16/2023 | 107835 | 0 | (388) | 0 | (388) |
|  | Receive | ERADXULT Index  | 71306 | &nbsp;&nbsp; 4.975% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 145156 | 0 | (609) | 0 | (609) |
| &nbsp;&nbsp; MYI | Receive | RU20INTR Index  | 2760 | &nbsp;&nbsp; 4.170% (1-Month USD-LIBOR less a specified spread) | Monthly | 04/12/2023 | 25522 | 0 | (96) | 0 | (96) |
|  | Receive | NDDUEAFE Index  | 6957 | &nbsp;&nbsp; 4.300% (1-Month USD-LIBOR less a specified spread) | Monthly | 05/17/2023 | 45800 | 0 | (166) | 0 | (166) |
|  | Receive | NDDUEAFE Index  | 1851 | &nbsp;&nbsp; 4.310% (1-Month USD-LIBOR less a specified spread) | Monthly | 05/17/2023 | 12186 | 0 | (44) | 0 | (44) |
|  | Receive | NDDUEAFE Index  | 2901 | &nbsp;&nbsp; 4.330% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/24/2023 | 19098 | 0 | (70) | 0 | (70) |
|  | Receive | RU20INTR Index  | 3242 | &nbsp;&nbsp; 4.200% (1-Month USD-LIBOR less a specified spread) | Monthly | 06/07/2023 | 29979 | 0 | (113) | 0 | (113) |
|  | Receive | NDDUEAFE Index  | 1394 | &nbsp;&nbsp; 4.210% (1-Month USD-LIBOR less a specified spread) | Monthly | 06/14/2023 | 9177 | 0 | (27) | 0 | (27) |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Receive | RU20INTR Index  | 534 | &nbsp;&nbsp; 4.230% (1-Month USD-LIBOR less a specified spread) | Monthly | 07/12/2023 | 4938 | 0 | 0 | 0 | 0 | 0 |
|  |  | Receive | NDDUEAFE Index  | 25651 | &nbsp;&nbsp; 4.300% (1-Month USD-LIBOR less a specified spread) | Monthly | 09/13/2023 | 168870 | 0 | (611) | (611) | 0 | (611) |
| &nbsp;&nbsp; UAG | &nbsp;&nbsp; UAG | Receive | RU20INTR Index  | 454 | &nbsp;&nbsp; 4.480% (1-Month USD-LIBOR plus a specified spread) | Monthly | 02/01/2023 | 4198 | 0 | (17) | (17) | 0 | (17) |
|  |  | Receive | ERAUSST Index  | 1318 | &nbsp;&nbsp; 4.380% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/05/2023 | 6912 | 0 | 0 | 0 | 0 | 0 |
|  |  | Receive | NDDUEAFE Index  | 18753 | &nbsp;&nbsp; 4.290% (1-Month USD-LIBOR less a specified spread) | Monthly | 07/12/2023 | 123458 | 0 | (446) | (446) | 0 | (446) |
|  |  | Receive | ERAUSST Index  | 11355 | &nbsp;&nbsp; 4.430% (1-Month USD-LIBOR plus a specified spread) | Monthly | 08/23/2023 | 59546 | 0 | (242) | (242) | 0 | (242) |
|  |  | Receive | ERAUSST Index  | 5335 | &nbsp;&nbsp; 4.430% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/06/2023 | 27977 | 0 | (114) | (114) | 0 | (114) |
|  |  |  |  |  |  |  |  |  | 0 | $(11917) | (11917) | $0 | $(11917) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **370** | $**(12125)** | **(12125)** | $**162** | $**(11917)** |
| **(o)** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $74,061 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(5)</sup> | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | $154078 | $0 | 0 | $ | 154078 |  |
| Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 51004 | 0 | 0 |  | 51004 |  |
| Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | 0 | 0 | 10759 | 0 | 0 |  | 10759 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| California | California | California | California | California | California | 0 | 0 | 2194 | 0 | 0 |  | 2194 |  |
| Illinois | Illinois | Illinois | Illinois | Illinois | Illinois | 0 | 0 | 460 | 0 | 0 |  | 460 |  |
| Nebraska | Nebraska | Nebraska | Nebraska | Nebraska | Nebraska | 0 | 0 | 23 | 0 | 0 |  | 23 |  |
| Ohio | Ohio | Ohio | Ohio | Ohio | Ohio | 0 | 0 | 55 | 0 | 0 |  | 55 |  |
| Pennsylvania | Pennsylvania | Pennsylvania | Pennsylvania | Pennsylvania | Pennsylvania | 0 | 0 | 5 | 0 | 0 |  | 5 |  |
| Washington | Washington | Washington | Washington | Washington | Washington | 0 | 0 | 725 | 0 | 0 |  | 725 |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 | 8779 | 0 | 0 |  | 8779 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 | 119023 | 0 | 0 |  | 119023 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 298869 | 0 | 0 |  | 298869 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 1232945 | 0 | 0 |  | 1232945 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 992 | 0 | 0 |  | 992 |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | 545 | 545 | 2740 | 0 | 0 |  | 3285 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | 0 | 0 | 8190 | 0 | 0 |  | 8190 |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 1686400 | 0 | 0 |  | 1686400 |  |
| Short-Term Notes | Short-Term Notes | Short-Term Notes | Short-Term Notes | Short-Term Notes | Short-Term Notes | 0 | 0 | 117643 | 0 | 0 |  | 117643 |  |
| Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | 0 | 0 | 14206 | 0 | 0 |  | 14206 |  |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 | 17151 | 0 | 0 |  | 17151 |  |

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<br> Schedule of Investments PIMCO All Asset: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
|  | $545 | $3726241 | $0 | $3726786 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | $179 | $0 | $0 | $179 |
| Total Investments | $724 | $3726241 | $0 | $3726965 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 318 | 1957 | 0 | 2275 |
| Over the counter | 0 | 4234 | 0 | 4234 |
|  | $318 | $6191 | $0 | $6509 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | (113) | (1719) | 0 | (1832) |
| Over the counter | 0 | (34652) | 0 | (34652) |
|  | $(113) | $(36371) | $0 | $(36484) |
| Total Financial Derivative Instruments | $205 | $(30180) | $0 | $(29975) |
| Totals | $929 | $3696061 | $0 | $3696990 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 162.9% ¤** |  |  |
| **CORPORATE BONDS & NOTES 3.9%**  |  |  |
| **BANKING & FINANCE 3.9%**  |  |  |
| **Ally Financial, Inc.** <br>8.000% due 11/01/2031 | $176 | $182 |
| **American Tower Corp.** <br>3.000% due 06/15/2023 | 39 | 39 |
| **Avolon Holdings Funding Ltd.**  |  |  |
| 2.528% due 11/18/2027  | 46 | 37 |
| 3.950% due 07/01/2024  | 157 | 150 |
| **Crown Castle, Inc.** <br>3.150% due 07/15/2023 | 666 | 659 |
| **HSBC Holdings PLC** <br>6.000% due 03/29/2040 | 274 | 303 |
| **Jyske Realkredit AS**  |  |  |
| 0.500% due 10/01/2043  | 8630 | 950 |
| 1.000% due 10/01/2050  | 33828 | 3588 |
| 1.000% due 10/01/2053  | 24886 | 2459 |
| 1.500% due 10/01/2053  | 26355 | 2863 |
| 2.000% due 10/01/2053  | 3979 | 456 |
| **NatWest Group PLC**  |  |  |
| 4.519% due 06/25/2024 •  | $488 | 483 |
| 6.274% (US0003M + 1.550%) due 06/25/2024 ~  | 769 | 769 |
| **Nissan Motor Acceptance Co. LLC** <br>3.450% due 03/15/2023 | 20 | 20 |
| **Nordea Kredit Realkreditaktieselskab**  |  |  |
| 0.500% due 10/01/2043  | 3560 | 392 |
| 1.000% due 10/01/2050  | 44420 | 4724 |
| 1.500% due 10/01/2053  | 41019 | 4309 |
| **Nykredit Realkredit AS**  |  |  |
| 0.500% due 10/01/2043  | 46021 | 5056 |
| 1.000% due 10/01/2050  | 113085 | 11999 |
| 1.000% due 10/01/2053  | 22456 | 2362 |
| 1.500% due 10/01/2053  | 263855 | 28340 |
| 2.000% due 10/01/2053  | 28735 | 3178 |
| **Realkredit Danmark AS**  |  |  |
| 1.000% due 10/01/2050  | 25517 | 2710 |
| 1.000% due 10/01/2053  | 50599 | 5001 |
| 1.500% due 10/01/2053  | 92785 | 10042 |
| 2.000% due 10/01/2053  | 8380 | 921 |
| 2.500% due 04/01/2047  | 2 | 0 |
| 3.000% due 10/01/2053  | 10518 | 1347 |
| **UniCredit SpA** <br>7.830% due 12/04/2023 | $910 | 920 |
|  |  | 94259 |
| **INDUSTRIALS 0.0%**  |  |  |
| **Energy Transfer LP** <br>3.600% due 02/01/2023 | 20 | 20 |
| **Enterprise Products Operating LLC** <br>3.350% due 03/15/2023 | 39 | 39 |
| **RELX Capital, Inc.** <br>3.500% due 03/16/2023 | 20 | 20 |
| **TransCanada PipeLines Ltd.** <br>3.750% due 10/16/2023 | 11 | 11 |
| **U.S. Airways Pass-Through Trust** <br>7.125% due 04/22/2025 | 31 | 32 |
| **VMware, Inc.** <br>3.900% due 08/21/2027 | 39 | 36 |
|  |  | 158 |
| **UTILITIES 0.0%**  |  |  |
| **Verizon Communications, Inc.**  |  |  |
| 2.355% due 03/15/2032  | 46 | 36 |

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<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| 4.016% due 12/03/2029  | 285 | 267 |
|  |  | 303 |
| Total Corporate Bonds & Notes (Cost $134,828) |  | 94720 |
| **U.S. GOVERNMENT AGENCIES 4.3%**  |  |  |
| **Fannie Mae**  |  |  |
| 2.125% due 04/24/2026 | 705 | 661 |
| 2.889% due 09/01/2044 - 10/01/2044 •  | 2 | 2 |
| 3.462% due 05/01/2038 •  | 260 | 264 |
| 4.639% due 06/25/2048 •  | 3851 | 3698 |
| 4.819% due 10/25/2036 ~ | 2 | 2 |
| 4.839% due 08/25/2037 •  | 52 | 52 |
| **Freddie Mac**  |  |  |
| 3.757% due 09/01/2036 •  | 3 | 3 |
| 3.928% due 10/01/2036 •  | 3 | 3 |
| 4.133% due 07/01/2036 •  | 7 | 7 |
| 4.698% due 07/15/2036 •  | 19 | 18 |
| 4.768% due 05/15/2032 - 09/15/2042 •  | 147 | 145 |
| 4.918% due 12/15/2037 ~ | 25 | 25 |
| 4.938% due 10/15/2037 •  | 36 | 36 |
| **Ginnie Mae**  |  |  |
| 0.102% due 10/16/2053 ~(a) | 92 | 0 |
| 2.673% due 10/20/2043 •  | 292 | 279 |
| 3.858% due 08/20/2068 ~ | 641 | 623 |
| 4.753% due 02/20/2049 ~ | 426 | 416 |
| **U.S. Small Business Administration**  |  |  |
| 4.840% due 05/01/2025 | 2 | 2 |
| 4.990% due 09/01/2024 | 2 | 2 |
| 5.160% due 02/01/2028 | 2 | 2 |
| 5.310% due 05/01/2027 | 3 | 3 |
| 5.510% due 11/01/2027 | 2 | 2 |
| 5.820% due 06/01/2026 | 2 | 2 |
| 5.870% due 07/01/2028 | 1 | 1 |
| 6.770% due 11/01/2028 | 3 | 3 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.500% due 02/01/2045 - 05/01/2052 | 390 | 355 |
| 4.000% due 09/01/2048 - 04/01/2050 | 102 | 97 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 2.500% due 12/01/2051 | 1500 | 1270 |
| 3.000% due 02/01/2053  | 17400 | 15288 |
| 4.000% due 01/01/2053  | 400 | 375 |
| 4.000% due 02/01/2053 | 46000 | 43157 |
| 4.500% due 02/01/2053 | 20700 | 19928 |
| 5.000% due 02/01/2053 | 18500 | 18229 |
| Total U.S. Government Agencies (Cost $106,231) |  | 104950 |
| **U.S. TREASURY OBLIGATIONS 106.9%**  |  |  |
| **U.S. Treasury Inflation Protected Securities (e)** |  |  |
| 0.125% due 07/15/2024  | 39339 | 38075 |
| 0.125% due 10/15/2024  | 84674 | 81555 |
| 0.125% due 04/15/2025  | 95180 | 90727 |
| 0.125% due 10/15/2025  | 85334 | 81118 |
| 0.125% due 04/15/2026  | 73941 | 69535 |
| 0.125% due 07/15/2026  | 77137 | 72709 |
| 0.125% due 10/15/2026  | 95096 | 89168 |
| 0.125% due 04/15/2027 (h) | 45384 | 42312 |
| 0.125% due 01/15/2030  | 96657 | 86880 |
| 0.125% due 07/15/2030  | 107513 | 96332 |
| 0.125% due 01/15/2031 (k) | 117602 | 104521 |
| 0.125% due 07/15/2031  | 137326 | 121438 |
| 0.125% due 01/15/2032  | 86862 | 76148 |
| 0.125% due 02/15/2051 (k) | 16723 | 10786 |
| 0.125% due 02/15/2052 (k) | 28154 | 18262 |
| 0.250% due 01/15/2025 (h) | 102163 | 98017 |
| 0.250% due 07/15/2029  | 75260 | 68941 |
| 0.250% due 02/15/2050  | 49030 | 33111 |
| 0.375% due 07/15/2023  | 45854 | 45312 |
| 0.375% due 07/15/2025  | 75021 | 72066 |
| 0.375% due 01/15/2027  | 90674 | 85537 |
| 0.375% due 07/15/2027  | 59054 | 55679 |
| 0.500% due 04/15/2024  | 45591 | 44340 |
| 0.500% due 01/15/2028  | 147625 | 138885 |
| 0.625% due 04/15/2023  | 144654 | 143180 |
| 0.625% due 01/15/2024  | 82329 | 80588 |
| 0.625% due 01/15/2026  | 34810 | 33424 |
| 0.625% due 07/15/2032  | 105334 | 96566 |
| 0.625% due 02/15/2043  | 49171 | 39715 |
| 0.750% due 07/15/2028 (h) | 88564 | 84406 |
| 0.750% due 02/15/2042  | 39922 | 33450 |
| 0.750% due 02/15/2045  | 53531 | 43341 |
| 0.875% due 01/15/2029  | 98183 | 93589 |
| 0.875% due 02/15/2047  | 38401 | 31518 |
| 1.000% due 02/15/2046  | 25531 | 21708 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 1.000% due 02/15/2048  | 26828 | 22607 |
| 1.000% due 02/15/2049 (k) | 15944 | 13343 |
| 1.375% due 02/15/2044  | 44829 | 41674 |
| 1.625% due 10/15/2027  | 59052 | 59009 |
| 1.750% due 01/15/2028 (k) | 6077 | 6076 |
| 2.000% due 01/15/2026 (k) | 4272 | 4268 |
| 2.125% due 02/15/2040 (k) | 16482 | 17461 |
| 2.125% due 02/15/2041  | 19715 | 20903 |
| 3.375% due 04/15/2032 (k) | 123 | 140 |
| 3.875% due 04/15/2029 (k) | 847 | 952 |
| Total U.S. Treasury Obligations (Cost $2,893,917) |  | 2609372 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.6%**  |  |  |
| **Adjustable Rate Mortgage Trust** <br>3.949% due 07/25/2035 ~ | 5 | 5 |
| **Alliance Bancorp Trust** <br>4.869% due 07/25/2037 •  | 1508 | 1241 |
| **BAMLL Commercial Mortgage Securities Trust** <br>5.368% due 09/15/2038 •  | 700 | 658 |
| **Banc of America Funding Trust** <br>3.457% due 05/20/2036 ^~ | 25 | 22 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 3.474% due 07/25/2036 ^~  | 12 | 11 |
| 3.845% due 02/25/2036 ^~  | 27 | 24 |
| 3.987% due 01/25/2035 ~  | 7 | 6 |
| 4.282% due 01/25/2035 ~  | 9 | 9 |
| **Bear Stearns ALT-A Trust** <br>4.533% due 07/25/2035 ^~ | 61 | 45 |
| **BX Trust** <br>5.085% (TSFR1M + 0.749%) due 04/15/2039 ~ | 4760 | 4396 |
| **Chase Mortgage Finance Trust**  |  |  |
| 3.370% due 02/25/2037 ~  | 8 | 8 |
| 3.492% due 02/25/2037 ~  | 9 | 9 |
| 3.824% due 12/25/2035 ^~  | 1 | 1 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 2.358% due 03/25/2034 ~  | 7 | 6 |
| 6.470% due 11/25/2035 ~  | 3 | 3 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 5.500% due 04/25/2035  | 1161 | 951 |
| 5.500% due 11/25/2035 ^  | 10 | 8 |
| 6.000% due 03/25/2037 ^  | 656 | 262 |
| 6.500% due 09/25/2037 ^  | 170 | 72 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 3.424% due 08/20/2035 ^~  | 125 | 115 |
| 3.614% due 11/20/2034 ~  | 21 | 19 |
| 5.500% due 01/25/2035  | 19 | 19 |
| 6.000% due 04/25/2036  | 43 | 24 |
| **Countrywide Home Loan Reperforming REMIC Trust** <br>4.729% due 06/25/2035 ~ | 6 | 5 |
| **Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates** <br>5.089% due 10/25/2035 ^~ | 43 | 21 |
| **Credit Suisse Mortgage Capital Certificates** <br>4.600% due 10/26/2036 ~ | 2 | 2 |
| **Deutsche ALT-A Securities, Inc. Mortgage Loan Trust** <br>2.818% due 04/25/2047 •  | 135 | 114 |
| **Eurosail PLC** <br>4.461% due 06/13/2045 ~ | 119 | 142 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 3.939% due 04/25/2035 ~  | $21 | 20 |
| 6.000% due 02/25/2037 ^  | 61 | 26 |
| **GCAT LLC** <br>2.981% due 09/25/2025 þ | 1270 | 1230 |
| **GSR Mortgage Loan Trust**  |  |  |
| 3.061% due 11/25/2035 ~  | 6 | 6 |
| 3.767% due 09/25/2035 ~  | 1 | 1 |
| 3.796% due 01/25/2036 ^~  | 8 | 7 |
| 3.955% due 09/25/2035 ~  | 1 | 1 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 4.599% due 03/19/2037 •  | 70 | 62 |
| 4.749% due 12/19/2036 •  | 844 | 696 |
| 4.779% due 05/19/2035 ~  | 44 | 39 |
| 4.959% due 11/19/2035 •  | 54 | 41 |
| 5.033% due 06/20/2035 ~  | 38 | 34 |
| **IndyMac INDA Mortgage Loan Trust** <br>3.102% due 11/25/2035 ^~(k) | 15 | 11 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 4.809% due 07/25/2036 ~  | 85 | 75 |
| 4.949% due 07/25/2035 ~  | 365 | 265 |
| **JP Morgan Alternative Loan Trust**  |  |  |
| 4.789% due 06/25/2037 •  | 905 | 385 |
| 6.810% due 08/25/2036 ^þ  | 152 | 141 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.708% due 07/25/2035 ~  | 3 | 3 |
| **MASTR Adjustable Rate Mortgages Trust** <br>3.874% due 11/21/2034 ~ | 10 | 9 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Mellon** **Residential Funding Corp. Mortgage Pass-Through Certificates** <br>5.058% due 09/15/2030 •  | 6 | 6 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 3.139% due 12/25/2034 ~  | 5 | 5 |
| 3.484% due 06/25/2035 ~  | 15 | 14 |
| **New Residential Mortgage Loan Trust** <br>2.750% due 07/25/2059 ~ | 609 | 568 |
| **Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates** <br>5.149% due 12/25/2035 ~ | 456 | 417 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 6.000% due 09/25/2036  | 17 | 13 |
| 6.000% due 09/25/2036 ^  | 45 | 35 |
| **Residential Asset Securitization Trust**  |  |  |
| 4.789% due 05/25/2035 •  | 148 | 101 |
| 5.750% due 03/25/2037 ^  | 50 | 17 |
| 6.500% due 09/25/2036 ^  | 883 | 341 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.490% due 03/25/2036 ^~  | 23 | 17 |
| 5.070% due 11/25/2034 ~  | 63 | 55 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 4.809% due 05/25/2036 •  | 6 | 5 |
| 5.019% due 05/19/2035 •  | 4 | 4 |
| **Thornburg Mortgage Securities Trust** <br>6.716% due 03/25/2037 ^•  | 215 | 179 |
| **Towd Point Mortgage Funding** <br>4.071% (SONIO/N + 1.144%) due 10/20/2051 ~ | 1022 | 1229 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.104% due 06/25/2034 ~  | $3 | 3 |
| 3.758% due 08/25/2036 ^~  | 1 | 1 |
| 3.952% due 01/25/2035 ~  | 4 | 3 |
| 4.141% due 10/25/2034 ~  | 3 | 2 |
| 5.129% due 11/25/2034 •  | 18 | 16 |
| 5.129% due 01/25/2045 ~  | 25 | 24 |
| 5.189% due 01/25/2045 •  | 22 | 20 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust** <br>6.500% due 08/25/2035 | 10 | 8 |
| **Wells Fargo Mortgage-Backed Securities Trust** <br>2.879% due 04/25/2036 ~ | 17 | 16 |
| Total Non-Agency Mortgage-Backed Securities (Cost $15,725) |  | 14349 |
| **ASSET-BACKED SECURITIES 9.8%**  |  |  |
| **522 Funding CLO Ltd.** <br>5.283% due 10/20/2031 •  | 1000 | 982 |
| **ACAS CLO Ltd.** <br>5.084% due 10/18/2028 •  | 4804 | 4744 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 5.259% due 05/25/2035 ~  | 92 | 91 |
| 5.289% due 12/25/2034 ~  | 48 | 43 |
| 5.514% due 04/25/2035 •  | 2000 | 1684 |
| 6.189% due 06/25/2034 ~  | 1 | 1 |
| **Adagio CLO DAC** <br>2.098% due 10/15/2031 •  | 1000 | 1043 |
| **American Money Management Corp. CLO Ltd.**  |  |  |
| 4.949% due 04/17/2029 ~  | $2934 | 2920 |
| 5.542% due 11/10/2030 •  | 800 | 788 |
| **Anchorage Capital CLO Ltd.**  |  |  |
| 5.129% due 07/15/2030 ~  | 3400 | 3354 |
| 5.465% due 07/22/2032 ~  | 5600 | 5479 |
| **Apex Credit CLO Ltd.** <br>5.736% due 09/20/2029 ~ | 7570 | 7448 |
| **Apidos CLO** <br>5.094% due 07/18/2029 •  | 600 | 593 |
| **Aqueduct European CLO DAC** <br>2.096% due 07/20/2030 ~ | 2602 | 2731 |
| **Argent Securities Trust** <br>4.869% due 05/25/2035 •  | $79 | 71 |
| **Armada Euro CLO DAC** <br>2.098% due 07/15/2031 •  | 2400 | 2496 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust** <br>4.849% due 11/25/2036 ~ | $606 | 582 |
| **Bain Capital Euro DAC** <br>2.196% due 01/20/2032 •  | 2000 | 2086 |
| **Barings CLO Ltd.** <br>5.313% due 01/20/2032 ~ | $1600 | 1579 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 5.049% due 02/25/2036 ~  | 946 | 884 |
| 5.389% due 09/25/2046 ~  | 34 | 31 |
| **Birch Grove CLO Ltd.** <br>5.899% due 06/15/2031 ~ | 4900 | 4821 |
| **Blackrock European CLO DAC** <br>1.998% due 10/15/2031 ~ | 1600 | 1661 |
| **BlueMountain Fuji EUR CLO II DAC** <br>2.028% due 07/15/2030 ~ | 2191 | 2291 |
| **BlueMountain Fuji Eur CLO V DAC** <br>2.288% due 01/15/2033 ~ | 1700 | 1753 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **BNC** **Mortgage Loan Trust** <br>4.709% due 11/25/2036 •  | $891 | 861 |
| **BSPDF Issuer Ltd.** <br>5.518% due 10/15/2036 •  | 7900 | 7562 |
| **Cairn CLO DAC**  |  |  |
| 2.158% due 10/15/2031 ~  | 2300 | 2410 |
| 2.178% due 04/30/2031 ~  | 3158 | 3297 |
| **Carlyle Euro CLO DAC** <br>2.078% due 01/15/2031 ~ | 3099 | 3237 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>5.600% due 08/14/2030 ~ | $1879 | 1858 |
| **Carlyle U.S. CLO Ltd.**  |  |  |
| 5.243% due 04/20/2031 •  | 2300 | 2263 |
| 5.259% due 01/15/2030 •  | 500 | 494 |
| **CIFC Funding Ltd.** <br>5.194% due 04/18/2031 ~ | 1400 | 1375 |
| **CIT Mortgage Loan Trust** <br>5.739% due 10/25/2037 •  | 63 | 63 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 4.659% due 05/25/2037 •  | 2400 | 2176 |
| 4.884% due 10/25/2036 ~  | 254 | 242 |
| 5.094% due 03/25/2037 •  | 4100 | 3797 |
| **Countrywide Asset-Backed Certificates** <br>4.889% due 03/25/2037 •  | 224 | 209 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 3.694% due 11/25/2034 •  | 2920 | 2441 |
| 4.529% due 05/25/2035 •  | 308 | 297 |
| 4.529% due 07/25/2037 ~  | 78 | 71 |
| 4.579% due 11/25/2037 ~  | 2869 | 2621 |
| 4.589% due 09/25/2037 ~  | 20 | 17 |
| 4.869% due 05/25/2036 •  | 812 | 669 |
| 5.169% due 11/25/2034 •  | 19 | 18 |
| 5.244% due 08/25/2034 ~  | 3 | 3 |
| 5.424% due 12/25/2035 ~  | 286 | 270 |
| 5.805% due 04/25/2036 ^~  | 89 | 77 |
| **Crestline Denali CLO Ltd.**  |  |  |
| 5.273% due 04/20/2030 •  | 4606 | 4549 |
| 5.465% due 10/23/2031 ~  | 3200 | 3140 |
| **CVC Cordatus Loan Fund DAC**  |  |  |
| 2.028% due 10/15/2031 ~  | 1000 | 1040 |
| 2.578% due 08/15/2032 •  | 1600 | 1670 |
| 2.676% due 09/15/2031 ~  | 1000 | 1042 |
| **Dryden CLO Ltd.** <br>5.616% due 05/15/2031 ~ | $500 | 493 |
| **Dryden Euro CLO DAC**  |  |  |
| 2.038% due 04/15/2033 •  | 1500 | 1558 |
| 2.622% due 05/15/2034 •  | 1900 | 1977 |
| **Dryden Senior Loan Fund** <br>5.059% due 04/15/2028 ~ | $2270 | 2248 |
| **Elevation CLO Ltd.** <br>5.308% due 10/25/2030 •  | 9100 | 8937 |
| **Euro-Galaxy CLO DAC** <br>2.122% due 04/24/2034 ~ | 300 | 311 |
| **First Franklin Mortgage Loan Trust**  |  |  |
| 5.094% due 11/25/2036 •  | $524 | 500 |
| 5.259% due 09/25/2035 •  | 566 | 556 |
| **Fremont Home Loan Trust**  |  |  |
| 4.524% due 10/25/2036 ~  | 114 | 101 |
| 4.529% due 01/25/2037 •  | 194 | 97 |
| 4.629% due 10/25/2036 ~  | 675 | 286 |
| 5.229% due 03/25/2035 ~  | 1701 | 1408 |
| **GoldenTree Loan Management U.S. CLO Ltd.** <br>5.153% due 11/20/2030 •  | 2000 | 1976 |
| **GSAMP Trust**  |  |  |
| 4.589% due 11/25/2036 •  | 91 | 44 |
| 5.124% due 09/25/2035 ^~  | 7 | 6 |
| 5.364% due 03/25/2035 ^~  | 108 | 98 |
| **Halseypoint CLO Ltd.** <br>5.343% due 07/20/2031 ~ | 797 | 784 |
| **Harvest CLO DAC**  |  |  |
| 2.018% due 10/15/2031 •  | 3000 | 3122 |
| 2.136% due 10/20/2031 •  | 1800 | 1871 |
| **Home Equity Mortgage Loan Asset-Backed Trust** <br>4.609% due 04/25/2037 •  | $97 | 76 |
| **HSI Asset Securitization Corp. Trust** <br>4.929% due 02/25/2036 ~ | 64 | 62 |
| **ICG U.S. CLO Ltd.** <br>5.405% due 07/22/2031 •  | 800 | 783 |
| **IndyMac Home Equity Mortgage Loan Asset-Backed Trust** <br>4.336% due 11/25/2034 ~ | 22 | 21 |
| **IndyMac INDB Mortgage Loan Trust** <br>4.529% due 07/25/2036 •  | 894 | 279 |
| **Jubilee CLO DAC**  |  |  |
| 1.978% due 04/15/2030 ~  | 2800 | 2933 |
| 1.988% due 04/15/2030 •  | 3300 | 3453 |
| 2.028% due 04/15/2031 •  | 800 | 832 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **KKR** **CLO Ltd.**  |  |  |
| 5.029% due 07/15/2030 •  | $928 | 911 |
| 5.259% due 01/15/2031 ~  | 1600 | 1575 |
| **LCM LP** <br>5.243% due 07/20/2030 •  | 1830 | 1803 |
| **Lehman ABS Manufactured Housing Contract Trust** <br>7.170% due 04/15/2040 ^~ | 834 | 588 |
| **Lehman XS Trust** <br>4.292% due 06/25/2036 þ | 219 | 216 |
| **LoanCore Issuer Ltd.** <br>5.618% due 07/15/2036 •  | 900 | 867 |
| **Long Beach Mortgage Loan Trust** <br>4.629% due 08/25/2036 •  | 75 | 32 |
| **Madison Park Funding Ltd.** <br>5.155% due 04/22/2027 ~ | 295 | 292 |
| **Man GLG Euro CLO DAC** <br>2.058% due 10/15/2030 •  | 1877 | 1963 |
| **Marathon CLO Ltd.** <br>5.229% due 04/15/2029 •  | $1912 | 1900 |
| **Massachusetts Educational Financing Authority** <br>5.308% due 04/25/2038 •  | 48 | 48 |
| **MASTR Asset-Backed Securities Trust** <br>4.729% due 06/25/2036 •  | 227 | 203 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.809% due 02/25/2037 •  | 1386 | 423 |
| 5.109% due 10/25/2035 •  | 1223 | 1140 |
| 5.109% due 05/25/2036 •  | 9 | 9 |
| **MF1 Ltd.** <br>5.419% due 10/16/2036 •  | 1600 | 1535 |
| **MidOcean Credit CLO**  |  |  |
| 5.445% due 01/29/2030 •  | 1203 | 1189 |
| 5.725% due 02/20/2031 ~  | 300 | 295 |
| **Morgan Stanley ABS Capital, Inc. Trust**  |  |  |
| 4.519% due 10/25/2036 ~  | 574 | 506 |
| 5.289% due 05/25/2034 •  | 1653 | 1540 |
| 5.424% due 07/25/2035 •  | 590 | 574 |
| **Mountain View CLO LLC** <br>5.119% due 01/16/2031 •  | 7000 | 6891 |
| **Mountain View CLO Ltd.** <br>4.761% due 10/13/2027 •  | 67 | 67 |
| **NovaStar Mortgage Funding Trust** <br>5.094% due 01/25/2036 ~ | 136 | 133 |
| **Octagon Investment Partners Ltd.** <br>5.650% due 02/14/2031 •  | 1000 | 984 |
| **Option One Mortgage Loan Trust**  |  |  |
| 4.529% due 01/25/2037 •  | 216 | 145 |
| 4.529% due 03/25/2037 •  | 178 | 117 |
| 4.629% due 04/25/2037 •  | 2911 | 1405 |
| **Ownit Mortgage Loan Trust** <br>4.669% due 09/25/2037 •  | 4879 | 4186 |
| **OZLM Ltd.**  |  |  |
| 5.343% due 10/20/2031 ~  | 300 | 294 |
| 5.674% due 05/16/2030 ~  | 581 | 572 |
| **Palmer Square CLO Ltd.** <br>5.227% due 10/17/2031 ~ | 500 | 492 |
| **Renaissance Home Equity Loan Trust**  |  |  |
| 5.249% due 06/25/2033 •  | 1609 | 1447 |
| 5.294% due 01/25/2037 þ  | 7262 | 2369 |
| 5.489% due 09/25/2037 •  | 775 | 368 |
| **Residential Asset Securities Corp. Trust**  |  |  |
| 4.669% due 09/25/2036 ~  | 2174 | 2105 |
| 4.869% due 08/25/2036 •  | 348 | 309 |
| **Romark CLO Ltd.** <br>5.355% due 10/23/2030 ~ | 900 | 884 |
| **Saranac CLO Ltd.** <br>5.873% due 08/13/2031 ~ | 3900 | 3779 |
| **Saxon Asset Securities Trust** <br>4.699% due 09/25/2037 •  | 69 | 65 |
| **Sculptor CLO Ltd.** <br>5.349% due 01/15/2031 •  | 3400 | 3338 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.889% due 05/25/2036 •  | 912 | 496 |
| 5.064% due 10/25/2035 ~  | 2596 | 2481 |
| **SLM Student Loan Trust** <br>5.858% due 04/25/2023 ~ | 174 | 173 |
| **Sound Point CLO Ltd.**  |  |  |
| 5.293% due 10/20/2028 •  | 1580 | 1568 |
| 5.315% due 01/23/2029 •  | 1819 | 1810 |
| 5.338% due 07/25/2030 •  | 1300 | 1280 |
| **Soundview Home Loan Trust**  |  |  |
| 4.589% due 06/25/2037 •  | 755 | 545 |
| 5.339% due 10/25/2037 •  | 103 | 76 |
| **Specialty Underwriting & Residential Finance Trust**  |  |  |
| 4.589% due 04/25/2037 ~  | 3128 | 2253 |
| 4.709% due 09/25/2037 •  | 11294 | 6494 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Starwood** **Commercial Mortgage Trust** <br>5.526% due 04/18/2038 ~ | 6800 | 6593 |
| **Structured Asset Securities Corp. Mortgage Loan Trust**  |  |  |
| 4.959% due 10/25/2036 ~  | 208 | 203 |
| 5.620% due 04/25/2035 •  | 6 | 6 |
| **TCI-Symphony CLO Ltd.** <br>4.961% due 10/13/2032 •  | 7200 | 7042 |
| **TCW CLO Ltd.** <br>5.328% due 04/25/2031 ~ | 5200 | 5121 |
| **TICP CLO Ltd.**  |  |  |
| 5.083% due 04/20/2028 •  | 107 | 107 |
| 5.083% due 04/20/2028 ~  | 1378 | 1374 |
| **Tikehau CLO DAC** <br>2.596% due 08/04/2034 ~ | 1500 | 1559 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 04/15/2027 ~  | $710 | 709 |
| 4.959% due 07/15/2027 •  | 17 | 17 |
| 5.143% due 10/20/2028 •  | 587 | 580 |
| 5.233% due 07/20/2030 •  | 5800 | 5698 |
| 5.293% due 07/20/2030 ~  | 3498 | 3417 |
| 5.343% due 01/20/2029 •  | 2802 | 2770 |
| 5.596% due 09/07/2030 •  | 800 | 785 |
| **Vibrant CLO Ltd.** <br>5.283% due 09/15/2030 •  | 1892 | 1862 |
| **Voya CLO Ltd.** <br>5.079% due 10/15/2030 •  | 1000 | 982 |
| **Wellfleet CLO Ltd.** <br>5.133% due 07/20/2029 •  | 1092 | 1078 |
| **Wells Fargo Home Equity Asset-Backed Securities Trust** <br>6.789% due 12/25/2034 ~ | 137 | 134 |
| **Wind River CLO Ltd.** <br>5.244% due 07/18/2031 •  | 797 | 779 |
| Total Asset-Backed Securities (Cost $252,805) |  | 238288 |
| **SOVEREIGN ISSUES 4.3%**  |  |  |
| **Australia Government International Bond** <br>3.000% due 09/20/2025 | 2133 | 1533 |
| **Canada Government Real Return Bond** <br>4.250% due 12/01/2026 (e) | 1166 | 950 |
| **Denmark Government International Bond** <br>0.100% due 11/15/2023 (e) | 4190 | 606 |
| **France Government International Bond**  |  |  |
| 0.100% due 07/25/2031 (e)  | 5063 | 5190 |
| 0.250% due 07/25/2024 (e)  | 10777 | 11620 |
| **Italy Buoni Poliennali Del Tesoro**  |  |  |
| 0.400% due 05/15/2030 (e)  | 4084 | 3827 |
| 1.400% due 05/26/2025 (e)  | 33431 | 35330 |
| **Japan Government International Bond**  |  |  |
| 0.005% due 03/10/2031 (e)  | 52203 | 412 |
| 0.100% due 03/10/2028 (e)  | 1403239 | 11061 |
| 0.100% due 03/10/2029 (e)  | 3247826 | 25687 |
| **Mexico Government International Bond** <br>4.500% due 11/22/2035 (e) | 1530 | 81 |
| **New Zealand Government International Bond**  |  |  |
| 2.000% due 09/20/2025  | 299 | 189 |
| 3.000% due 09/20/2030  | 3103 | 2068 |
| **Peru Government International Bond** <br>5.940% due 02/12/2029 | 259 | 63 |
| **Qatar Government International Bond** <br>3.875% due 04/23/2023 | $352 | 350 |
| **Saudi Government International Bond** <br>4.000% due 04/17/2025 | 601 | 594 |
| **United Kingdom Gilt** <br>1.250% due 11/22/2027 (e) | 4773 | 6108 |
| Total Sovereign Issues (Cost $118,082) |  | 105669 |
|  | SHARES |  |
| **COMMON STOCKS 0.8%**  |  |  |
| **CONSUMER DISCRETIONARY 0.4%**  |  |  |
| **Hilton Worldwide Holdings, Inc.** | 34800 | 4397 |
| **Marriott International, Inc. 'A'** | 33800 | 5033 |
|  |  | 9430 |
| **REAL ESTATE 0.4%**  |  |  |
| **CBRE Group, Inc. 'A' (b)** | 51757 | 3983 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Howard** **Hughes Corp. (b)** | 87434 | 6682 |
|  |  | 10665 |
| Total Common Stocks (Cost $23,375) |  | 20095 |
| **PREFERRED SECURITIES 0.0%**  |  |  |
| **BANKING & FINANCE 0.0%**  |  |  |
| **Bank of America Corp.**<br>5.875% due 03/15/2028 •(f) | 223000 | 198 |
| Total Preferred Securities (Cost $237) |  | 198 |
| **REAL ESTATE INVESTMENT TRUSTS 19.6%**  |  |  |
| **REAL ESTATE 19.6%**  |  |  |
| **Alexandria Real Estate Equities, Inc.** | 141052 | 20547 |
| **American Assets Trust, Inc.** | 141438 | 3748 |
| **American Homes 4 Rent 'A'** | 359179 | 10826 |
| **American Tower Corp.** | 21483 | 4551 |
| **Americold Realty Trust, Inc.** | 392961 | 11125 |
| **Apartment Income REIT Corp.** | 103777 | 3561 |
| **AvalonBay Communities, Inc.** | 65629 | 10600 |
| **Boston Properties, Inc.** | 129434 | 8747 |
| **Camden Property Trust** | 155590 | 17407 |
| **Crown Castle, Inc.** | 56264 | 7632 |
| **CubeSmart** | 223808 | 9008 |
| **Digital Realty Trust, Inc.** | 102164 | 10244 |
| **Equinix, Inc.** | 14245 | 9331 |
| **Equity LifeStyle Properties, Inc.** | 320152 | 20682 |
| **Equity Residential** | 135904 | 8018 |
| **Essex Property Trust, Inc.** | 66232 | 14036 |
| **Extra Space Storage, Inc.** | 51457 | 7573 |
| **First Industrial Realty Trust, Inc.** | 286196 | 13812 |
| **Gaming & Leisure Properties, Inc.** | 383618 | 19983 |
| **Healthpeak Properties, Inc.** | 678993 | 17022 |
| **Host Hotels & Resorts, Inc.** | 675901 | 10848 |
| **InvenTrust Properties Corp.** | 231200 | 5473 |
| **Invitation Homes, Inc.** | 419137 | 12423 |
| **Kilroy Realty Corp.** | 163021 | 6304 |
| **Life Storage, Inc.** | 121450 | 11963 |
| **Mid-America Apartment Communities, Inc.** | 73717 | 11573 |
| **National Storage Affiliates Trust** | 89700 | 3240 |
| **Paramount Group, Inc.** | 445500 | 2646 |
| **Prologis, Inc.** | 244582 | 27572 |
| **Public Storage** | 76518 | 21440 |
| **Realty Income Corp.** | 226041 | 14338 |
| **Regency Centers Corp.** | 68138 | 4259 |
| **Retail Opportunity Investments Corp.** | 423229 | 6361 |
| **Rexford Industrial Realty, Inc.** | 86712 | 4738 |
| **RLJ Lodging Trust** | 1055654 | 11179 |
| **Ryman Hospitality Properties, Inc.** | 140700 | 11506 |
| **Safehold, Inc.** | 61578 | 1762 |
| **SBA Communications Corp.** | 31197 | 8745 |
| **Simon Property Group, Inc.** | 73594 | 8646 |
| **SITE Centers Corp.** | 609695 | 8328 |
| **Sun Communities, Inc.** | 24229 | 3465 |
| **Sunstone Hotel Investors, Inc.** | 823690 | 7957 |
| **UDR, Inc.** | 313128 | 12127 |
| **Ventas, Inc.** | 358348 | 16144 |
| **VICI Properties, Inc.** | 174649 | 5659 |
| **WP Carey, Inc.** | 140988 | 11018 |
| Total Real Estate Investment Trusts (Cost $514,411) |  | 478167 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 12.7%**  |  |  |
| **COMMERCIAL PAPER 1.3%**  |  |  |
| **American Electric Power, Inc.** <br>4.720% due 01/04/2023 | $450 | 450 |
| **AT&T, Inc.** <br>4.650% due 01/03/2023 | 640 | 640 |
| **Baxter International, Inc.** <br>4.730% due 01/23/2023 | 500 | 498 |
| **Consolidated Edison Co. of New York, Inc.**  |  |  |
| 4.800% due 01/17/2023  | 900 | 898 |
| 4.800% due 01/18/2023  | 350 | 349 |
| 4.800% due 01/19/2023  | 450 | 449 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.800% due 01/20/2023  | 250 | 249 |
| **Constellation Brands, Inc.**  |  |  |
| 5.000% due 01/09/2023  | 500 | 499 |
| 5.000% due 01/10/2023  | 500 | 499 |
| **Crown Castle, Inc.**  |  |  |
| 5.000% due 01/04/2023  | 250 | 250 |
| 5.100% due 01/05/2023  | 250 | 250 |
| 5.100% due 01/09/2023  | 2880 | 2876 |
| **Dominion Energy, Inc.**  |  |  |
| 4.700% due 02/01/2023  | 500 | 498 |
| 4.750% due 01/31/2023  | 250 | 249 |
| **Duke Energy Corp.**  |  |  |
| 4.620% due 01/11/2023  | 500 | 499 |
| 4.620% due 01/17/2023  | 750 | 748 |
| 4.650% due 01/09/2023  | 500 | 499 |
| **Electricite de France SA** <br>5.000% due 01/20/2023 | 2000 | 1995 |
| **Enbridge (US), Inc.**  |  |  |
| 4.780% due 01/20/2023  | 500 | 499 |
| 4.830% due 01/25/2023  | 250 | 249 |
| **Enel Finance America LLC** <br>6.000% due 01/12/2023 | 790 | 789 |
| **Energy Transfer LP** <br>5.080% due 01/05/2023 | 2000 | 1998 |
| **Entergy Corp.** <br>4.700% due 01/12/2023 | 250 | 250 |
| **Fiserv, Inc.**  |  |  |
| 4.730% due 01/17/2023  | 250 | 249 |
| 4.780% due 01/23/2023  | 500 | 499 |
| 4.820% due 02/01/2023  | 250 | 249 |
| **Hitachi America Capital Ltd.** <br>4.700% due 01/04/2023 | 500 | 500 |
| **McCormick & Co., Inc.** <br>4.750% due 01/27/2023 | 500 | 498 |
| **Medtronic Global Holdings SCA** <br>4.750% due 01/27/2023 | 500 | 498 |
| **Mercedes-Benz Finance North America LLC** <br>4.800% due 01/30/2023 | 250 | 249 |
| **National Grid North America, Inc.**  |  |  |
| 4.780% due 01/23/2023  | 250 | 249 |
| 4.810% due 01/24/2023  | 500 | 498 |
| **ORACLE Corp.**  |  |  |
| 4.760% due 01/27/2023  | 500 | 498 |
| 4.800% due 01/26/2023  | 500 | 498 |
| **Parker-Hannifin Corp.** <br>4.700% due 01/19/2023 | 300 | 299 |
| **Penske Truck Leasing Co. LP** <br>4.700% due 01/11/2023 | 250 | 250 |
| **Quanta Services, Inc.** <br>5.100% due 01/09/2023 | 550 | 549 |
| **Republic Services, Inc.** <br>4.650% due 01/12/2023 | 500 | 499 |
| **Tampa Electric Co.** <br>4.800% due 01/12/2023 | 500 | 499 |
| **Targa Resources Corp.** <br>5.250% due 01/13/2023 | 1500 | 1498 |
| **Thomson Reuters Corp.** <br>4.770% due 01/25/2023 | 2000 | 1994 |
| **TransCanada PipeLines Ltd.** <br>4.750% due 01/19/2023 | 250 | 249 |
| **Virginia Electric & Power Co.** <br>4.720% due 02/06/2023 | 250 | 249 |
| **Vodafone Group PLC** <br>4.600% due 01/05/2023 | 1250 | 1249 |
| **VW Credit, Inc.**  |  |  |
| 4.700% due 01/26/2023  | 250 | 249 |
| 4.700% due 01/27/2023  | 250 | 249 |
| 4.750% due 01/25/2023  | 250 | 249 |
| 4.800% due 01/26/2023  | 1750 | 1744 |
| **Walgreens Boots Alliance, Inc.**  |  |  |
| 4.900% due 01/11/2023  | 750 | 749 |
| 4.950% due 01/18/2023  | 1000 | 998 |
|  |  | 32238 |
| **REPURCHASE AGREEMENTS (g) 9.2%** |  | 224621 |
| **SHORT-TERM NOTES 0.0%**  |  |  |
| **France Government International Bond**<br>2.100% due 07/25/2023 (e) | 584 | 641 |
| **U.S. TREASURY BILLS 2.1%**  |  |  |
| 4.186% due 01/17/2023 - 03/23/2023 (c)(d) | $52909 | 52543 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Short-Term Instruments (Cost $310,118) |  | 310043 |
| Total Investments in Securities (Cost $4,369,729) |  | 3975851 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 1.0%**  |  |  |
| **SHORT-TERM INSTRUMENTS 1.0%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 1.0%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 2446541 | 23771 |
| Total Short-Term Instruments (Cost $23,771) |  | 23771 |
| Total Investments in Affiliates (Cost $23,771) |  | 23771 |
| Total Investments 163.9% (Cost $4,393,500) |  | $3999622 |
| **Financial Derivative Instruments (i)(j)(k) 0.0**%(Cost or Premiums, net $(1555)) |  | 1204 |
| Other Assets and Liabilities, net (63.9)% |  | (1559359) |
| Net Assets 100.0% |  | $2441467 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** |
| **(c)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(d)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(e)** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** |
| **(f)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(g)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| CIB | 4.140%  | 12/13/2022 | 01/04/2023 | 4806 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | $(4722) | $4806 | 4806 | $4818 |
|  | 4.140  | 12/16/2022 | 01/04/2023 | 12315 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 07/15/2031 | (12100) | 12315 | 12315 | 12340 |
| GSC | 4.220  | 12/21/2022 | 01/04/2023 | 50000 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 07/31/2027 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 07/31/2027 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 07/31/2027 | (50717) | 50000 | 50000 | 50076 |
| SGY | 4.290  | 12/30/2022 | 01/03/2023 | 157500 | &nbsp;&nbsp; U.S. Treasury Bonds 3.000% due 02/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.000% due 02/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.000% due 02/15/2048 | (101763) | 157500 | 157500 | 157575 |
|  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 05/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 05/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 05/31/2029 | (58642) |  |  |  |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  | $**(227944)** | $**224621** | **224621** | $**224809** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Settlement Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BOS | BOS | BOS | BOS | 4.190%  | 4.190%  | 11/10/2022 | 01/10/2023 | $(11745) | (11745) | $(11819) | (11819) |
|  |  |  |  | 4.250  | 4.250  | 11/17/2022 | 01/12/2023 | (27111) | (27111) | (27262) | (27262) |
|  |  |  |  | 4.430  | 4.430  | 12/12/2022 | 01/05/2023 | (35152) | (35152) | (35247) | (35247) |
| CIB | CIB | CIB | CIB | 4.140  | 4.140  | 11/03/2022 | 01/04/2023 | (1200714) | (1200714) | (1209137) | (1209137) |
|  |  |  |  | 4.140  | 4.140  | 12/01/2022 | 01/04/2023 | (20947) | (20947) | (21026) | (21026) |
|  |  |  |  | 4.370  | 4.370  | 12/08/2022 | 01/05/2023 | (5154) | (5154) | (5170) | (5170) |
|  |  |  |  | 4.400  | 4.400  | 01/04/2023 | 01/19/2023 | (1229748) | (1229748) | (1229748) | (1229748) |
|  |  |  |  | 4.400  | 4.400  | 01/05/2023 | 01/19/2023 | (4989) | (4989) | (4989) | (4989) |
| GRE | GRE | GRE | GRE | 4.360  | 4.360  | 12/07/2022 | 01/05/2023 | (12172) | (12172) | (12212) | (12212) |
|  |  |  |  | 4.380  | 4.380  | 12/09/2022 | 01/05/2023 | (5329) | (5329) | (5346) | (5346) |
|  |  |  |  | 4.430  | 4.430  | 12/12/2022 | 01/05/2023 | (57026) | (57026) | (57180) | (57180) |
| RCY | RCY | RCY | RCY | 4.350  | 4.350  | 12/09/2022 | 01/05/2023 | (29933) | (29933) | (30023) | (30023) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  | $**(2649159)** | **(2649159)** |
| **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** |
| Counterparty | Counterparty | Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Borrowing Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Sale-Buyback<br>Transactions<sup>(3)</sup> | Payable for<br>Sale-Buyback<br>Transactions<sup>(3)</sup> |
| BOS | BOS | BOS | BOS | 4.210%  | 4.210%  | 11/09/2022 | 01/09/2023 | $(3218) | (3218) | $(3239) | (3239) |
| MSC | MSC | MSC | MSC | 4.430  | 4.430  | 12/19/2022 | 01/09/2023 | (11517) | (11517) | (11538) | (11538) |
|  |  |  |  | 4.430  | 4.430  | 12/20/2022 | 01/10/2023 | (2398) | (2398) | (2402) | (2402) |
| **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** |  |  |  |  |  |  | $**(17179)** | **(17179)** |
| **(h)** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $1,429,599 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |

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<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| <sup>(</sup><sup>2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(1818536) at a weighted average interest rate of 2.019%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(3)</sup> | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. | Payable for sale-buyback transactions includes $(13) of deferred price drop. |
| **(i)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** | **COMMODITY OPTIONS** |
| Description | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date | # of<br>Contracts | Notional Amount | Premiums<br>(Received) |  | Market<br>Value |
| Put - NYMEX Natural Gas March 2023 Futures  | Put - NYMEX Natural Gas March 2023 Futures  | Put - NYMEX Natural Gas March 2023 Futures  | $4.000 | 4.000 | 02/23/2023 | 20 | 200 | (66) | $ | (92) |
| Put - NYMEX Natural Gas March 2023 Futures  | Put - NYMEX Natural Gas March 2023 Futures  | Put - NYMEX Natural Gas March 2023 Futures  | 4.500 | 4.500 | 02/23/2023 | 40 | 400 | (228) |  | (306) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(294)** | **$** | **(398)** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> |
| Description | Description | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| 3-Month Euribor March Futures  | 3-Month Euribor March Futures  | 03/2023 | 799 | $207386 | 207386 | $(7020) | (7020) | $64 | 64 | $(43) |
| Brent Crude June Futures  | Brent Crude June Futures  | 04/2023 | 86 | 7289 | 7289 | 302 | 302 | 188 | 188 | 0 |
| Brent Crude March Futures  | Brent Crude March Futures  | 01/2023 | 269 | 23110 | 23110 | 2272 | 2272 | 659 | 659 | 0 |
| California Carbon Allowance December Futures  | California Carbon Allowance December Futures  | 12/2023 | 1726 | 52384 | 52384 | 2339 | 2339 | 86 | 86 | 0 |
| Euro-Bund March Futures  | Euro-Bund March Futures  | 03/2023 | 374 | 53218 | 53218 | (3434) | (3434) | 188 | 188 | (424) |
| European Climate Exchange March Futures  | European Climate Exchange March Futures  | 03/2023 | 31 | 2704 | 2704 | 176 | 176 | 0 | 0 | (68) |
| Globex Natural Gas February Futures  | Globex Natural Gas February Futures  | 01/2023 | 45 | 2014 | 2014 | (337) | (337) | 0 | 0 | (38) |
| Iron Ore March Futures  | Iron Ore March Futures  | 03/2023 | 360 | 4150 | 4150 | 832 | 832 | 71 | 71 | 0 |
| Natural Gas February Futures  | Natural Gas February Futures  | 01/2023 | 38 | 1701 | 1701 | (237) | (237) | 0 | 0 | (32) |
| Natural Gas March Futures  | Natural Gas March Futures  | 02/2023 | 102 | 4186 | 4186 | (694) | (694) | 0 | 0 | (10) |
| Put Options Strike @ USD 65.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | Put Options Strike @ USD 65.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | 01/2023 | 56 | 6 | 6 | (47) | (47) | 0 | 0 | (3) |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 03/2023 | 274 | 56191 | 56191 | 34 | 34 | 0 | 0 | (43) |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 1049 | 113218 | 113218 | (1643) | (1643) | 0 | 0 | (90) |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 784 | 88041 | 88041 | (562) | (562) | 82 | 82 | (65) |
| U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | 03/2023 | 707 | 88618 | 88618 | (1792) | (1792) | 0 | 0 | (110) |
| United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | 03/2023 | 39 | 4710 | 4710 | (308) | (308) | 5 | 5 | (13) |
| WTI Crude March Futures  | WTI Crude March Futures  | 02/2023 | 537 | 43202 | 43202 | 2764 | 2764 | 1047 | 1047 | 0 |
|  |  |  |  |  |  | (7355) | $ | 2390 | $ | (939) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> |
| Description | Description | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(2)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(2)</sup> | 01/2023 | 24 | $0 | 0 | $19 | 19 | $0 | 0 | $0 |
| Call Options Strike @ USD 90.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | Call Options Strike @ USD 90.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | 01/2023 | 82 | (166) | (166) | (36) | (36) | 0 | 0 | (57) |
| Call Options Strike @ USD 95.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | Call Options Strike @ USD 95.000 on Brent Crude March 2023 Futures<sup>(2)</sup> | 01/2023 | 21 | (18) | (18) | 2 | 2 | 0 | 0 | (7) |
| Euro-Bobl March Futures  | Euro-Bobl March Futures  | 03/2023 | 274 | (33950) | (33950) | 1078 | 1078 | 126 | 126 | (76) |
| Euro-BTP Italy Government Bond March Futures  | Euro-BTP Italy Government Bond March Futures  | 03/2023 | 133 | (14964) | (14964) | 210 | 210 | 19 | 19 | (17) |
| Euro-BTP March Futures  | Euro-BTP March Futures  | 03/2023 | 414 | (48270) | (48270) | 3576 | 3576 | 496 | 496 | (394) |
| Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | 03/2023 | 380 | (55012) | (55012) | 8844 | 8844 | 1424 | 1424 | (244) |
| Euro-Oat March Futures  | Euro-Oat March Futures  | 03/2023 | 66 | (8994) | (8994) | 628 | 628 | 82 | 82 | (46) |
| Euro-Schatz March Futures  | Euro-Schatz March Futures  | 03/2023 | 3005 | (339105) | (339105) | 3662 | 3662 | 418 | 418 | (177) |
| Gold 100 oz. February Futures  | Gold 100 oz. February Futures  | 02/2023 | 129 | (23558) | (23558) | (723) | (723) | 0 | 0 | (3) |
| Japan Government 10-Year Bond March Futures  | Japan Government 10-Year Bond March Futures  | 03/2023 | 91 | (100860) | (100860) | 1852 | 1852 | 139 | 139 | 0 |
| Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(2)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(2)</sup> | 01/2023 | 24 | (147) | (147) | (123) | (123) | 12 | 12 | (25) |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 703 | (94422) | (94422) | 3890 | 3890 | 323 | 323 | (51) |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 1637 | (193626) | (193626) | 945 | 945 | 94 | 94 | (71) |
| WTI Crude June Futures  | WTI Crude June Futures  | 05/2023 | 86 | (6897) | (6897) | (328) | (328) | 0 | 0 | (169) |
| WTI Crude March Futures  | WTI Crude March Futures  | 02/2023 | 537 | (43202) | (43202) | (2434) | (2434) | 0 | 0 | (1047) |
|  |  |  |  |  |  | 21062 | $ | 3133 | $ | (2384) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **13707** | **$** | **5523** | **$** | **(3323)** |

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<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Asset | Asset | Liability |
| Pay | Pay | 3-Month EUR-EURIBOR | 3-Month EUR-EURIBOR | 0.526% | Annual | Annual | 11/21/2023 | 29100 | 0 | (1068) | (1068) | $0 | 0 | $(5) |
| Pay | Pay | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.700 | Annual | Annual | 04/11/2027 | 4000 | (20) | (402) | (422) | 0 | 0 | (10) |
| Pay | Pay | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.650 | Annual | Annual | 04/12/2027 | 7300 | (40) | (751) | (791) | 0 | 0 | (18) |
| Pay | Pay | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.650 | Annual | Annual | 05/11/2027 | 6600 | (50) | (677) | (727) | 0 | 0 | (15) |
| Pay | Pay | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.000 | Annual | Annual | 05/13/2027 | 8700 | (32) | (772) | (804) | 0 | 0 | (20) |
| Pay | Pay | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.000 | Annual | Annual | 05/18/2027 | 3800 | (14) | (337) | (351) | 0 | 0 | (8) |
| Receive<sup>(3)</sup> | Receive<sup>(3)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 0.830 | Annual | Annual | 12/09/2052 | 12900 | 30 | 384 | 414 | 18 | 18 | 0 |
| Pay | Pay | CPTFEMU | CPTFEMU | 2.359 | Maturity | Maturity | 08/15/2030 | 7400 | 40 | 266 | 306 | 26 | 26 | 0 |
| Receive | Receive | CPTFEMU | CPTFEMU | 1.380 | Maturity | Maturity | 03/15/2031 | 2900 | (20) | (598) | (618) | 0 | 0 | (8) |
| Pay | Pay | CPTFEMU | CPTFEMU | 2.600 | Maturity | Maturity | 05/15/2032 | 7600 | 39 | 276 | 315 | 25 | 25 | 0 |
| Pay | Pay | CPTFEMU | CPTFEMU | 2.720 | Maturity | Maturity | 06/15/2032 | 2200 | 4 | 26 | 30 | 7 | 7 | 0 |
| Pay | Pay | CPTFEMU | CPTFEMU | 2.470 | Maturity | Maturity | 07/15/2032 | 3900 | 0 | 150 | 150 | 11 | 11 | 0 |
| Receive | Receive | CPTFEMU | CPTFEMU | 2.580 | Maturity | Maturity | 03/15/2052 | 500 | 0 | (42) | (42) | 1 | 1 | 0 |
| Receive | Receive | CPTFEMU | CPTFEMU | 2.590 | Maturity | Maturity | 03/15/2052 | 1900 | (49) | (104) | (153) | 3 | 3 | 0 |
| Receive | Receive | CPTFEMU | CPTFEMU | 2.550 | Maturity | Maturity | 04/15/2052 | 1500 | 2 | (122) | (120) | 2 | 2 | 0 |
| Receive | Receive | CPURNSA | CPURNSA | 5.500 | Maturity | Maturity | 03/21/2023 | 14500 | 0 | (105) | (105) | 6 | 6 | 0 |
| Receive | Receive | CPURNSA | CPURNSA | 5.320 | Maturity | Maturity | 04/29/2023 | 54800 | 0 | (140) | (140) | 0 | 0 | (52) |
| Pay | Pay | CPURNSA | CPURNSA | 2.419 | Maturity | Maturity | 03/05/2026 | 4400 | 0 | 402 | 402 | 0 | 0 | (1) |
| Pay | Pay | CPURNSA | CPURNSA | 2.768 | Maturity | Maturity | 05/13/2026 | 8500 | 0 | 604 | 604 | 1 | 1 | 0 |
| Pay | Pay | CPURNSA | CPURNSA | 2.813 | Maturity | Maturity | 05/14/2026 | 3300 | 0 | 227 | 227 | 1 | 1 | 0 |
| Pay | Pay | CPURNSA | CPURNSA | 2.703 | Maturity | Maturity | 05/25/2026 | 2240 | 0 | 164 | 164 | 1 | 1 | 0 |
| Pay | Pay | CPURNSA | CPURNSA | 2.690 | Maturity | Maturity | 06/01/2026 | 4100 | 0 | 300 | 300 | 1 | 1 | 0 |
| Pay | Pay | CPURNSA | CPURNSA | 2.573 | Maturity | Maturity | 08/26/2028 | 4900 | 0 | 295 | 295 | 0 | 0 | (1) |
| Pay | Pay | CPURNSA | CPURNSA | 2.645 | Maturity | Maturity | 09/10/2028 | 3100 | 0 | 164 | 164 | 0 | 0 | (1) |
| Receive | Receive | CPURNSA | CPURNSA | 2.006 | Maturity | Maturity | 11/30/2030 | 8200 | 0 | (1103) | (1103) | 1 | 1 | 0 |
| Pay | Pay | UKRPI | UKRPI | 6.290 | Maturity | Maturity | 03/15/2024 | 15400 | (8) | 1158 | 1150 | 3 | 3 | 0 |
| Pay | Pay | UKRPI | UKRPI | 6.440 | Maturity | Maturity | 05/15/2024 | 3600 | 0 | 209 | 209 | 1 | 1 | 0 |
| Pay | Pay | UKRPI | UKRPI | 6.600 | Maturity | Maturity | 05/15/2024 | 13500 | 20 | 710 | 730 | 3 | 3 | 0 |
| Pay | Pay | UKRPI | UKRPI | 5.200 | Maturity | Maturity | 06/15/2024 | 7000 | 0 | 357 | 357 | 0 | 0 | (2) |
| Pay | Pay | UKRPI | UKRPI | 5.330 | Maturity | Maturity | 06/15/2024 | 4500 | 0 | 215 | 215 | 0 | 0 | (1) |
| Receive | Receive | UKRPI | UKRPI | 3.330 | Maturity | Maturity | 01/15/2025 | 18400 | 209 | (3744) | (3535) | 0 | 0 | (12) |
| Receive | Receive | UKRPI | UKRPI | 3.480 | Maturity | Maturity | 01/15/2030 | 5280 | 69 | (1152) | (1083) | 0 | 0 | (25) |
| Receive | Receive | UKRPI | UKRPI | 3.450 | Maturity | Maturity | 01/15/2031 | 7500 | (97) | (1708) | (1805) | 0 | 0 | (40) |
| Receive | Receive | UKRPI | UKRPI | 3.624 | Maturity | Maturity | 02/15/2031 | 4300 | 0 | (933) | (933) | 0 | 0 | (20) |
| Receive | Receive | UKRPI | UKRPI | 3.750 | Maturity | Maturity | 04/15/2031 | 7300 | 3 | (1473) | (1470) | 0 | 0 | (43) |
| Pay | Pay | UKRPI | UKRPI | 4.300 | Maturity | Maturity | 01/15/2032 | 19500 | 45 | 1494 | 1539 | 112 | 112 | 0 |
| Pay | Pay | UKRPI | UKRPI | 4.125 | Maturity | Maturity | 09/15/2032 | 2460 | 0 | 31 | 31 | 15 | 15 | 0 |
| Pay | Pay | UKRPI | UKRPI | 4.130 | Maturity | Maturity | 09/15/2032 | 11040 | 1 | 129 | 130 | 67 | 67 | 0 |
| Pay | Pay | UKRPI | UKRPI | 4.143 | Maturity | Maturity | 10/15/2032 | 7900 | 0 | 83 | 83 | 50 | 50 | 0 |
| Receive | Receive | UKRPI | UKRPI | 3.566 | Maturity | Maturity | 03/15/2036 | 1500 | 0 | (306) | (306) | 0 | 0 | (12) |
| Receive | Receive | UKRPI | UKRPI | 3.580 | Maturity | Maturity | 03/15/2036 | 4500 | (28) | (878) | (906) | 0 | 0 | (37) |
| Pay | Pay | UKRPI | UKRPI | 3.720 | Maturity | Maturity | 09/15/2037 | 3300 | 0 | 118 | 118 | 27 | 27 | 0 |
| Receive | Receive | UKRPI | UKRPI | 3.515 | Maturity | Maturity | 02/15/2041 | 8900 | (696) | (1120) | (1816) | 0 | 0 | (92) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **$** | **(9773)** | **$** | **382** | **$** | **(423)** |
| <sup>(1)</sup> | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(200) for closed futures is outstanding at period end. |
| <sup>(2)</sup> | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. |
| <sup>(3)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(j)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 02/2023  | 02/2023  | 02/2023  | EUR | 3709 | 3709 | 3885 | 3885 | 0 | 0 | (96) | (96) |
|  |  |  | 02/2023  | 02/2023  | 02/2023  | GBP | 7036 | 7036 | 8303 | 8303 | 0 | 0 | (212) | (212) |
|  |  |  | 02/2023  | 02/2023  | 02/2023  | JPY | 535200 | 535200 | 3867 | 3867 | 0 | 0 | (234) | (234) |
|  |  |  | 02/2023  | 02/2023  | 02/2023  | $ | $12047 | 12047 | 11373 | 11373 | 162 | 162 | 0 | 0 |
|  |  |  | 02/2023  | 02/2023  | 02/2023  |  | 1416 | 1416 | 185200 | 185200 | 4 | 4 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 02/2023  | 02/2023  | 02/2023  | EUR | 98934 | 98934 | 102589 | 102589 | 0 | 0 | (3621) | (3621) |
|  |  |  | 03/2023  | 03/2023  | 03/2023  | MXN | 1615 | 1615 | 80 | 80 | 0 | 0 | (2) | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 01/2023  | 01/2023  | DKK | 11500 | 11500 | 1620 | 1620 | 0 | 0 | (36) | (36) |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | 01/2023  | 01/2023  | 96 | 96 | 96 | 96 |  | 25 | 25 | 25 |  | 0 | 0 | 0 |  | 0 |
|  |  | 01/2023  | 01/2023  | $1061 | 1061 | 1061 | 1061 | DKK | 7385 | 7385 | 7385 |  | 3 | 3 | 3 |  | 0 |
|  |  | 01/2023  | 01/2023  | 25 | 25 | 25 | 25 | PEN | 96 | 96 | 96 |  | 0 | 0 | 0 |  | 0 |
|  |  | 02/2023  | 02/2023  | 2429 | 2429 | 2429 | 2429 | $ | 1626 | 1626 | 1626 |  | 0 | 0 | 0 |  | (30) |
|  |  | 02/2023  | 02/2023  | 87 | 87 | 87 | 87 |  | 93 | 93 | 93 |  | 0 | 0 | 0 |  | 0 |
|  |  | 02/2023  | 02/2023  | 394400 | 394400 | 394400 | 394400 |  | 2866 | 2866 | 2866 |  | 0 | 0 | 0 |  | (156) |
|  |  | 02/2023  | 02/2023  | 2912 | 2912 | 2912 | 2912 |  | 1767 | 1767 | 1767 |  | 0 | 0 | 0 |  | (83) |
|  |  | 02/2023  | 02/2023  | $3535 | 3535 | 3535 | 3535 | EUR | 3308 | 3308 | 3308 |  | 16 | 16 | 16 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 02/2023  | 02/2023  | 3306785 | 3306785 | 3306785 | 3306785 | $ | 23995 | 23995 | 23995 |  | 0 | 0 | 0 |  | (1342) |
|  |  | 02/2023  | 02/2023  | $1655 | 1655 | 1655 | 1655 | EUR | 1552 | 1552 | 1552 |  | 11 | 11 | 11 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 01/2023  | 328283 | 328283 | 328283 | 328283 | $ | 46373 | 46373 | 46373 |  | 0 | 0 | 0 |  | (906) |
|  |  | 01/2023  | 01/2023  | $3778 | 3778 | 3778 | 3778 | DKK | 27020 | 27020 | 27020 |  | 113 | 113 | 113 |  | 0 |
|  |  | 02/2023  | 02/2023  | 1495 | 1495 | 1495 | 1495 | $ | 1128 | 1128 | 1128 |  | 24 | 24 | 24 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | 01/2023  | $2758 | 2758 | 2758 | 2758 | DKK | 19720 | 19720 | 19720 |  | 82 | 82 | 82 |  | 0 |
|  |  | 02/2023  | 02/2023  | 2635 | 2635 | 2635 | 2635 | $ | 2764 | 2764 | 2764 |  | 0 | 0 | 0 |  | (65) |
|  |  | 02/2023  | 02/2023  | 797100 | 797100 | 797100 | 797100 |  | 5774 | 5774 | 5774 |  | 0 | 0 | 0 |  | (334) |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  | $99 | 99 | 99 | 99 | PEN | 382 | 382 | 382 |  | 1 | 1 | 1 |  | 0 |
|  |  | 02/2023  | 02/2023  | 754 | 754 | 754 | 754 | $ | 458 | 458 | 458 |  | 0 | 0 | 0 |  | (21) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 01/2023  | 01/2023  | 364598 | 364598 | 364598 | 364598 |  | 51034 | 51034 | 51034 |  | 0 | 0 | 0 |  | (1475) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**416** | **416** | **416** | **$** | $**(8613)** | **(8613)** |
| **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Cost | Cost |  | Market<br>Value |
| BRC | Call - OTC 2-Year Interest Rate Swap  | Call - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 1.410% | 1.410% | 1.410% | 02/02/2023 | 56300 | 56300 | 56300 | $281 | 281 | $ | $0 |
| CBK | Call - OTC 2-Year Interest Rate Swap  | Call - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 1.720 | 1.720 | 1.720 | 02/23/2023 | 106700 | 106700 | 106700 | 587 | 587 |  | 0 |
| GLM | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.200 | 2.200 | 2.200 | 04/26/2023 | 24400 | 24400 | 24400 | 260 | 260 |  | 15 |
| JPM | Call - OTC 2-Year Interest Rate Swap  | Call - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 1.710 | 1.710 | 1.710 | 01/25/2023 | 113700 | 113700 | 113700 | 694 | 694 |  | 0 |
| MYC | Call - OTC 2-Year Interest Rate Swap  | Call - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 1.428 | 1.428 | 1.428 | 01/31/2023 | 56300 | 56300 | 56300 | 288 | 288 |  | 0 |
|  | Call - OTC 5-Year Interest Rate Swap  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.200 | 2.200 | 2.200 | 05/31/2023 | 69300 | 69300 | 69300 | 832 | 832 |  | 83 |
| **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | $**2942** | **2942** | **$** | $**98** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** |
| Counterparty | Description | Description | Description | Description | Buy/Sell<br>Protection | Buy/Sell<br>Protection | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| GST | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Sell | Sell | 3.000% | 3.000% | 3.000% | 03/15/2023 | 2100 | 2100 | 2100 | $(4) | (4) | $ | $0 |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| BRC | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 1.558% | 1.558% | 1.558% | 02/02/2023 | 12300 | 12300 | 12300 | $(281) | (281) | $ | $0 |
| CBK | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 1.736 | 1.736 | 1.736 | 02/23/2023 | 23700 | 23700 | 23700 | (587) | (587) |  | 0 |
| GLM | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.350 | 2.350 | 2.350 | 04/26/2023 | 13500 | 13500 | 13500 | (267) | (267) |  | (23) |
|  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 2.547 | 2.547 | 2.547 | 03/07/2023 | 4700 | 4700 | 4700 | (103) | (103) |  | (10) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 2.547 | 2.547 | 2.547 | 03/07/2023 | 4700 | 4700 | 4700 | (103) | (103) |  | (297) |
|  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 2.067 | 2.067 | 2.067 | 06/09/2023 | 6100 | 6100 | 6100 | (72) | (72) |  | (16) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 3.140 | 3.140 | 3.140 | 06/09/2023 | 6100 | 6100 | 6100 | (84) | (84) |  | (200) |
| JPM | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 1.785 | 1.785 | 1.785 | 01/25/2023 | 25200 | 25200 | 25200 | (697) | (697) |  | 0 |
| MYC | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 1.579 | 1.579 | 1.579 | 01/31/2023 | 12300 | 12300 | 12300 | (288) | (288) |  | 0 |
|  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.350 | 2.350 | 2.350 | 05/31/2023 | 38200 | 38200 | 38200 | (832) | (832) |  | (113) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $(3314) | (3314) | $ | $(659) |

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------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** | **OPTIONS** **ON INDICES** |
| Counterparty | Counterparty | Description | Description | Description | Description | Strike<br>Value | Strike<br>Value | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> |  | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| UAG | UAG | Call - OTC BCOMTR Index  | Call - OTC BCOMTR Index  | Call - OTC BCOMTR Index  | Call - OTC BCOMTR Index  | 119.900 | 119.900 | 01/20/2023 | 01/20/2023 | 84 | $ | (315) | (315) | $(32) | (32) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(3633)** | **(3633)** | $**(691)** | **(691)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** | **TOTAL RETURN SWAPS ON COMMODITY AND EQUITY INDICES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | Pay/Receive<sup>(2)</sup> | Pay/Receive<sup>(2)</sup> | Underlying<br>Reference | # of Units | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| &nbsp;&nbsp; BOA | Receive | Receive | AMZX Index  | 811 | &nbsp;&nbsp; 4.780% (1-Month USD-LIBOR plus a specified spread) | Monthly | 10/25/2023 | 10/25/2023 | $1209 | $0 | 0 | $(5) | $0 | 0 | $(5) |
| &nbsp;&nbsp; BPS | Receive | Receive | BCOMF1NTC Index  | 50337 | &nbsp;&nbsp; 0.120% | Monthly | 02/15/2023 | 02/15/2023 | 6525 | 0 | 0 | 0 | 0 | 0 | 0 |
|  | Receive | Receive | BCOMTR Index  | 265747 | &nbsp;&nbsp; 4.530% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 65796 | 0 | 0 | (591) | 0 | 0 | (591) |
|  | Receive | Receive | CSIXTR Index  | 6553 | &nbsp;&nbsp; 4.600% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 41653 | 0 | 0 | 1186 | 1186 | 1186 | 0 |
| &nbsp;&nbsp; BRC | Receive | Receive | DWRTFT Index  | 18067 | &nbsp;&nbsp; 4.610% (1-Month USD-LIBOR plus a specified spread) | Monthly | 11/15/2023 | 11/15/2023 | 199129 | 0 | 0 | (837) | 0 | 0 | (837) |
| &nbsp;&nbsp; CBK | Receive | Receive | DWRTFT Index  | 1372 | &nbsp;&nbsp; 4.700% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/10/2023 | 05/10/2023 | 15122 | 0 | 0 | (97) | 0 | 0 | (97) |
| &nbsp;&nbsp; FAR | Receive | Receive | DWRTFT Index  | 7344 | &nbsp;&nbsp; 4.600% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/08/2023 | 03/08/2023 | 80943 | 0 | 0 | (339) | 0 | 0 | (339) |
|  | Receive | Receive | AMZX Index  | 14804 | &nbsp;&nbsp; 4.700% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/12/2023 | 04/12/2023 | 22067 | 0 | 0 | (94) | 0 | 0 | (94) |
|  | Receive | Receive | DWRTFT Index  | 7344 | &nbsp;&nbsp; 4.600% (1-Month USD-LIBOR plus a specified spread) | Monthly | 05/03/2023 | 05/03/2023 | 80943 | 0 | 0 | (339) | 0 | 0 | (339) |
|  | Receive | Receive | AMZX Index  | 64460 | &nbsp;&nbsp; 4.680% (1-Month USD-LIBOR plus a specified spread) | Monthly | 08/16/2023 | 08/16/2023 | 96084 | 0 | 0 | (405) | 0 | 0 | (405) |
|  | Receive | Receive | DWRTFT Index  | 8294 | &nbsp;&nbsp; 4.600% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/06/2023 | 09/06/2023 | 91414 | 0 | 0 | (383) | 0 | 0 | (383) |
| &nbsp;&nbsp; GST | Receive | Receive | BCOMTR Index  | 414360 | &nbsp;&nbsp; 4.540% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 102591 | 0 | 0 | (921) | 0 | 0 | (921) |
|  | Receive | Receive | CSIXTR Index  | 6653 | &nbsp;&nbsp; 4.580% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 42291 | 0 | 0 | 1207 | 1207 | 1207 | 0 |
| &nbsp;&nbsp; JPM | Receive | Receive | JMABNIC5 Index  | 505595 | &nbsp;&nbsp; 0.000% | Monthly | 02/15/2023 | 02/15/2023 | 89835 | 0 | 0 | 3261 | 3261 | 3261 | 0 |
|  | Receive | Receive | AMNAX Index  | 168418 | &nbsp;&nbsp; 4.880% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/15/2023 | 03/15/2023 | 116770 | 0 | 0 | (522) | 0 | 0 | (522) |
|  | Receive | Receive | DWRTFT Index  | 5579 | &nbsp;&nbsp; 4.600% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 09/13/2023 | 61490 | 0 | 0 | (258) | 0 | 0 | (258) |
| &nbsp;&nbsp; MAC | Receive | Receive | BCOMTR Index  | 220353 | &nbsp;&nbsp; 4.540% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 54557 | 0 | 0 | (480) | 0 | 0 | (480) |
|  | Receive | Receive | CSIXTR Index  | 4962 | &nbsp;&nbsp; 4.590% (3-Month U.S. Treasury Bill rate plus a specified spread) | Monthly | 02/15/2023 | 02/15/2023 | 31540 | 0 | 0 | 900 | 900 | 900 | 0 |
|  | Receive | Receive | PIMCODB Index  | 1316916 | &nbsp;&nbsp; 0.000% | Monthly | 02/15/2023 | 02/15/2023 | 242441 | 0 | 0 | 5937 | 5937 | 5937 | 0 |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; MYI | Receive | DWRTFT Index  | DWRTFT Index  | 167 | &nbsp;&nbsp; 4.740% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.740% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 01/04/2023 | 01/04/2023 | 1942 |  | 0 |  | (110) |  | 0 |  | (110) |
|  | Receive | DWRTFT Index  | DWRTFT Index  | 5362 | &nbsp;&nbsp; 4.570% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.570% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 02/22/2023 | 02/22/2023 | 59098 |  | 0 |  | (246) |  | 0 |  | (246) |
|  | Receive | DWRTFT Index  | DWRTFT Index  | 6553 | &nbsp;&nbsp; 4.540% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.540% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 06/21/2023 | 06/21/2023 | 71128 |  | 0 |  | 1061 |  | 1061 |  | 0 |
| &nbsp;&nbsp; UAG | Receive | BCOMTR Index  | BCOMTR Index  | 30726 | &nbsp;&nbsp; 0.000% | &nbsp;&nbsp; 0.000% | Maturity | Maturity | 01/20/2023 | 01/20/2023 | 3350 |  | 22 |  | 94 |  | 116 |  | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | $ | 22 | $ | 8019 | $ | 13668 | $ | (5627) |
| **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | Pay/Receive<sup>(2)</sup> | Pay/Receive<sup>(2)</sup> | Underlying<br>Reference | # of Shares | # of Shares | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| &nbsp;&nbsp; JPM | Receive | Receive | Alexandria Real Estate Equities, Inc.  | 80100 | 80100 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | $11668 | 11668 | $0 | 0 | $61 | 61 | $61 | 61 | $0 |
|  | Receive | Receive | American Homes 4 Rent  | 523400 | 523400 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 15775 | 15775 | 0 | 0 | (54) | (54) | 0 | 0 | (54) |
|  | Receive | Receive | American Tower Corp.  | 110600 | 110600 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 23432 | 23432 | 0 | 0 | 99 | 99 | 99 | 99 | 0 |
|  | Receive | Receive | Apartment Income REIT Corp.  | 257500 | 257500 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 8835 | 8835 | 0 | 0 | (29) | (29) | 0 | 0 | (29) |
|  | Receive | Receive | AvalonBay Communities, Inc.  | 136400 | 136400 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 22031 | 22031 | 0 | 0 | 144 | 144 | 144 | 144 | 0 |
|  | Receive | Receive | Digital Realty Trust, Inc.  | 90100 | 90100 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 9034 | 9034 | 0 | 0 | 80 | 80 | 80 | 80 | 0 |
|  | Receive | Receive | Equinix, Inc.  | 17500 | 17500 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 11463 | 11463 | 0 | 0 | (37) | (37) | 0 | 0 | (37) |
|  | Receive | Receive | Equity LifeStyle Properties, Inc.  | 316000 | 316000 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 20414 | 20414 | 0 | 0 | 66 | 66 | 66 | 66 | 0 |
|  | Receive | Receive | Equity Residential  | 360500 | 360500 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 21270 | 21270 | 0 | 0 | 155 | 155 | 155 | 155 | 0 |
|  | Receive | Receive | First Industrial Realty Trust, Inc.  | 214600 | 214600 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 10357 | 10357 | 0 | 0 | 30 | 30 | 30 | 30 | 0 |
|  | Receive | Receive | Gaming and Leisure Properties, Inc.  | 228300 | 228300 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 11892 | 11892 | 0 | 0 | (36) | (36) | 0 | 0 | (36) |
|  | Receive | Receive | Invitation Homes, Inc.  | 1070100 | 1070100 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 12/06/2023 | 31718 | 31718 | 0 | 0 | (109) | (109) | 0 | 0 | (109) |

---

------

<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Receive | Prologis, Inc.  | 668537 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 75364 |  | 0 |  | (245) |  | 0 |  | (245) |
|  | Receive | PSA Treasury Pte Ltd.  | 130800 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 36649 |  | 0 |  | (123) |  | 0 |  | (123) |
|  | Receive | Rexford Industrial Realty, Inc.  | 180200 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 9846 |  | 0 |  | 27 |  | 27 |  | 0 |
|  | Receive | SBA Communications Corp.  | 62100 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 17407 |  | 0 |  | (56) |  | 0 |  | (56) |
|  | Receive | Simon Property Group, Inc.  | 318900 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 37464 |  | 0 |  | (120) |  | 0 |  | (120) |
|  | Receive | Sun Communities, Inc.  | 210400 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 30087 |  | 0 |  | 91 |  | 91 |  | 0 |
|  | Receive | Vici Properities, Inc.  | 1095456 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 35493 |  | 0 |  | 310 |  | 310 |  | 0 |
|  | Receive | WP Carey, Inc.  | 167700 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 12/06/2023 |  | 13106 |  | 0 |  | 138 |  | 138 |  | 0 |
|  |  |  |  |  |  |  |  |  |  | $0 | 0 | $392 | 392 | $1201 | 1201 | $(809) | (809) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | $**22** | **22** | $**8411** | **8411** | $**14869** | **14869** | $**(6436)** | **(6436)** |
| **(k)** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $78,540 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $ | $0 | 0 | $94259 | 94259 | $ | $0 | 0 | 0 | 94259 | 94259 |  |  |
| Industrials | Industrials | Industrials | Industrials | Industrials |  | 0 | 0 | 158 | 158 |  | 0 | 0 | 0 | 158 | 158 |  |  |
| Utilities | Utilities | Utilities | Utilities | Utilities |  | 0 | 0 | 303 | 303 |  | 0 | 0 | 0 | 303 | 303 |  |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies |  | 0 | 0 | 104950 | 104950 |  | 0 | 0 | 0 | 104950 | 104950 |  |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations |  | 0 | 0 | 2609372 | 2609372 |  | 0 | 0 | 0 | 2609372 | 2609372 |  |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities |  | 0 | 0 | 14349 | 14349 |  | 0 | 0 | 0 | 14349 | 14349 |  |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |  | 0 | 0 | 238288 | 238288 |  | 0 | 0 | 0 | 238288 | 238288 |  |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues |  | 0 | 0 | 105669 | 105669 |  | 0 | 0 | 0 | 105669 | 105669 |  |  |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |  |  |
| Consumer Discretionary | Consumer Discretionary | Consumer Discretionary | Consumer Discretionary | Consumer Discretionary |  | 9430 | 9430 | 0 | 0 |  | 0 | 0 | 0 | 9430 | 9430 |  |  |
| Real Estate | Real Estate | Real Estate | Real Estate | Real Estate |  | 10665 | 10665 | 0 | 0 |  | 0 | 0 | 0 | 10665 | 10665 |  |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |  |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance |  | 0 | 0 | 198 | 198 |  | 0 | 0 | 0 | 198 | 198 |  |  |
| Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts |  |  |
| Real Estate | Real Estate | Real Estate | Real Estate | Real Estate |  | 478167 | 478167 | 0 | 0 |  | 0 | 0 | 0 | 478167 | 478167 |  |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |  |
| Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper |  | 0 | 0 | 32238 | 32238 |  | 0 | 0 | 0 | 32238 | 32238 |  |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements |  | 0 | 0 | 224621 | 224621 |  | 0 | 0 | 0 | 224621 | 224621 |  |  |
| Short-Term Notes | Short-Term Notes | Short-Term Notes | Short-Term Notes | Short-Term Notes |  | 0 | 0 | 641 | 641 |  | 0 | 0 | 0 | 641 | 641 |  |  |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills |  | 0 | 0 | 52543 | 52543 |  | 0 | 0 | 0 | 52543 | 52543 |  |  |
|  |  |  |  |  | $ | $498262 | 498262 | $3477589 | 3477589 | $ | $0 | 0 | 0 | 3975851 | 3975851 |  |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |  |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $ | $23771 | 23771 | $0 | 0 | $ | $0 | 0 | 0 | 23771 | 23771 |  |  |

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<br> Consolidated Schedule of Investments PIMCO All Asset: Multi-Real Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Total Investments | $522033 | $3477589 | $0 | $3999622 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 5024 | 881 | 0 | 5905 |
| Over the counter | 0 | 15383 | 0 | 15383 |
|  | $5024 | $16264 | $0 | $21288 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | (3291) | (853) | 0 | (4144) |
| Over the counter | 0 | (15740) | 0 | (15740) |
|  | $(3291) | $(16593) | $0 | $(19884) |
| Total Financial Derivative Instruments | $1733 | $(329) | $0 | $1404 |
| Totals | $523766 | $3477260 | $0 | $4001026 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 120.8% ¤** |  |  |
| **CORPORATE BONDS & NOTES 1.3%**  |  |  |
| **BANKING & FINANCE 1.2%**  |  |  |
| **Bank of America Corp.** <br>5.653% (SOFRRATE + 1.330%) due 04/02/2026 ~ | $300 | $298 |
| **Credit Suisse AG** <br>2.984% (EUR003M + 1.000%) due 09/01/2023 ~ | 2000 | 2105 |
| **Credit Suisse Group AG** <br>7.500% due 12/11/2023 •(d)(e) | $400 | 350 |
| **Equinix, Inc.** <br>1.550% due 03/15/2028 | 100 | 83 |
| **Fairfax Financial Holdings Ltd.** <br>2.750% due 03/29/2028 | 150 | 140 |
| **General Motors Financial Co., Inc.** <br>5.360% (SOFRRATE + 1.200%) due 11/17/2023 ~ | $100 | 100 |
| **Goldman Sachs Group, Inc.** <br>6.162% (SOFRRATE + 1.850%) due 03/15/2028 ~ | 400 | 394 |
| **Jackson National Life Global Funding** <br>5.473% (SOFRRATE + 1.150%) due 06/28/2024 ~ | 1300 | 1301 |
| **Nykredit Realkredit AS** <br>1.500% due 10/01/2053 | 7537 | 837 |
| **Societe Generale SA** <br>7.875% due 12/18/2023 •(d)(e) | $400 | 396 |
| **Toyota Motor Credit Corp.** <br>5.050% due 12/11/2023 | 1000 | 1002 |
| **VICI Properties LP** <br>4.750% due 02/15/2028 | 100 | 95 |
|  |  | 7101 |
| **INDUSTRIALS 0.1%**  |  |  |
| **CVS Pass-Through Trust** <br>6.943% due 01/10/2030 | 67 | 69 |
| **Warnermedia Holdings, Inc.**  |  |  |
| 4.054% due 03/15/2029  | 100 | 87 |
| 4.279% due 03/15/2032  | 400 | 330 |
|  |  | 486 |
| Total Corporate Bonds & Notes (Cost $7,273) |  | 7587 |
| **MUNICIPAL BONDS & NOTES 0.1%**  |  |  |
| **ILLINOIS 0.0%**  |  |  |
| **Chicago, Illinois General Obligation Bonds, Series 2015** <br>7.750% due 01/01/2042 | 16 | 16 |
| **WASHINGTON 0.1%**  |  |  |
| **Washington State Convention Center Public Facilities District Revenue Bonds, (BABs), Series 2010** <br>6.790% due 07/01/2040 | 365 | 384 |
| Total Municipal Bonds & Notes (Cost $405) |  | 400 |
| **U.S. GOVERNMENT AGENCIES 0.2%**  |  |  |
| **Fannie Mae**  |  |  |
| 4.000% due 04/25/2041 | 536 | 505 |
| 4.366% due 09/25/2042 •  | 3 | 2 |
| 4.739% due 07/25/2037 •  | 4 | 4 |
| 4.769% due 07/25/2037 ~ | 7 | 7 |
| 4.789% due 09/25/2035 •  | 14 | 14 |
| 4.799% due 09/25/2035 ~ | 33 | 32 |
| 5.109% due 06/25/2037 •  | 61 | 61 |
| **Freddie Mac**  |  |  |
| 4.698% due 03/15/2037 ~ | 63 | 62 |
| 5.018% due 08/15/2037 •  | 86 | 85 |
| 5.028% due 10/15/2037 •  | 14 | 14 |
| 5.038% due 05/15/2037 - 09/15/2037 •  | 100 | 100 |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **U** **.S. Small Business Administration**<br>4.430% due 05/01/2029 | 10 | 9 |
| Total U.S. Government Agencies (Cost $909) |  | 895 |
| **U.S. TREASURY OBLIGATIONS 2.2%**  |  |  |
| **U.S. Treasury Inflation Protected Securities** (c) |  |  |
| 0.125% due 02/15/2052 | 4817 | 3125 |
| 0.625% due 07/15/2032 | 9333 | 8556 |
| 0.625% due 02/15/2043 | 113 | 91 |
| 1.375% due 02/15/2044 | 805 | 749 |
| Total U.S. Treasury Obligations (Cost $13,609) |  | 12521 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 12.7%**  |  |  |
| **245 Park Avenue Trust** <br>3.508% due 06/05/2037 | 1000 | 891 |
| **Ashford Hospitality Trust** <br>5.218% due 04/15/2035 •  | 834 | 806 |
| **Atrium Hotel Portfolio Trust** <br>6.068% due 12/15/2036 •  | 5000 | 4798 |
| **BAMLL Commercial Mortgage Securities Trust** <br>3.218% due 04/14/2033 | 3750 | 3478 |
| **Banc of America Mortgage Trust**  |  |  |
| 3.942% due 07/25/2035 ^~  | 21 | 19 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 3.887% due 11/25/2034 ~  | 3 | 3 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.354% due 10/25/2035 ^~  | 105 | 89 |
| 3.729% due 09/25/2035 ^~  | 58 | 36 |
| **BIG Commercial Mortgage Trust** <br>5.678% due 02/15/2039 •  | 3500 | 3366 |
| **BX Commercial Mortgage Trust** <br>5.326% due 01/17/2039 ~ | 3000 | 2877 |
| **BX Trust** <br>5.085% (TSFR1M + 0.749%) due 04/15/2039 ~ | 1100 | 1016 |
| **Century Plaza Towers** <br>2.865% due 11/13/2039 | 1875 | 1500 |
| **Chase Mortgage Finance Trust**  |  |  |
| 3.707% due 09/25/2036 ^~  | 22 | 18 |
| 3.824% due 12/25/2035 ^~  | 11 | 10 |
| 6.000% due 12/25/2036  | 23 | 11 |
| **Citigroup Mortgage Loan Trust** <br>6.170% due 09/25/2062 þ | 1456 | 1426 |
| **Colony Mortgage Capital Ltd.** <br>5.796% due 11/15/2038 •  | 2900 | 2719 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 4.769% due 09/25/2046 ^•  | 109 | 100 |
| 4.949% due 02/25/2037 ~ | 39 | 32 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 3.792% due 11/25/2034 ~  | 25 | 22 |
| **DBWF Mortgage Trust**  |  |  |
| 5.469% due 12/19/2030 •  | 3200 | 3109 |
| 5.789% due 12/19/2030 ~ | 2400 | 2309 |
| **Deutsche ALT-A Securities, Inc. Mortgage Loan Trust** <br>5.049% due 02/25/2036 •  | 277 | 256 |
| **Ellington Financial Mortgage Trust** <br>5.900% due 09/25/2067 þ | 5700 | 5620 |
| **GS Mortgage Securities Corp.** <br>7.736% due 08/15/2039 ~ | 2800 | 2825 |
| **GSR Mortgage Loan Trust**  |  |  |
| 3.719% due 11/25/2035 ~  | 1 | 1 |
| 3.767% due 09/25/2035 ~  | 1 | 1 |
| 3.954% due 11/25/2035 ^~  | 39 | 32 |
| 6.000% due 02/25/2036 ^ | 484 | 222 |
| 6.000% due 07/25/2037 ^  | 129 | 90 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 3.529% due 06/19/2036 ^~  | 127 | 73 |
| 4.679% due 12/19/2036 •^  | 12 | 11 |
| 4.819% due 06/19/2035 •  | 93 | 87 |
| 4.819% due 12/19/2036 ^~ | 253 | 229 |
| **Hilton Orlando Trust** <br>5.618% due 12/15/2034 •  | 290 | 281 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 3.215% due 06/25/2036 ~  | 259 | 234 |
| 4.749% due 02/25/2037 •^  | 143 | 126 |
| **JP Morgan Alternative Loan Trust** <br>3.133% due 05/25/2036 ^~ | 123 | 71 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 2.287% due 03/05/2042  | 3561 | 2913 |
| 4.248% due 07/05/2033  | 1500 | 1403 |
| 5.268% due 02/15/2035 ~ | 1029 | 999 |
| 5.372% due 07/05/2033 •  | 1355 | 1275 |
| 5.568% due 09/15/2029 •  | 2559 | 2483 |
| 5.588% due 11/15/2035 •  | 261 | 250 |
| 5.618% due 03/15/2036 •  | 5000 | 4794 |

---

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **JP** **Morgan Mortgage Trust**  |  |  |
| 3.590% due 10/25/2036 ~  | 10 | 7 |
| 3.614% due 10/25/2036 ^~  | 62 | 47 |
| 3.708% due 07/25/2035 ~  | 4 | 4 |
| **Legacy Mortgage Asset Trust** <br>1.875% due 10/25/2068 þ | 336 | 303 |
| **Lehman Mortgage Trust** <br>6.000% due 09/25/2037 ^ | 94 | 86 |
| **MAD Mortgage Trust** <br>3.366% due 08/15/2034 ~ | 1600 | 1473 |
| **MASTR Adjustable Rate Mortgages Trust** <br>2.642% due 07/25/2035 ^~ | 17 | 15 |
| **Merrill Lynch Alternative Note Asset Trust** <br>4.989% due 03/25/2037 •  | 172 | 50 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 3.011% due 05/25/2033 ~  | 2 | 1 |
| 3.820% due 09/25/2035 ^~  | 49 | 39 |
| **Mortgage Equity Conversion Asset Trust** <br>5.140% due 05/25/2042 ~ | 220 | 192 |
| **New Orleans Hotel Trust** <br>5.307% due 04/15/2032 •  | 2300 | 2189 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>5.476% due 05/25/2035 ^þ | 5 | 3 |
| **NYO Commercial Mortgage Trust** <br>5.413% due 11/15/2038 ~ | 6200 | 5638 |
| **Preston Ridge Partners Mortgage LLC** <br>3.720% due 02/25/2027 þ | 344 | 323 |
| **PRET LLC** <br>6.559% due 08/25/2052 þ | 2878 | 2843 |
| **Prime Mortgage Trust** <br>6.000% due 06/25/2036 ^ | 3 | 3 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 4.689% due 02/25/2037 •  | 117 | 102 |
| 4.729% due 01/25/2037 ~ | 215 | 175 |
| 4.749% due 07/25/2036 ~ | 427 | 181 |
| 4.759% due 08/25/2036 ~ | 220 | 194 |
| 4.769% due 09/25/2036 ^•  | 338 | 309 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.448% due 01/25/2035 ^•  | 2 | 2 |
| 3.780% due 02/25/2034 ~  | 1 | 1 |
| **Thornburg Mortgage Securities Trust** <br>6.666% due 06/25/2047 ^•  | 96 | 79 |
| **Towd Point Mortgage Trust**  |  |  |
| 3.722% due 03/25/2058 ~  | 1934 | 1829 |
| 3.750% due 09/25/2062  | 1430 | 1344 |
| **UBS Commercial Mortgage Trust** <br>5.168% due 02/15/2032 ~ | 434 | 424 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.211% due 02/25/2037 ^~  | 36 | 32 |
| **Wells Fargo Commercial Mortgage Trust** <br>5.658% (US0001M + 1.340%) due 02/15/2037 ~ | 930 | 891 |
| **Wells Fargo Mortgage-Backed Securities Trust** <br>4.564% due 12/25/2036 ^~ | 39 | 37 |
| Total Non-Agency Mortgage-Backed Securities (Cost $71,741) |  | 71727 |
| **ASSET-BACKED SECURITIES 20.1%**  |  |  |
| **ACE Securities Corp. Home Equity Loan Trust** <br>4.509% due 10/25/2036 ~ | 1 | 0 |
| **Adagio X Eur CLO DAC** <br>4.541% due 07/20/2036 | 5300 | 5677 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust** <br>5.349% due 07/25/2035 •  | $27 | 26 |
| **Bear Stearns Asset-Backed Securities Trust** <br>4.629% due 06/25/2047 •  | 322 | 321 |
| **BHG Securitization Trust**  |  |  |
| 5.320% due 10/17/2035  | 1094 | 1086 |
| 5.930% due 10/17/2035  | 1700 | 1673 |
| **Black Diamond CLO DAC** <br>2.316% due 01/20/2032 ~ | 4822 | 5046 |
| **Capital Four U.S. CLO Ltd.** <br>5.814% due 10/20/2030 ~ | $900 | 898 |
| **CarNow Auto Receivables Trust** <br>3.440% due 07/15/2024 | 30 | 30 |
| **Carrington Mortgage Loan Trust** <br>5.099% due 04/17/2031 ~ | 2700 | 2652 |
| **Citibank Credit Card Issuance Trust** <br>4.683% due 01/20/2025 •  | 800 | 800 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 4.549% due 12/25/2036 ~ | 805 | 454 |
| 4.569% due 01/25/2037 •  | 1036 | 772 |
| **Contego CLO DAC** <br>2.573% (EUR003M + 1.030%) due 01/25/2034 ~ | 2230 | 2292 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 4.529% due 04/25/2047 ~ | $128 | 122 |
| 4.929% due 03/25/2036 •  | 169 | 156 |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Dryden** **53 CLO Ltd.** <br>5.479% due 01/15/2031 •  | 1600 | 1546 |
| **Dryden Euro CLO DAC** <br>2.258% due 04/15/2034 ~ | 2500 | 2559 |
| **Euro-Galaxy CLO DAC** <br>2.748% due 02/15/2034 | 5000 | 5172 |
| **Exeter Automobile Receivables Trust** <br>5.290% due 01/15/2025 | $3400 | 3400 |
| **Fair Oaks Loan Funding DAC** <br>2.258% (EUR003M + 0.880%) due 04/15/2034 ~ | 3500 | 3591 |
| **First Franklin Mortgage Loan Trust** <br>4.709% due 04/25/2036 •  | $18 | 18 |
| **Ford Auto Securitization Trust Asset-Backed Notes** <br>4.956% due 10/15/2024 | 2324 | 1713 |
| **FREED ABS Trust** <br>6.490% due 12/18/2029 | $1534 | 1534 |
| **Fremont Home Loan Trust** <br>4.709% due 08/25/2036 ~ | 1981 | 687 |
| **GSAMP Trust** <br>4.439% due 12/25/2046 •  | 297 | 149 |
| **Henley CLO DAC** <br>2.493% (EUR003M + 0.950%) due 07/25/2034 ~ | 5000 | 5137 |
| **Invesco Euro CLO DAC** <br>2.448% (EUR003M + 1.070%) due 01/15/2034 ~ | 4000 | 4164 |
| **LL ABS Trust** <br>6.630% due 05/15/2030 | $2408 | 2400 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.689% due 05/25/2036 ~  | 108 | 63 |
| 4.929% due 05/25/2046 •  | 700 | 237 |
| **Madison Park Funding Ltd.** <br>5.478% due 04/25/2032 •  | 2150 | 2116 |
| **Marlette Funding Trust**  |  |  |
| 5.180% due 11/15/2032  | 2087 | 2072 |
| 5.950% due 11/15/2032  | 600 | 586 |
| **Massachusetts Educational Financing Authority** <br>5.308% due 04/25/2038 •  | 22 | 22 |
| **Master Credit Card Trust** <br>4.844% due 07/21/2024 •  | 1800 | 1800 |
| **MASTR Asset-Backed Securities Trust**  |  |  |
| 4.439% due 01/25/2037 •  | 2599 | 752 |
| 4.599% due 05/25/2037 •  | 831 | 782 |
| 4.969% due 12/25/2035 •  | 35 | 35 |
| **Merrill Lynch Mortgage Investors Trust** <br>4.889% due 07/25/2037 •  | 396 | 103 |
| **MF1 Ltd.**  |  |  |
| 6.471% due 06/19/2037 •  | 4400 | 4338 |
| 6.971% due 06/19/2037 •  | 1300 | 1282 |
| **Morgan Stanley ABS Capital, Inc. Trust**  |  |  |
| 4.519% due 02/25/2037 • ~ | 389 | 349 |
| 4.519% due 02/25/2037 ~ | 577 | 260 |
| 4.524% due 11/25/2036 •  | 871 | 591 |
| 4.599% due 01/25/2037 ~ | 432 | 214 |
| **Morgan Stanley Home Equity Loan Trust** <br>4.489% due 12/25/2036 •  | 450 | 228 |
| **Navient Private Education Loan Trust** <br>5.768% due 07/16/2040 •  | 5924 | 5842 |
| **Nelnet Student Loan Trust** <br>5.093% due 04/20/2062 •  | 1596 | 1549 |
| **Oportun Issuance Trust** <br>7.451% due 01/08/2030 | 2993 | 2994 |
| **Pagaya AI Debt Selection Trust**  |  |  |
| 2.030% due 10/15/2029  | 212 | 203 |
| 4.970% due 01/15/2030  | 154 | 152 |
| **Park Place Securities, Inc. Asset-Backed Pass-Through Certificates** <br>6.039% due 12/25/2034 ~ | 43 | 43 |
| **PFP Ltd.** <br>6.600% due 08/19/2035 ~ | 2200 | 2161 |
| **PRET LLC**  |  |  |
| 1.744% due 07/25/2051 þ  | 249 | 226 |
| 1.868% due 07/25/2051 þ  | 260 | 230 |
| **Ready Capital Mortgage Financing LLC** <br>6.875% due 10/25/2039 | 2896 | 2892 |
| **Regatta Funding Ltd.** <br>5.149% due 07/17/2031 •  | 2000 | 1966 |
| **Renaissance Home Equity Loan Trust** <br>5.586% due 11/25/2036 þ | 748 | 280 |
| **Research-Driven Pagaya Motor Asset Trust** <br>4.320% due 09/25/2030 | 438 | 423 |
| **Residential Asset Mortgage Products Trust** <br>6.069% due 08/25/2035 •  | 700 | 636 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.549% due 08/25/2036 •  | 377 | 123 |
| 4.869% due 07/25/2036 •  | 207 | 87 |
| 5.349% due 01/25/2036 ^•  | 296 | 281 |
| **SG Mortgage Securities Trust** <br>4.529% due 10/25/2036 •  | 240 | 204 |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **SLM** **Private Education Loan Trust** <br>9.068% due 10/15/2041 •  | 2647 | 2842 |
| **SMB Private Education Loan Trust**  |  |  |
| 1.070% due 01/15/2053  | 1875 | 1611 |
| 5.048% due 01/15/2053 •  | 2077 | 1989 |
| 5.239% due 09/15/2054 •  | 1353 | 1310 |
| **Sound Point CLO Ltd.** <br>5.293% due 10/20/2028 •  | 272 | 270 |
| **Soundview Home Loan Trust** <br>5.289% due 10/25/2037 •  | 629 | 491 |
| **St Paul's CLO DAC** <br>2.138% due 07/17/2030 | 3991 | 4159 |
| **Starwood Mortgage Trust** <br>5.157% due 11/15/2038 •  | $4430 | 4292 |
| **Structured Asset Securities Corp. Mortgage Loan Trust**  |  |  |
| 4.524% due 07/25/2036 •  | 43 | 42 |
| 4.729% due 12/25/2036 ~ | 27 | 27 |
| **Theorem Funding Trust**  |  |  |
| 1.210% due 12/15/2027  | 125 | 123 |
| 7.600% due 04/15/2029  | 2448 | 2441 |
| **TPG Real Estate Finance Issuer Ltd.** <br>5.458% due 02/15/2039 ~ | 3700 | 3614 |
| Total Asset-Backed Securities (Cost $109,811) |  | 113408 |
| **SOVEREIGN ISSUES 0.6%**  |  |  |
| **Brazil Government International Bond** <br>4.750% due 01/14/2050 | 420 | 295 |
| **Israel Government International Bond**  |  |  |
| 0.150% due 07/31/2023  | 7400 | 2064 |
| 1.500% due 11/30/2023  | 3500 | 977 |
| Total Sovereign Issues (Cost $3,321) |  | 3336 |
|  | SHARES |  |
| **PREFERRED SECURITIES 0.0%**  |  |  |
| **BANKING & FINANCE 0.0%**  |  |  |
| **Stichting AK Rabobank Certificaten**<br>6.500% due 12/29/2049 þ(d) | 81275 | 84 |
| Total Preferred Securities (Cost $73) |  | 84 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 83.6%**  |  |  |
| **COMMERCIAL PAPER 2.1%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.800% due 01/04/2023 | $3900 | 3898 |
| **Duke Energy Corp.** <br>4.620% due 01/11/2023 | 2300 | 2296 |
| **Entergy Corp.** <br>4.750% due 01/11/2023 | 1700 | 1697 |
| **Fiserv, Inc.** <br>4.600% due 01/05/2023 | 1390 | 1389 |
| **Quanta Services, Inc.** <br>5.100% due 01/13/2023 | 2300 | 2296 |
|  |  | 11576 |
| **REPURCHASE AGREEMENTS (f) 68.0%** |  | 383300 |
| **HUNGARY TREASURY BILLS 0.5%**  |  |  |
| 18.250% due 01/03/2023 (a)(b) | 1015000 | 2721 |
| **ISRAEL TREASURY BILLS 1.3%**  |  |  |
| 0.578% due 01/04/2023 - 02/08/2023 (a)(b) | 25700 | 7286 |
| **JAPAN TREASURY BILLS 9.0%**  |  |  |
| (0.177)% due 01/11/2023 - 02/06/2023 (a)(b) | 6640000 | 50600 |
| **U.S. TREASURY BILLS 2.6%**  |  |  |
| 4.154% due 03/02/2023 (a)(b) | $14812 | 14711 |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Short-Term Instruments (Cost $464,836) |  | 470194 |
| Total Investments in Securities (Cost $671,978) |  | 680152 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 3.4%**  |  |  |
| **SHORT-TERM INSTRUMENTS 3.4%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 3.4%**  |  |  |
| **PIMCO Short Asset Portfolio** | 2013405 | 19301 |
| Total Short-Term Instruments (Cost $19,716) |  | 19301 |
| Total Investments in Affiliates (Cost $19,716) |  | 19301 |
| Total Investments 124.2% (Cost $691,694) |  | $699453 |
| **Financial Derivative Instruments (g)(h) (1.8)**%(Cost or Premiums, net $345) |  | (10115) |
| Other Assets and Liabilities, net (22.4)% |  | (126105) |
| Net Assets 100.0% |  | $563233 |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** | **Coupon represents a weighted average yield to maturity** |
| **(b)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(c)** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** |
| **(d)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(e)** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(f)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BOS | BOS | 4.220%  | 12/22/2022 | 01/05/2023 | 100000 | &nbsp;&nbsp; U.S. Treasury Bonds 2.750% due 11/15/2047 | &nbsp;&nbsp; U.S. Treasury Bonds 2.750% due 11/15/2047 | &nbsp;&nbsp; U.S. Treasury Bonds 2.750% due 11/15/2047 | (97731) | (97731) | 100000 | $ | 100140 |
| BPS | BPS | 4.150  | 12/30/2022 | 01/03/2023 | 129700 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | (132337) | (132337) | 129700 |  | 129760 |
|  |  | 4.200  | 01/03/2023 | 01/04/2023 | 132900 | &nbsp;&nbsp; U.S. Treasury Notes 1.500% due 02/15/2025 | &nbsp;&nbsp; U.S. Treasury Notes 1.500% due 02/15/2025 | &nbsp;&nbsp; U.S. Treasury Notes 1.500% due 02/15/2025 | (135707) | (135707) | 132900 |  | 132900 |
|  |  | 4.310  | 12/30/2022 | 01/03/2023 | 20700 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% due 05/15/2030 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% due 05/15/2030 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% due 05/15/2030 | (21159) | (21159) | 20700 |  | 20710 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  | **(386934)** | **(386934)** | **383300** | **$** | **383510** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(87) at a weighted average interest rate of 2.950%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** |
| **(g)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability | Liability |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 134 | 134 | $27480 | $26 | 26 | $0 | 0 | $(21) | (21) |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 253 | 253 | 27306 | (34) | (34) | 0 | 0 | (22) | (22) |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 196 | 196 | 22010 | (118) | (118) | 0 | 0 | (27) | (27) |
|  |  |  |  |  |  |  |  | (126) | $ | 0 | $ | (70) | (70) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability | Liability |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 79 | 79 | $(10611) | $(24) | (24) | $39 | 39 | $0 | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(150)** | **$** | **39** | **$** | **(70)** | **(70)** |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date |  | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(3)</sup> | Asset | Asset | Liability |
| CDX.IG-38 5-Year Index  | CDX.IG-38 5-Year Index  | CDX.IG-38 5-Year Index  | 1.000% | 1.000% | 1.000% | Quarterly | 06/20/2027 | 06/20/2027 | 06/20/2027 | $ | 57 | 173 | 230 | 0 | 0 | 0 |
| CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | 1.000 | 1.000 | 1.000 | Quarterly | 12/20/2027 | 12/20/2027 | 12/20/2027 |  | 394 | 1832 | 2226 | 11 | 11 | 0 |
|  |  |  |  |  |  |  |  |  |  | $ | 451 | 2005 | 2456 | 11 | 11 | 0 |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Floating Rate Index | Fixed Rate | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Asset | Asset | Liability |
| Pay<sup>(4)</sup> | Pay<sup>(4)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.750% | 1.750% | Annual | Annual | 03/15/2033 | 6600 | (605) | (276) | (881) | $0 | 0 | $(35) |
| Receive<sup>(4)</sup> | Receive<sup>(4)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.500 | 1.500 | Annual | Annual | 03/15/2053 | 2900 | 499 | 139 | 638 | 30 | 30 | 0 |
|  |  |  |  |  |  |  |  |  |  | $ | (106) | (137) | (243) | 30 | 30 | (35) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **345** | **1868** | **2213** | **41** | **41** | **(35)** |
| <sup>(1)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(3)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(4)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(h)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 01/2023  | 01/2023  | 01/2023  | HUF | 1 | 1 | $0 | 0 | 0 | 0 | $0 | 0 |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | JPY | 1690000 | 1690000 | 11819 | 11819 | 0 | 0 | (1069) | (1069) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | CHF | 4884 | 4884 | 5157 | 5157 | 0 | 0 | (149) | (149) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | EUR | 593 | 593 | 629 | 629 | 0 | 0 | (7) | (7) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | GBP | 10270 | 10270 | 12133 | 12133 | 3 | 3 | (300) | (300) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | JPY | 1716800 | 1716800 | 11914 | 11914 | 0 | 0 | (1222) | (1222) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | NOK | 2218 | 2218 | 223 | 223 | 0 | 0 | (3) | (3) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | SEK | 23157 | 23157 | 2235 | 2235 | 11 | 11 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | $ | $295 | 295 | 274 | 274 | 3 | 3 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  |  | 560 | 560 | 524 | 524 | 3 | 3 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  |  | 23 | 23 | 413 | 413 | 1 | 1 | 0 | 0 |
|  |  |  |  | 03/2023  | 03/2023  | 03/2023  | 03/2023  | MXN | 6752 | 6752 | $340 | 340 | 0 | 0 | (2) | (2) |
|  |  |  |  | 07/2023  | 07/2023  | 07/2023  | 07/2023  | ILS | 1078 | 1078 | 312 | 312 | 1 | 1 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 01/2023  | 01/2023  | 01/2023  | 01/2023  | BRL | 2536 | 2536 | 467 | 467 | 0 | 0 | (14) | (14) |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | HUF | 667708 | 667708 | 1714 | 1714 | 0 | 0 | (76) | (76) |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | ILS | 2591 | 2591 | 756 | 756 | 18 | 18 | 0 | 0 |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | KRW | 865915 | 865915 | 659 | 659 | 0 | 0 | (29) | (29) |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | TRY | 6058 | 6058 | 321 | 321 | 0 | 0 | (1) | (1) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | EUR | 55143 | 55143 | 57180 | 57180 | 0 | 0 | (2018) | (2018) |
|  |  |  |  | 03/2023  | 03/2023  | 03/2023  | 03/2023  | INR | 67589 | 67589 | 816 | 816 | 3 | 3 | 0 | 0 |
|  |  |  |  | 03/2023  | 03/2023  | 03/2023  | 03/2023  | TWD | 18518 | 18518 | 615 | 615 | 8 | 8 | 0 | 0 |
|  |  |  |  | 03/2023  | 03/2023  | 03/2023  | 03/2023  | $ | $830 | 830 | 68909 | 68909 | 0 | 0 | (1) | (1) |
|  |  |  |  | 11/2023  | 11/2023  | 11/2023  | 11/2023  | ILS | 2592 | 2592 | $751 | 751 | 1 | 1 | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 01/2023  | 01/2023  | 01/2023  | 01/2023  | BRL | 1642 | 1642 | 314 | 314 | 3 | 3 | 0 | 0 |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | HUF | 271510 | 271510 | 708 | 708 | 0 | 0 | (20) | (20) |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | SGD | 1763 | 1763 | 1309 | 1309 | 0 | 0 | (7) | (7) |
|  |  |  |  | 01/2023  | 01/2023  | 01/2023  | 01/2023  | $ | $230 | 230 | 4340 | 4340 | 1 | 1 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | CHF | 2510 | 2510 | $2676 | 2676 | 0 | 0 | (51) | (51) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | GBP | 239 | 239 | 294 | 294 | 5 | 5 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 01/2023  | 01/2023  | 01/2023  | $ | $794 | 794 | 4178 | 4178 | 1 | 1 | (4) | (4) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | AUD | 9346 | 9346 | $6257 | 6257 | 0 | 0 | (118) | (118) |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | BRL | 2634 | 2634 | 500 | 500 | 4 | 4 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | CAD | 3010 | 3010 | 2271 | 2271 | 48 | 48 | 0 | 0 |
|  |  |  |  | 02/2023  | 02/2023  | 02/2023  | 02/2023  | CHF | 338 | 338 | 362 | 362 | 0 | 0 | (5) | (5) |

---

------

<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | 02/2023  | 02/2023  | ILS | ILS | 24766 | 24766 |  | 7207 | 7207 |  | 151 |  | 0 |
|  |  | 02/2023  | 02/2023  | $ | $ | 797 | 797 | AUD | 1190 | 1190 |  | 15 |  | 0 |
|  |  | 02/2023  | 02/2023  |  |  | 498 | 498 | BRL | 2687 | 2687 |  | 8 |  | 0 |
|  |  | 03/2023  | 03/2023  | IDR | IDR | 2827292 | 2827292 | $ | $181 | 181 |  | 0 |  | (2) |
|  |  | 03/2023  | 03/2023  | MXN | MXN | 3873 | 3873 |  | 193 | 193 |  | 0 |  | (3) |
|  |  | 03/2023  | 03/2023  | $ | $ | 20 | 20 | IDR | 308037 | 308037 |  | 0 |  | 0 |
|  |  | 05/2023  | 05/2023  | MXN | MXN | 15 | 15 | $ | $1 | 1 |  | 0 |  | 0 |
|  |  | 07/2023  | 07/2023  | ILS | ILS | 6177 | 6177 |  | 1793 | 1793 |  | 13 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 01/2023  | 01/2023  | HUF | HUF | 71264 | 71264 |  | 182 | 182 |  | 0 |  | (9) |
|  |  | 01/2023  | 01/2023  | JPY | JPY | 1670000 | 1670000 |  | 11261 | 11261 |  | 0 |  | (1506) |
|  |  | 02/2023  | 02/2023  |  |  | 2337244 | 2337244 |  | 16960 | 16960 |  | 0 |  | (948) |
|  |  | 02/2023  | 02/2023  | $ | $ | 861 | 861 | GBP | 726 | 726 |  | 17 |  | 0 |
|  |  | 02/2023  | 02/2023  |  |  | 40 | 40 | TWD | 1226 | 1226 |  | 0 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | 01/2023  | DKK | DKK | 20470 | 20470 | $ | $2862 | 2862 |  | 0 |  | (86) |
|  |  | 01/2023  | 01/2023  | $ | $ | 546 | 546 | KRW | 706054 | 706054 |  | 15 |  | 0 |
|  |  | 01/2023  | 01/2023  |  |  | 140 | 140 | TRY | 2838 | 2838 |  | 10 |  | 0 |
|  |  | 02/2023  | 02/2023  | AUD | AUD | 1070 | 1070 | $ | $726 | 726 |  | 2 |  | (5) |
|  |  | 02/2023  | 02/2023  | EUR | EUR | 4318 | 4318 |  | 4499 | 4499 |  | 0 |  | (137) |
|  |  | 02/2023  | 02/2023  | SEK | SEK | 5020 | 5020 |  | 486 | 486 |  | 3 |  | 0 |
|  |  | 02/2023  | 02/2023  | $ | $ | 1249 | 1249 | JPY | 172600 | 172600 |  | 74 |  | 0 |
|  |  | 02/2023  | 02/2023  |  |  | 74 | 74 | TWD | 2266 | 2266 |  | 0 |  | 0 |
|  |  | 02/2023  | 02/2023  | ZAR | ZAR | 3897 | 3897 | $ | $226 | 226 |  | 0 |  | (3) |
|  |  | 03/2023  | 03/2023  | $ | $ | 28 | 28 | IDR | 432067 | 432067 |  | 0 |  | 0 |
|  |  | 03/2023  | 03/2023  |  |  | 512 | 512 | TWD | 15373 | 15373 |  | 0 |  | (8) |
|  |  | 04/2023  | 04/2023  | ZAR | ZAR | 493 | 493 | $ | $28 | 28 |  | 0 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RBC | &nbsp;&nbsp;&nbsp;&nbsp; RBC | 01/2023  | 01/2023  | JPY | JPY | 1620000 | 1620000 |  | 11140 | 11140 |  | 0 |  | (1233) |
|  |  | 02/2023  | 02/2023  | NOK | NOK | 3382 | 3382 |  | 339 | 339 |  | 0 |  | (7) |
|  |  | 03/2023  | 03/2023  | $ | $ | 379 | 379 | MXN | 7575 | 7575 |  | 5 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  |  |  | 134 | 134 | KRW | 176684 | 176684 |  | 7 |  | 0 |
|  |  | 02/2023  | 02/2023  | CHF | CHF | 181 | 181 | $ | $195 | 195 |  | 0 |  | (1) |
|  |  | 02/2023  | 02/2023  | EUR | EUR | 2175 | 2175 |  | 2300 | 2300 |  | 0 |  | (35) |
|  |  | 02/2023  | 02/2023  | JPY | JPY | 78900 | 78900 |  | 582 | 582 |  | 0 |  | (23) |
|  |  | 02/2023  | 02/2023  | $ | $ | 314 | 314 | CHF | 295 | 295 |  | 6 |  | 0 |
|  |  | 02/2023  | 02/2023  |  |  | 919 | 919 | EUR | 887 | 887 |  | 33 |  | 0 |
|  |  | 02/2023  | 02/2023  |  |  | 201 | 201 | ZAR | 3483 | 3483 |  | 3 |  | 0 |
|  |  | 04/2023  | 04/2023  |  |  | 27 | 27 |  | 493 | 493 |  | 2 |  | 0 |
|  |  | 09/2023  | 09/2023  |  |  | 1 | 1 |  | 13 | 13 |  | 0 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | 01/2023  | 01/2023  | HKD | HKD | 21660 | 21660 | $ | $2782 | 2782 |  | 6 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 01/2023  | 01/2023  | TRY | TRY | 5644 | 5644 |  | 285 | 285 |  | 0 |  | (15) |
|  |  | 01/2023  | 01/2023  | $ | $ | 765 | 765 | HKD | 5948 | 5948 |  | 0 |  | (3) |
|  |  | 01/2023  | 01/2023  |  |  | 226 | 226 | TRY | 4633 | 4633 |  | 19 |  | 0 |
|  |  | 11/2023  | 11/2023  | ILS | ILS | 897 | 897 | $ | $259 | 259 |  | 0 |  | (1) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**503** | **503** | $**(9124)** | **(9124)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** | **TOTAL RETURN SWAPS ON EQUITY INDICES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | Pay/Receive<sup>(1)</sup> | Pay/Receive<sup>(1)</sup> | Underlying<br>Reference | # of Units | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Liability |
| &nbsp;&nbsp; BOA | Pay | Pay | S&P 500 Total Return Index  | 821 | &nbsp;&nbsp; 4.555% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.555% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 10/18/2023 | $6714 | 0 | $0 | 0 | $0 |
| &nbsp;&nbsp; BPS | Receive | Receive | RU20INTR Index  | 1788 | &nbsp;&nbsp; 4.110% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 4.110% (1-Month USD-LIBOR less a specified spread) | Monthly | Monthly | 01/18/2023 | 16534 | 0 | (63) | 0 | (63) |
|  | Receive | Receive | ERADXULT Index  | 44628 | &nbsp;&nbsp; 4.870% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.870% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 03/15/2023 | 90848 | 0 | (373) | 0 | (373) |
|  | Receive | Receive | RADMFENT Index  | 8122 | &nbsp;&nbsp; 4.890% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.890% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 07/19/2023 | 11002 | 0 | (46) | 0 | (46) |
|  | Receive | Receive | RADMFXNT Index  | 33805 | &nbsp;&nbsp; 4.400% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.400% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 07/19/2023 | 48994 | 0 | (185) | 0 | (185) |
|  | Receive | Receive | RADMFXNT Index  | 31228 | &nbsp;&nbsp; 4.410% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.410% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 09/13/2023 | 45255 | 0 | (168) | 0 | (168) |
|  | Pay | Pay | S&P 500 Total Return Index  | 22468 | &nbsp;&nbsp; 4.565% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.565% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 09/13/2023 | 183744 | 0 | 752 | 752 | 0 |
|  | Receive | Receive | RADMFENT Index  | 2892 | &nbsp;&nbsp; 4.770% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.770% (1-Month USD-LIBOR plus a specified spread) | Monthly | Monthly | 11/08/2023 | 3917 | 0 | (16) | 0 | (16) |

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<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; JPM | Receive | ERAUSST Index  | 6025 | &nbsp;&nbsp; 4.480% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 31595 | 0 | (133) | (133) | 0 | (133) |
|  | Receive | RADMFENT Index  | 34249 | &nbsp;&nbsp; 0.000% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 46392 | 0 | (187) | (187) | 0 | (187) |
|  | Receive | RU20INTR Index  | 2337 | &nbsp;&nbsp; 4.330% (1-Month USD-LIBOR plus a specified spread) | Monthly | 09/13/2023 | 21611 | 0 | (86) | (86) | 0 | (86) |
| &nbsp;&nbsp; MEI | Receive | ERAEMLT Index  | 16099 | &nbsp;&nbsp; 5.260% (1-Month USD-LIBOR plus a specified spread) | Monthly | 03/15/2023 | 56447 | 0 | (254) | (254) | 0 | (254) |
|  | Receive | NDDUEAFE Index  | 6219 | &nbsp;&nbsp; 4.300% (1-Month USD-LIBOR less a specified spread) | Monthly | 07/19/2023 | 40942 | 0 | (151) | (151) | 0 | (151) |
| &nbsp;&nbsp; MYI | Receive | RU20INTR Index  | 882 | &nbsp;&nbsp; 4.030% (1-Month USD-LIBOR less a specified spread) | Monthly | 01/18/2023 | 8156 | 0 | (30) | (30) | 0 | (30) |
|  | Receive | RU20INTR Index  | 148 | &nbsp;&nbsp; 4.230% (1-Month USD-LIBOR less a specified spread) | Monthly | 07/12/2023 | 1369 | 0 | 0 | 0 | 0 | 0 |
|  | Receive | NDDUEAFE Index  | 14220 | &nbsp;&nbsp; 4.300% (1-Month USD-LIBOR less a specified spread) | Monthly | 09/13/2023 | 93615 | 0 | (340) | (340) | 0 | (340) |
| &nbsp;&nbsp; UAG | Receive | ERAUSST Index  | 465 | &nbsp;&nbsp; 4.380% (1-Month USD-LIBOR plus a specified spread) | Monthly | 04/05/2023 | 2438 | 0 | 0 | 0 | 0 | 0 |
|  | Receive | ERAUSST Index  | 8679 | &nbsp;&nbsp; 4.430% (1-Month USD-LIBOR plus a specified spread) | Monthly | 07/19/2023 | 45513 | 0 | (189) | (189) | 0 | (189) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **0** | $**(1469)** | **(1469)** | $**752** | $**(2221)** |
| Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Fund's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | $7101 | $0 | 0 | $ | 7101 |  |
| Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 486 | 0 | 0 |  | 486 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| Illinois | Illinois | Illinois | Illinois | Illinois | 0 | 0 | 16 | 0 | 0 |  | 16 |  |
| Washington | Washington | Washington | Washington | Washington | 0 | 0 | 384 | 0 | 0 |  | 384 |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 | 895 | 0 | 0 |  | 895 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 | 12521 | 0 | 0 |  | 12521 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 71727 | 0 | 0 |  | 71727 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 113408 | 0 | 0 |  | 113408 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 3336 | 0 | 0 |  | 3336 |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | 0 | 0 | 84 | 0 | 0 |  | 84 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | Commercial Paper | 0 | 0 | 11576 | 0 | 0 |  | 11576 |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 383300 | 0 | 0 |  | 383300 |  |
| Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | Hungary Treasury Bills | 0 | 0 | 2721 | 0 | 0 |  | 2721 |  |
| Israel Treasury Bills | Israel Treasury Bills | Israel Treasury Bills | Israel Treasury Bills | Israel Treasury Bills | 0 | 0 | 7286 | 0 | 0 |  | 7286 |  |
| Japan Treasury Bills | Japan Treasury Bills | Japan Treasury Bills | Japan Treasury Bills | Japan Treasury Bills | 0 | 0 | 50600 | 0 | 0 |  | 50600 |  |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 | 14711 | 0 | 0 |  | 14711 |  |
|  |  |  |  |  | $0 | 0 | $680152 | $0 | 0 | $ | 680152 |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $19301 | 19301 | $0 | $0 | 0 | $ | 19301 |  |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $19301 | 19301 | $680152 | $0 | 0 | $ | 699453 |  |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 0 | 80 | 0 | 0 |  | 80 |  |
| Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | 0 | 0 | 1255 | 0 | 0 |  | 1255 |  |
|  |  |  |  |  | $0 | 0 | $1335 | $0 | 0 | $ | 1335 |  |

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------

<br> Schedule of Investments PIMCO All Authority: Multi-RAE PLUS Fund (Cont.) December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (105) | 0 | (105) |
| Over the counter | 0 | (11345) | 0 | (11345) |
|  | $0 | $(11450) | $0 | $(11450) |
| Total Financial Derivative Instruments | $0 | $(10115) | $0 | $(10115) |
| Totals | $19301 | $670037 | $0 | $689338 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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------

<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 95.6% ¤** |  |  |
| **ARGENTINA 0.5%**  |  |  |
| **SOVEREIGN ISSUES 0.5%**  |  |  |
| **Argentina Government International Bond**  |  |  |
| 0.500% due 07/09/2030 þ  | $6790 | $1854 |
| 1.000% due 07/09/2029  | 413 | 110 |
| **Autonomous City of Buenos Aires** <br>72.479% (BADLARPP + 3.250%) due 03/29/2024 ~ | 3770 | 12 |
| **Provincia de Buenos Aires** <br>72.913% due 04/12/2025 | 61009 | 168 |
| Total Argentina (Cost $7,369) |  | 2144 |
| **BRAZIL 4.8%**  |  |  |
| **CORPORATE BONDS & NOTES 3.9%**  |  |  |
| **Banco Bradesco SA** <br>2.850% due 01/27/2023 | $1400 | 1398 |
| **Banco BTG Pactual SA** <br>4.500% due 01/10/2025 | 1400 | 1351 |
| **Braskem Netherlands Finance BV** <br>4.500% due 01/10/2028 | 5000 | 4495 |
| **Brazil Minas SPE via State of Minas Gerais** <br>5.333% due 02/15/2028 | 6840 | 6686 |
| **Centrais Eletricas Brasileiras SA** <br>3.625% due 02/04/2025 | 400 | 381 |
| **Itau Unibanco Holding SA** <br>2.900% due 01/24/2023 | 1200 | 1199 |
| **Odebrecht Oil & Gas Finance Ltd.** <br>0.000% due 01/30/2023 (c)(e) | 3151 | 7 |
|  |  | 15517 |
| **SOVEREIGN ISSUES 0.9%**  |  |  |
| **Banco Nacional de Desenvolvimento Economico e Social** <br>4.750% due 05/09/2024 | 200 | 199 |
| **Brazil Government International Bond**  |  |  |
| 2.875% due 06/06/2025  | 500 | 473 |
| 4.250% due 01/07/2025  | 2300 | 2263 |
| 6.000% due 04/07/2026  | 200 | 207 |
| **Brazil Letras do Tesouro Nacional** <br>0.000% due 04/01/2023 (c) | 2500 | 459 |
|  |  | 3601 |
| Total Brazil (Cost $20,384) |  | 19118 |
| **CAYMAN ISLANDS 2.3%**  |  |  |
| **CORPORATE BONDS & NOTES 2.3%**  |  |  |
| **Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)** <br>7.350% due 12/01/2026 ^(a) | $8099 | 4475 |
| **QNB Finance Ltd.**  |  |  |
| 1.125% due 06/17/2024  | 2300 | 2164 |
| 3.500% due 03/28/2024  | 2800 | 2743 |
| Total Cayman Islands (Cost $10,835) |  | 9382 |
| **CHILE 3.6%**  |  |  |
| **CORPORATE BONDS & NOTES 0.7%**  |  |  |
| **Banco del Estado de Chile** <br>2.704% due 01/09/2025 | $800 | 757 |
| **Banco Santander Chile** <br>2.700% due 01/10/2025 | 700 | 665 |
| **Empresa de Transporte de Pasajeros Metro SA**  |  |  |
| 3.650% due 05/07/2030  | 500 | 455 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.700% due 05/07/2050  | 1000 | 840 |
|  |  | 2717 |
| **SOVEREIGN ISSUES 2.9%**  |  |  |
| **Chile Government International Bond**  |  |  |
| 1.625% due 01/30/2025  | 7000 | 7176 |
| 3.100% due 01/22/2061  | $500 | 313 |
| 4.340% due 03/07/2042  | 5000 | 4243 |
|  |  | 11732 |
| Total Chile (Cost $16,153) |  | 14449 |
| **COLOMBIA 1.5%**  |  |  |
| **CORPORATE BONDS & NOTES 0.1%**  |  |  |
| **Ecopetrol SA** <br>5.375% due 06/26/2026 | $560 | 529 |
| **SOVEREIGN ISSUES 1.4%**  |  |  |
| **Colombia Government International Bond**  |  |  |
| 2.625% due 03/15/2023  | 500 | 497 |
| 3.125% due 04/15/2031  | 200 | 149 |
| 8.125% due 05/21/2024  | 5000 | 5159 |
|  |  | 5805 |
| Total Colombia (Cost $6,443) |  | 6334 |
| **DOMINICAN REPUBLIC 1.2%**  |  |  |
| **SOVEREIGN ISSUES 1.2%**  |  |  |
| **Dominican Republic International Bond**  |  |  |
| 4.875% due 09/23/2032  | $2500 | 2085 |
| 5.500% due 01/27/2025  | 2000 | 1987 |
| 5.950% due 01/25/2027  | 200 | 196 |
| 6.875% due 01/29/2026  | 400 | 405 |
| Total Dominican Republic (Cost $5,382) |  | 4673 |
| **INDIA 0.8%**  |  |  |
| **CORPORATE BONDS & NOTES 0.8%**  |  |  |
| **Adani Electricity Mumbai Ltd.** <br>3.949% due 02/12/2030 | $2300 | 1762 |
| **Adani Renewable Energy RJ Ltd.** <br>4.625% due 10/15/2039 | 904 | 684 |
| **Adani Transmission Step-One Ltd.** <br>4.000% due 08/03/2026 | 1000 | 893 |
| Total India (Cost $4,259) |  | 3339 |
| **INDONESIA 5.3%**  |  |  |
| **CORPORATE BONDS & NOTES 2.7%**  |  |  |
| **Pelabuhan Indonesia Persero PT**  |  |  |
| 4.250% due 05/05/2025  | $2000 | 1933 |
| 4.500% due 05/02/2023  | 8000 | 7983 |
| **Perusahaan Penerbit SBSN Indonesia** <br>2.300% due 06/23/2025 | 1000 | 947 |
|  |  | 10863 |
| **SOVEREIGN ISSUES 2.6%**  |  |  |
| **Indonesia Government International Bond**  |  |  |
| 3.500% due 02/14/2050  | 2000 | 1505 |
| 4.750% due 07/18/2047  | 755 | 690 |
| 5.125% due 01/15/2045  | 1865 | 1814 |
| 5.250% due 01/17/2042  | 500 | 493 |
| 5.250% due 01/08/2047  | 1249 | 1221 |
| 5.950% due 01/08/2046  | 918 | 958 |
| 6.750% due 01/15/2044  | 2400 | 2698 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 7.750% due 01/17/2038  | 1025 | 1235 |
|  |  | 10614 |
| Total Indonesia (Cost $24,153) |  | 21477 |
| **ISRAEL 2.1%**  |  |  |
| **SOVEREIGN ISSUES 2.1%**  |  |  |
| **Israel Government International Bond**  |  |  |
| 3.375% due 01/15/2050  | $5400 | 4172 |
| 3.875% due 07/03/2050  | 5000 | 4226 |
| Total Israel (Cost $11,762) |  | 8398 |
| **IVORY COAST 1.0%**  |  |  |
| **SOVEREIGN ISSUES 1.0%**  |  |  |
| **Ivory Coast Government International Bond**  |  |  |
| 5.250% due 03/22/2030  | 2300 | 2087 |
| 5.875% due 10/17/2031  | 2000 | 1801 |
| Total Ivory Coast (Cost $4,707) |  | 3888 |
| **MALAYSIA 0.8%**  |  |  |
| **CORPORATE BONDS & NOTES 0.8%**  |  |  |
| **Petronas Capital Ltd.**  |  |  |
| 3.500% due 04/21/2030  | $2300 | 2104 |
| 4.550% due 04/21/2050  | 500 | 448 |
| 4.800% due 04/21/2060  | 200 | 184 |
| **Petronas Energy Canada Ltd.** <br>2.112% due 03/23/2028 | 500 | 438 |
| Total Malaysia (Cost $3,579) |  | 3174 |
| **MAURITIUS 1.2%**  |  |  |
| **CORPORATE BONDS & NOTES 1.2%**  |  |  |
| **Greenko Solar Mauritius Ltd.**  |  |  |
| 5.550% due 01/29/2025  | $3000 | 2831 |
| 5.950% due 07/29/2026  | 2000 | 1833 |
| Total Mauritius (Cost $5,080) |  | 4664 |
| **MEXICO 3.4%**  |  |  |
| **CORPORATE BONDS & NOTES 1.1%**  |  |  |
| **Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa** <br>4.125% due 06/06/2024 | $2000 | 1958 |
| **Coca-Cola Femsa SAB de CV** <br>1.850% due 09/01/2032 | 2000 | 1509 |
| **Petroleos Mexicanos**  |  |  |
| 6.700% due 02/16/2032  | 498 | 392 |
| 7.690% due 01/23/2050  | 500 | 347 |
|  |  | 4206 |
| **SOVEREIGN ISSUES 2.3%**  |  |  |
| **Mexico Government International Bond**  |  |  |
| 1.350% due 09/18/2027  | 300 | 290 |
| 4.750% due 04/27/2032  | $3000 | 2817 |
| 5.000% due 04/27/2051  | 7300 | 5950 |
|  |  | 9057 |
| Total Mexico (Cost $16,291) |  | 13263 |
| **OMAN 0.2%**  |  |  |
| **SOVEREIGN ISSUES 0.2%**  |  |  |
| **Oman Government International Bond** <br>4.125% due 01/17/2023 | $900 | 899 |
| Total Oman (Cost $900) |  | 899 |
| **PARAGUAY 0.2%**  |  |  |
| **SOVEREIGN ISSUES 0.2%**  |  |  |
| **Paraguay Government International Bond** <br>4.950% due 04/28/2031 | $1000 | 970 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Paraguay (Cost $1,145) |  | 970 |
| **PERU 6.3%**  |  |  |
| **SOVEREIGN ISSUES 6.3%**  |  |  |
| **Peru Government International Bond**  |  |  |
| 2.392% due 01/23/2026  | $1000 | 923 |
| 2.783% due 01/23/2031  | 1000 | 830 |
| 5.350% due 08/12/2040  | 8000 | 1577 |
| 5.400% due 08/12/2034  | 13300 | 2813 |
| 5.625% due 11/18/2050  | $2680 | 2660 |
| 5.940% due 02/12/2029  | 63800 | 15426 |
| 6.350% due 08/12/2028  | 3500 | 877 |
| Total Peru (Cost $33,271) |  | 25106 |
| **QATAR 5.1%**  |  |  |
| **SOVEREIGN ISSUES 5.1%**  |  |  |
| **Qatar Government International Bond**  |  |  |
| 3.375% due 03/14/2024  | $2400 | 2354 |
| 3.400% due 04/16/2025  | 3200 | 3112 |
| 3.750% due 04/16/2030  | 4800 | 4659 |
| 4.000% due 03/14/2029  | 3200 | 3151 |
| 4.400% due 04/16/2050  | 2000 | 1836 |
| 4.500% due 04/23/2028  | 2000 | 2016 |
| 4.817% due 03/14/2049  | 1200 | 1170 |
| 5.103% due 04/23/2048  | 2000 | 2015 |
| Total Qatar (Cost $21,383) |  | 20313 |
| **SAUDI ARABIA 0.3%**  |  |  |
| **SOVEREIGN ISSUES 0.3%**  |  |  |
| **Saudi Government International Bond**  |  |  |
| 3.250% due 10/26/2026  | $400 | 383 |
| 4.000% due 04/17/2025  | 1000 | 988 |
| Total Saudi Arabia (Cost $1,489) |  | 1371 |
| **SERBIA 3.6%**  |  |  |
| **SOVEREIGN ISSUES 3.6%**  |  |  |
| **Serbia Government International Bond**  |  |  |
| 1.000% due 09/23/2028  | 3000 | 2316 |
| 1.500% due 06/26/2029  | 5400 | 4154 |
| 1.650% due 03/03/2033  | 150 | 98 |
| 2.050% due 09/23/2036  | 2500 | 1517 |
| 3.125% due 05/15/2027  | 6900 | 6373 |
| Total Serbia (Cost $21,357) |  | 14458 |
| **SOUTH AFRICA 12.6%**  |  |  |
| **SOVEREIGN ISSUES 12.6%**  |  |  |
| **South Africa Government International Bond**  |  |  |
| 4.875% due 04/14/2026  | $200 | 194 |
| 5.750% due 09/30/2049  | 400 | 296 |
| 10.500% due 12/21/2026  | 806000 | 50149 |
| Total South Africa (Cost $56,415) |  | 50639 |
| **UNITED ARAB EMIRATES 2.4%**  |  |  |
| **SOVEREIGN ISSUES 2.4%**  |  |  |
| **Emirate of Abu Dhabi Government International Bond**  |  |  |
| 1.700% due 03/02/2031  | $2100 | 1737 |
| 2.700% due 09/02/2070  | 4500 | 2816 |
| 3.125% due 04/16/2030  | 4900 | 4558 |
| 3.875% due 04/16/2050  | 793 | 675 |
| Total United Arab Emirates (Cost $12,664) |  | 9786 |
| **UNITED STATES 2.8%**  |  |  |
| **ASSET-BACKED SECURITIES 0.0%**  |  |  |
| **GSAA Home Equity Trust** <br>4.989% due 03/25/2037 •  | $187 | 78 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Morgan** **Stanley Mortgage Loan Trust** <br>5.109% due 04/25/2037 •  | 211 | 63 |
|  |  | 141 |
| **CORPORATE BONDS & NOTES 2.7%**  |  |  |
| **DAE Funding LLC** <br>1.625% due 02/15/2024 | 3000 | 2849 |
| **Rio Oil Finance Trust**  |  |  |
| 8.200% due 04/06/2028  | 511 | 518 |
| 9.250% due 07/06/2024  | 3308 | 3358 |
| 9.750% due 01/06/2027  | 3927 | 4085 |
|  |  | 10810 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.1%**  |  |  |
| **Banc of America Mortgage Trust** <br>2.843% due 02/25/2036 ^~ | 4 | 4 |
| **Chase Mortgage Finance Trust** <br>3.393% due 03/25/2037 ^~ | 14 | 13 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 2.358% due 03/25/2034 ~  | 2 | 2 |
| 3.693% due 07/25/2046 ^~  | 9 | 8 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 2.964% due 10/20/2035 ~  | 2 | 2 |
| 3.632% due 09/25/2047 ^~  | 6 | 5 |
| **HarborView Mortgage Loan Trust** <br>3.321% due 08/19/2036 ^~ | 1 | 1 |
| **Luminent Mortgage Trust** <br>4.749% due 12/25/2036 ^~ | 7 | 6 |
| **MASTR Adjustable Rate Mortgages Trust** <br>4.869% due 05/25/2037 ~ | 90 | 40 |
| **Merrill Lynch Alternative Note Asset Trust**  |  |  |
| 3.173% due 06/25/2037 ^~  | 90 | 53 |
| 4.989% due 03/25/2037 •  | 224 | 65 |
| **Merrill Lynch Mortgage-Backed Securities Trust** <br>2.861% due 04/25/2037 ^~ | 20 | 17 |
| **Morgan Stanley Mortgage Loan Trust** <br>4.386% due 06/25/2036 ~ | 3 | 3 |
| **Sequoia Mortgage Trust** <br>2.976% due 01/20/2047 ^~ | 7 | 5 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.710% due 01/25/2037 ^~  | 18 | 16 |
| 2.766% due 04/25/2037 ^~  | 12 | 10 |
| 3.347% due 05/25/2037 ^~  | 23 | 18 |
| 3.372% due 12/25/2036 ^~  | 35 | 31 |
| 3.510% due 12/25/2036 ^~  | 11 | 9 |
| 3.738% due 09/25/2036 ^~  | 16 | 15 |
|  |  | 323 |
| Total United States (Cost $11,869) |  | 11274 |
| **SHORT-TERM INSTRUMENTS 33.6%**  |  |  |
| **REPURCHASE AGREEMENTS (f) 27.3%** |  | 109389 |
| **SHORT-TERM NOTES 3.1%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.320% due 01/06/2023 •  | $4200 | 4200 |
| 4.340% due 02/10/2023 •  | 4100 | 4100 |
| 4.345% due 02/23/2023 •  | 4000 | 4000 |
|  |  | 12300 |
| **ISRAEL TREASURY BILLS 1.1%**  |  |  |
| 0.889% due 05/03/2023 (c)(d) | 14970 | 4209 |
| **U.S. TREASURY BILLS 2.1%**  |  |  |
| 4.208% due 02/16/2023 - 03/23/2023 (b)(c)(i) | $8585 | 8542 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Short-Term Instruments (Cost $134,436) |  | 134440 |
| Total Investments in Securities (Cost $431,326) |  | 383559 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 3.2%**  |  |  |
| **SHORT-TERM INSTRUMENTS 3.2%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 3.2%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 1310719 | 12735 |
| Total Short-Term Instruments (Cost $12,837) |  | 12735 |
| Total Investments in Affiliates (Cost $12,837) |  | 12735 |
| Total Investments 98.8% (Cost $444,163) |  | $396294 |
| **Financial Derivative Instruments (g)(h) (0.5)**%(Cost or Premiums, net $(3899)) |  | (1920) |
| Other Assets and Liabilities, net 1.7% |  | 6829 |
| Net Assets 100.0% |  | $401203 |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(b)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(c)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(d)** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** |
| **(e)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(f)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BSN | BSN | 4.250%  | 01/03/2023 | $86200 | &nbsp;&nbsp; U.S. Treasury Notes 2.375% due 03/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.375% due 03/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.375% due 03/31/2029 | (87887) | $86200 | 86200 | 86241 |
| FICC | FICC | 1.900  | 01/03/2023 | 1032 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | (1053) | 1032 | 1032 | 1032 |
| TOR | TOR | 4.080  | 01/04/2023 | 30000 | &nbsp;&nbsp; Province of Ontario 3.450% due 06/02/2045 | &nbsp;&nbsp; Province of Ontario 3.450% due 06/02/2045 | &nbsp;&nbsp; Province of Ontario 3.450% due 06/02/2045 | (10977) | 22157 | 22157 | 22189 |
|  |  |  |  |  | &nbsp;&nbsp; Province of Ontario Canada 2.150% due 06/02/2031 | &nbsp;&nbsp; Province of Ontario Canada 2.150% due 06/02/2031 | &nbsp;&nbsp; Province of Ontario Canada 2.150% due 06/02/2031 | (11094) |  |  |  |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  | **(111011)** | $**109389** | **109389** | **109462** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **(g)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Fixed Rate | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Asset | Asset | Liability |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.665% | 01/02/2024 | 81600 | 0 | (550) | (550) | 0 | 0 | $0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.755 | 01/02/2024 | 312600 | 0 | (2018) | (2018) | 0 | 0 | (1) |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.833 | 01/02/2024 | 62700 | 0 | (390) | (390) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.995 | 01/02/2024 | 178800 | 0 | (1012) | (1012) | 0 | 0 | (1) |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.065 | 01/02/2024 | 120000 | 0 | (642) | (642) | 0 | 0 | (1) |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.113 | 01/02/2024 | 3900 | 0 | (20) | (20) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.838 | 01/02/2025 | 30900 | 0 | (222) | (222) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.023 | 01/02/2025 | 82800 | 0 | (529) | (529) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.092 | 01/02/2025 | 93300 | 0 | (569) | (569) | 1 | 1 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 11.212 | 01/02/2025 | 90800 | 0 | (509) | (509) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.235 | 01/02/2025 | 290000 | 0 | (588) | (588) | 1 | 1 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.400 | 01/02/2025 | 40000 | 0 | (58) | (58) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.628 | 01/02/2025 | 85000 | 0 | (51) | (51) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.120 | 01/04/2027 | 32100 | 0 | (437) | (437) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 10.206 | 01/04/2027 | 132400 | 0 | (1732) | (1732) | 1 | 1 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.165 | 01/04/2027 | 30000 | 0 | (69) | (69) | 0 | 0 | 0 |
| Pay | 1-Year BRL-CDI | 1-Year BRL-CDI | 12.316 | 01/04/2027 | 101000 | 0 | (153) | (153) | 1 | 1 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **$** | **$** | **4** | **$** | **(3)** |
| **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $10,011 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| **(h)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** | **FORWARD** **FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered |  | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 01/2023  | PEN | 5863 | 5863 | $ | 1524 | 1524 | 1524 | $0 | 0 | 0 | $(17) | (17) |
|  | 01/2023  | 01/2023  | ZAR | 62248 | 62248 |  | 3503 | 3503 | 3503 | 0 | 0 | 0 | (159) | (159) |
|  | 02/2023  | 02/2023  | PEN | 11187 | 11187 |  | 2849 | 2849 | 2849 | 0 | 0 | 0 | (87) | (87) |
|  | 02/2023  | 02/2023  | $ | $1524 | 1524 | PEN | 5880 | 5880 | 5880 | 17 | 17 | 17 | 0 | 0 |
|  | 02/2023  | 02/2023  | ZAR | 97889 | 97889 | $ | 5461 | 5461 | 5461 | 0 | 0 | 0 | (278) | (278) |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | 01/2023  | 01/2023  | PEN | 2319 | 2319 |  | 600 | 600 | 600 | 0 | 0 | 0 | (11) | (11) |
|  | 01/2023  | 01/2023  | $ | $2434 | 2434 | ZAR | 42315 | 42315 | 42315 | 55 | 55 | 55 | 0 | 0 |
|  | 03/2023  | 03/2023  | INR | 19531 | 19531 | $ | 235 | 235 | 235 | 0 | 0 | 0 | 0 | 0 |
|  | 03/2023  | 03/2023  | $ | $600 | 600 | PEN | 2331 | 2331 | 2331 | 10 | 10 | 10 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | 01/2023  | 01/2023  | CNH | 530 | 530 | $ | 76 | 76 | 76 | 0 | 0 | 0 | (1) | (1) |
|  | 01/2023  | 01/2023  | $ | $333 | 333 | PEN | 1282 | 1282 | 1282 | 4 | 4 | 4 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 01/2023  | CLP | 36673514 | 36673514 | $ | 38596 | 38596 | 38596 | 0 | 0 | 0 | (4603) | (4603) |
|  | 01/2023  | 01/2023  | PEN | 11244 | 11244 |  | 2799 | 2799 | 2799 | 0 | 0 | 0 | (156) | (156) |
|  | 01/2023  | 01/2023  | $ | $2541 | 2541 | PEN | 10030 | 10030 | 10030 | 95 | 95 | 95 | 0 | 0 |
|  | 01/2023  | 01/2023  | ZAR | 208860 | 208860 | $ | 11921 | 11921 | 11921 | 0 | 0 | 0 | (349) | (349) |
|  | 02/2023  | 02/2023  | $ | $44591 | 44591 | BRL | 240655 | 240655 | 240655 | 741 | 741 | 741 | 0 | 0 |
|  | 03/2023  | 03/2023  | PEN | 82428 | 82428 | $ | 21082 | 21082 | 21082 | 0 | 0 | 0 | (486) | (486) |
|  | 03/2023  | 03/2023  | $ | $2665 | 2665 | PEN | 10715 | 10715 | 10715 | 141 | 141 | 141 | 0 | 0 |
|  | 04/2023  | 04/2023  | PEN | 47783 | 47783 | $ | 11902 | 11902 | 11902 | 0 | 0 | 0 | (571) | (571) |
|  | 04/2023  | 04/2023  | $ | $1101 | 1101 | CLP | 959066 | 959066 | 959066 | 12 | 12 | 12 | 0 | 0 |
|  | 04/2023  | 04/2023  |  | 10822 | 10822 | PEN | 43287 | 43287 | 43287 | 480 | 480 | 480 | 0 | 0 |
|  | 05/2023  | 05/2023  | ILS | 14843 | 14843 | $ | 4384 | 4384 | 4384 | 131 | 131 | 131 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CLY | 03/2023  | 03/2023  | $ | $536 | 536 | PEN | 2063 | 2063 | 2063 | 4 | 4 | 4 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; DUB | 02/2023  | 02/2023  | ZAR | 100531 | 100531 | $ | 6020 | 6020 | 6020 | 123 | 123 | 123 | 0 | 0 |
|  | 03/2023  | 03/2023  | MXN | 38943 | 38943 |  | 1952 | 1952 | 1952 | 0 | 0 | 0 | (19) | (19) |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | 01/2023  | 01/2023  | CAD | 30047 | 30047 |  | 22074 | 22074 | 22074 | 0 | 0 | 0 | (118) | (118) |
|  | 01/2023  | 01/2023  | CNH | 550 | 550 |  | 79 | 79 | 79 | 0 | 0 | 0 | (1) | (1) |
|  | 01/2023  | 01/2023  | ZAR | 100001 | 100001 |  | 5594 | 5594 | 5594 | 0 | 0 | 0 | (283) | (283) |
|  | 03/2023  | 03/2023  | MXN | 123286 | 123286 |  | 5997 | 5997 | 5997 | 0 | 0 | 0 | (242) | (242) |
|  | 05/2023  | 05/2023  | PEN | 52650 | 52650 |  | 13010 | 13010 | 13010 | 0 | 0 | 0 | (715) | (715) |
|  | 05/2023  | 05/2023  | $ | $543 | 543 | PEN | 2162 | 2162 | 2162 | 20 | 20 | 20 | 0 | 0 |
|  | 05/2023  | 05/2023  | ZAR | 176687 | 176687 | $ | 10573 | 10573 | 10573 | 285 | 285 | 285 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | 03/2023  | 03/2023  | MXN | 38943 | 38943 |  | 1951 | 1951 | 1951 | 0 | 0 | 0 | (20) | (20) |
|  | 04/2023  | 04/2023  | BRL | 2500 | 2500 |  | 455 | 455 | 455 | 0 | 0 | 0 | (10) | (10) |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 01/2023  | CLP | 35727658 | 35727658 |  | 37053 | 37053 | 37053 | 0 | 0 | 0 | (4985) | (4985) |
|  | 01/2023  | 01/2023  | EUR | 24940 | 24940 |  | 26139 | 26139 | 26139 | 0 | 0 | 0 | (570) | (570) |
|  | 01/2023  | 01/2023  | PEN | 4612 | 4612 |  | 1205 | 1205 | 1205 | 0 | 0 | 0 | (7) | (7) |
|  | 01/2023  | 01/2023  | $ | $37136 | 37136 | CLP | 35727658 | 35727658 | 35727658 | 4951 | 4951 | 4951 | 0 | 0 |
|  | 02/2023  | 02/2023  |  | 1204 | 1204 | PEN | 4612 | 4612 | 4612 | 7 | 7 | 7 | 0 | 0 |
|  | 05/2023  | 05/2023  | CNH | 156658 | 156658 | $ | 23343 | 23343 | 23343 | 489 | 489 | 489 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | 01/2023  | PEN | 5912 | 5912 |  | 1545 | 1545 | 1545 | 0 | 0 | 0 | (9) | (9) |
|  | 02/2023  | 02/2023  | $ | $1543 | 1543 | PEN | 5912 | 5912 | 5912 | 9 | 9 | 9 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RBC | 01/2023  | 01/2023  |  | 119 | 119 | ZAR | 2059 | 2059 | 2059 | 2 | 2 | 2 | 0 | 0 |
|  | 03/2023  | 03/2023  | MXN | 925 | 925 | $ | 46 | 46 | 46 | 0 | 0 | 0 | (1) | (1) |
|  | 04/2023  | 04/2023  | $ | $10534 | 10534 | MXN | 218364 | 218364 | 218364 | 454 | 454 | 454 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  |  | 36843 | 36843 | CLP | 36664488 | 36664488 | 36664488 | 6297 | 6297 | 6297 | 0 | 0 |
|  | 01/2023  | 01/2023  |  | 107 | 107 | KRW | 141225 | 141225 | 141225 | 5 | 5 | 5 | 0 | 0 |
|  | 01/2023  | 01/2023  |  | 5061 | 5061 | PEN | 19448 | 19448 | 19448 | 53 | 53 | 53 | 0 | 0 |
|  | 03/2023  | 03/2023  |  | 260 | 260 |  | 1002 | 1002 | 1002 | 2 | 2 | 2 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | 01/2023  | 01/2023  | ZAR | 29554 | 29554 | $ | 1666 | 1666 | 1666 | 0 | 0 | 0 | (73) | (73) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | 03/2023  | 03/2023  |  | 117400 | 117400 |  | 6568 | 6568 | 6568 | 0 | 0 | 0 | (293) | (293) |
|  | 05/2023  | 05/2023  | $ | $21822 | 21822 | CNH | 151224 | 151224 | 151224 | 241 | 241 | 241 | 0 | 0 |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **14628** | **14628** | **$** | **(14064)** | **(14064)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON SOVEREIGN ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> |  | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Liability |
| Chile Government International Bond  | Chile Government International Bond  | 1.000% | 1.000% | Quarterly | 0.684% | 0.684% | 0.684% | $6000 | $ | 142 | $(87) | $ | 55 | $0 |
| South Africa Government International Bond  | South Africa Government International Bond  | 1.000 | 1.000 | Quarterly | 2.103 | 2.103 | 2.103 | 400 |  | (18) | 3 |  | 0 | (15) |
| Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | 2.538 | 2.538 | 2.538 | 3800 |  | (182) | (44) |  | 0 | (226) |
| Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | 2.715 | 2.715 | 2.715 | 700 |  | (62) | 11 |  | 0 | (51) |
| Chile Government International Bond  | Chile Government International Bond  | 1.000 | 1.000 | Quarterly | 0.496 | 0.496 | 0.496 | 5000 |  | 16 | 22 |  | 38 | 0 |
| Chile Government International Bond  | Chile Government International Bond  | 1.000 | 1.000 | Quarterly | 0.684 | 0.684 | 0.684 | 5700 |  | 136 | (83) |  | 53 | 0 |
| Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | 2.315 | 2.315 | 2.315 | 2110 |  | (100) | 3 |  | 0 | (97) |
| Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | 2.315 | 2.315 | 2.315 | 2300 |  | (116) | 10 |  | 0 | (106) |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 |  | 2100 | (76) | (49) | 0 | (125) |
| GST | GST | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 |  | 7500 | (294) | (152) | 0 | (446) |
|  |  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2027 | 2.715 |  | 3500 | (312) | 58 | 0 | (254) |
| JPM | JPM | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 |  | 5300 | (414) | 99 | 0 | (315) |
|  |  | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.850 |  | 24400 | (1356) | 1400 | 44 | 0 |
| MYC | MYC | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 |  | 3900 | (140) | (92) | 0 | (232) |
|  |  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2027 | 2.715 |  | 4500 | (401) | 75 | 0 | (326) |
|  |  | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 2.103 |  | 12700 | (561) | 70 | 0 | (491) |
| NGF | NGF | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.850 |  | 5000 | (161) | 170 | 9 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(3899)** | $**1414** | $**199** | $**(2684)** |
| **(i)** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $8,542 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina | Argentina |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | $0 | 0 | $2144 | 2144 | $0 | 0 | 2144 |  |
| Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil | Brazil |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 15517 | 15517 | 0 | 0 | 15517 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 3601 | 3601 | 0 | 0 | 3601 |  |
| Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands | Cayman Islands |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 9382 | 9382 | 0 | 0 | 9382 |  |
| Chile | Chile | Chile | Chile | Chile | Chile | Chile | Chile | Chile | Chile | Chile | Chile |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 2717 | 2717 | 0 | 0 | 2717 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 11732 | 11732 | 0 | 0 | 11732 |  |
| Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia | Colombia |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 529 | 529 | 0 | 0 | 529 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 5805 | 5805 | 0 | 0 | 5805 |  |
| Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic | Dominican Republic |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 4673 | 4673 | 0 | 0 | 4673 |  |
| India | India | India | India | India | India | India | India | India | India | India | India |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 3339 | 3339 | 0 | 0 | 3339 |  |
| Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia | Indonesia |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 10863 | 10863 | 0 | 0 | 10863 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 10614 | 10614 | 0 | 0 | 10614 |  |
| Israel | Israel | Israel | Israel | Israel | Israel | Israel | Israel | Israel | Israel | Israel | Israel |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 8398 | 8398 | 0 | 0 | 8398 |  |
| Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast | Ivory Coast |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 3888 | 3888 | 0 | 0 | 3888 |  |
| Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia | Malaysia |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 3174 | 3174 | 0 | 0 | 3174 |  |
| Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius | Mauritius |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 4664 | 4664 | 0 | 0 | 4664 |  |
| Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico | Mexico |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | 0 | 0 | 4206 | 4206 | 0 | 0 | 4206 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 9057 | 9057 | 0 | 0 | 9057 |  |
| Oman | Oman | Oman | Oman | Oman | Oman | Oman | Oman | Oman | Oman | Oman | Oman |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 899 | 899 | 0 | 0 | 899 |  |
| Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay | Paraguay |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 970 | 970 | 0 | 0 | 970 |  |
| Peru | Peru | Peru | Peru | Peru | Peru | Peru | Peru | Peru | Peru | Peru | Peru |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 25106 | 25106 | 0 | 0 | 25106 |  |
| Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar | Qatar |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 20313 | 20313 | 0 | 0 | 20313 |  |

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<br> Schedule of Investments PIMCO EM Bond and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| Saudi Arabia | Saudi Arabia | Saudi Arabia | Saudi Arabia | Saudi Arabia |
| Sovereign Issues | 0 | 1371 | 0 | 1371 |
| Serbia | Serbia | Serbia | Serbia | Serbia |
| Sovereign Issues | 0 | 14458 | 0 | 14458 |
| South Africa | South Africa | South Africa | South Africa | South Africa |
| Sovereign Issues | 0 | 50639 | 0 | 50639 |
| United Arab Emirates | United Arab Emirates | United Arab Emirates | United Arab Emirates | United Arab Emirates |
| Sovereign Issues | 0 | 9786 | 0 | 9786 |
| United States | United States | United States | United States | United States |
| Asset-Backed Securities | 0 | 141 | 0 | 141 |
| Corporate Bonds & Notes | 0 | 10810 | 0 | 10810 |
| Non-Agency Mortgage-Backed Securities | 0 | 323 | 0 | 323 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | 0 | 109389 | 0 | 109389 |
| Short-Term Notes | 0 | 12300 | 0 | 12300 |
| Israel Treasury Bills | 0 | 4209 | 0 | 4209 |
| U.S. Treasury Bills | 0 | 8542 | 0 | 8542 |
|  | $0 | $383559 | $0 | $383559 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | $12735 | $0 | $0 | $12735 |
| Total Investments | $12735 | $383559 | $0 | $396294 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 0 | 4 | 0 | 4 |
| Over the counter | 0 | 14827 | 0 | 14827 |
|  | $0 | $14831 | $0 | $14831 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (3) | 0 | (3) |
| Over the counter | 0 | (16748) | 0 | (16748) |
|  | $0 | $(16751) | $0 | $(16751) |
| Total Financial Derivative Instruments | $0 | $(1920) | $0 | $(1920) |
| Totals | $12735 | $381639 | $0 | $394374 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 90.3% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 9.7%**  |  |  |
| **Adient U.S. LLC**<br>7.634% (LIBOR01M + 3.250%) due 04/10/2028 ~ | $588 | $583 |
| **AmSurg LLC**<br>TBD% due 04/29/2027 µ | 262 | 256 |
| **Cerba Healthcare SAS**<br>5.898% (EUR001M + 4.000%) due 02/15/2029 ~ | 2200 | 2231 |
| **CQP Holdco LP**<br>8.480% (LIBOR03M + 3.750%) due 06/05/2028 ~ | $6782 | 6761 |
| **Envision Healthcare Corp.**  |  |  |
| 12.119% due 04/29/2027 | 1438 | 1408 |
| 15.744% due 04/28/2028 | 2725 | 2230 |
| **Intelsat Jackson Holdings SA**<br>7.445% due 02/01/2029 | 494 | 478 |
| **Medline Borrower LP**<br>7.634% (LIBOR01M + 3.250%) due 10/23/2028 ~ | 595 | 566 |
| **MPH Acquisition Holdings LLC**<br>8.985% (LIBOR03M + 4.250%) due 09/01/2028 ~ | 1530 | 1313 |
| **Redstone Holdco 2 LP**<br>9.108% (LIBOR03M + 4.750%) due 04/27/2028 ~ | 1781 | 1241 |
| **RegionalCare Hospital Partners Holdings, Inc.**<br>8.165% (LIBOR03M + 3.750%) due 11/16/2025 ~ | 1182 | 1117 |
| **Viad Corp.**<br>9.384% (LIBOR01M + 5.000%) due 07/30/2028 ~ | 1786 | 1694 |
| Total Loan Participations and Assignments (Cost $23,752) |  | 19878 |
| **CORPORATE BONDS & NOTES 71.6%**  |  |  |
| **BANKING & FINANCE 18.9%**  |  |  |
| **Armor Holdco, Inc.** <br>8.500% due 11/15/2029 | 1000 | 752 |
| **Banca Monte dei Paschi di Siena SpA**  |  |  |
| 3.625% due 09/24/2024  | 200 | 204 |
| 8.500% due 09/10/2030 •  | 13400 | 12653 |
| **Brookfield Property REIT, Inc.** <br>4.500% due 04/01/2027 | $2500 | 2093 |
| **Country Garden Holdings Co. Ltd.**  |  |  |
| 3.125% due 10/22/2025  | 600 | 368 |
| 3.875% due 10/22/2030  | 400 | 213 |
| **Credit Suisse Group AG** <br>6.537% due 08/12/2033 •  | 500 | 440 |
| **Curo Group Holdings Corp.** <br>7.500% due 08/01/2028 | 1500 | 702 |
| **Cushman & Wakefield U.S. Borrower LLC** <br>6.750% due 05/15/2028 | 925 | 884 |
| **Doric Nimrod Air Alpha Pass-Through Trust** <br>5.250% due 05/30/2025 | 13 | 13 |
| **Enact Holdings, Inc.** <br>6.500% due 08/15/2025 | 550 | 541 |
| **Fortress Transportation & Infrastructure Investors LLC**  |  |  |
| 5.500% due 05/01/2028  | 1150 | 983 |
| 6.500% due 10/01/2025  | 344 | 324 |
| **Freedom Mortgage Corp.**  |  |  |
| 6.625% due 01/15/2027  | 4500 | 3508 |
| 8.250% due 04/15/2025  | 1644 | 1481 |
| **Huarong Finance Co. Ltd.** <br>4.950% due 11/07/2047 | 400 | 275 |
| **Jane Street Group** <br>4.500% due 11/15/2029 | 1850 | 1594 |
| **KWG Group Holdings Ltd.** <br>5.875% due 11/10/2024 | 1000 | 436 |
| **Nationstar Mortgage Holdings, Inc.**  |  |  |
| 5.125% due 12/15/2030  | 400 | 309 |
| 5.500% due 08/15/2028  | 1975 | 1614 |
| **Navient Corp.** <br>5.625% due 08/01/2033 | 2300 | 1643 |
| **Park Intermediate Holdings LLC** <br>7.500% due 06/01/2025 | 2125 | 2127 |
| **PennyMac Financial Services, Inc.** <br>5.750% due 09/15/2031 | 500 | 397 |
| **Powerlong Real Estate Holdings Ltd.** <br>5.950% due 04/30/2025 | 1000 | 296 |

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **Provident** **Funding Associates LP** <br>6.375% due 06/15/2025 | 2653 | 2321 |
| **Starwood Property Trust, Inc.**  |  |  |
| 3.625% due 07/15/2026  | 400 | 350 |
| 4.375% due 01/15/2027  | 800 | 701 |
| **Sunac China Holdings Ltd.**  |  |  |
| 5.950% due 04/26/2024 ^(b)  | 1500 | 328 |
| 7.000% due 07/09/2025 ^(b)  | 4700 | 1027 |
| **Voyager Aviation Holdings LLC** <br>8.500% due 05/09/2026 | 293 | 233 |
|  |  | 38810 |
| **INDUSTRIALS 49.8%**  |  |  |
| **ADT Security Corp.** <br>4.125% due 08/01/2029 | 500 | 426 |
| **Allison Transmission, Inc.** <br>3.750% due 01/30/2031 | 900 | 741 |
| **Altice France SA** <br>5.500% due 10/15/2029 | 2700 | 2064 |
| **American Airlines Pass-Through Trust** <br>3.375% due 11/01/2028 | 63 | 52 |
| **American Airlines, Inc.** <br>5.500% due 04/20/2026 | 500 | 482 |
| **Bausch Health Cos., Inc.**  |  |  |
| 11.000% due 09/30/2028  | 544 | 427 |
| 14.000% due 10/15/2030  | 108 | 65 |
| **BC Ltd.** <br>9.000% due 01/30/2028 | 306 | 299 |
| **BCPE Empire Holdings, Inc.** <br>7.625% due 05/01/2027 | 1200 | 1078 |
| **Bombardier, Inc.** <br>7.125% due 06/15/2026 | 300 | 292 |
| **Carnival Holdings Bermuda Ltd.** <br>10.375% due 05/01/2028 | 1700 | 1748 |
| **CCO Holdings LLC**  |  |  |
| 4.250% due 01/15/2034  | 850 | 629 |
| 4.500% due 06/01/2033  | 1300 | 1000 |
| 4.750% due 02/01/2032  | 500 | 406 |
| **Cheplapharm Arzneimittel GmbH** <br>3.500% due 02/11/2027 | 2300 | 2164 |
| **Chobani LLC** <br>7.500% due 04/15/2025 | $800 | 780 |
| **Cloud Software Group Holdings, Inc.** <br>6.500% due 03/31/2029 | 1300 | 1097 |
| **CNX Resources Corp.** <br>7.250% due 03/14/2027 | 111 | 110 |
| **CommScope Technologies LLC** <br>5.000% due 03/15/2027 | 1200 | 817 |
| **CommScope, Inc.** <br>8.250% due 03/01/2027 | 200 | 155 |
| **Community Health Systems, Inc.**  |  |  |
| 5.250% due 05/15/2030  | 1200 | 907 |
| 5.625% due 03/15/2027  | 1200 | 1031 |
| 6.000% due 01/15/2029  | 800 | 670 |
| 6.125% due 04/01/2030  | 3700 | 1839 |
| **Constellation Oil Services Holding SA** <br>13.500% due 06/30/2025 « | 1022 | 1017 |
| **Constellation Oil Services Holding SA (3.000% Cash or 4.000% PIK)** <br>3.000% due 12/31/2026 (a) | 2563 | 1517 |
| **Coty, Inc.** <br>4.750% due 01/15/2029 | 1025 | 929 |
| **CT Trust** <br>5.125% due 02/03/2032 | 1200 | 1055 |
| **DaVita, Inc.** <br>4.625% due 06/01/2030 | 2950 | 2379 |
| **Dell, Inc.** <br>6.500% due 04/15/2038 | 13040 | 12672 |
| **Deluxe Corp.** <br>8.000% due 06/01/2029 | 850 | 700 |
| **Diamond Sports Group LLC** <br>5.375% due 08/15/2026 | 500 | 59 |
| **Dufry One BV** <br>2.000% due 02/15/2027 | 1500 | 1319 |
| **Endo Dac** <br>5.875% due 10/15/2024 ^(b) | $2200 | 1749 |
| **Endo Luxembourg Finance Co. SARL** <br>6.125% due 04/01/2029 ^(b) | 1600 | 1217 |
| **Ford Motor Co.** <br>4.750% due 01/15/2043 | 800 | 576 |
| **Frontier Communications Holdings LLC**  |  |  |
| 5.000% due 05/01/2028  | 400 | 350 |
| 6.000% due 01/15/2030  | 1000 | 787 |
| 8.750% due 05/15/2030  | 1200 | 1222 |
| **Full House Resorts, Inc.** <br>8.250% due 02/15/2028 | 1800 | 1596 |

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **Garda** **World Security Corp.** <br>6.000% due 06/01/2029 | 3200 | 2604 |
| **GFL Environmental, Inc.** <br>3.500% due 09/01/2028 | 1050 | 924 |
| **Gruenenthal GmbH** <br>4.125% due 05/15/2028 | 1800 | 1739 |
| **Helios Software Holdings, Inc.** <br>4.625% due 05/01/2028 | $2200 | 1681 |
| **Hilton Domestic Operating Co., Inc.**  |  |  |
| 3.625% due 02/15/2032  | 800 | 642 |
| 4.000% due 05/01/2031  | 1500 | 1258 |
| **Hudbay Minerals, Inc.** <br>6.125% due 04/01/2029 | 1550 | 1406 |
| **iHeartCommunications, Inc.**  |  |  |
| 6.375% due 05/01/2026  | 305 | 281 |
| 8.375% due 05/01/2027  | 1733 | 1478 |
| **IHO Verwaltungs GmbH (4.750% Cash or 5.500% PIK)** <br>4.750% due 09/15/2026 (a) | 300 | 260 |
| **Intelsat Jackson Holdings SA** <br>6.500% due 03/15/2030 | 1898 | 1702 |
| **Jaguar Land Rover Automotive PLC** <br>5.875% due 01/15/2028 | 1150 | 876 |
| **Kronos Acquisition Holdings, Inc.** <br>7.000% due 12/31/2027 | 200 | 165 |
| **Level 3 Financing, Inc.**  |  |  |
| 3.625% due 01/15/2029  | 2500 | 1835 |
| 4.250% due 07/01/2028  | 925 | 731 |
| **Medline Borrower LP** <br>3.875% due 04/01/2029 | 500 | 404 |
| **Melco Resorts Finance Ltd.**  |  |  |
| 4.875% due 06/06/2025  | 600 | 552 |
| 5.375% due 12/04/2029  | 1700 | 1367 |
| 5.750% due 07/21/2028  | 600 | 503 |
| **MPH Acquisition Holdings LLC** <br>5.500% due 09/01/2028 | 900 | 704 |
| **Newell Brands, Inc.** <br>6.375% due 09/15/2027 | 1600 | 1590 |
| **Occidental Petroleum Corp.** <br>8.875% due 07/15/2030 | 2300 | 2601 |
| **Oracle Corp.** <br>6.250% due 11/09/2032 (g) | 2600 | 2729 |
| **Pactiv Evergreen Group Issuer, Inc.** <br>4.000% due 10/15/2027 | 1550 | 1377 |
| **Par Pharmaceutical, Inc.** <br>7.500% due 04/01/2027 ^(b) | 2607 | 1987 |
| **PDC Energy, Inc.** <br>5.750% due 05/15/2026 | 850 | 813 |
| **Pediatrix Medical Group, Inc.** <br>5.375% due 02/15/2030 | 1550 | 1349 |
| **Petroleos de Venezuela SA**  |  |  |
| 5.375% due 04/12/2027 ^(b)  | 1250 | 61 |
| 5.500% due 04/12/2037 ^(b)  | 1250 | 61 |
| **PetSmart, Inc.** <br>7.750% due 02/15/2029 | 1000 | 941 |
| **Prime Security Services Borrower LLC** <br>3.375% due 08/31/2027 | 950 | 821 |
| **Rackspace Technology Global, Inc.** <br>5.375% due 12/01/2028 | 500 | 219 |
| **Radiate Holdco LLC** <br>4.500% due 09/15/2026 | 1275 | 939 |
| **Renault SA** <br>2.000% due 09/28/2026 | 800 | 755 |
| **Sabre Global, Inc.**  |  |  |
| 9.250% due 04/15/2025  | $3050 | 3043 |
| 11.250% due 12/15/2027  | 220 | 227 |
| **Spirit AeroSystems, Inc.** <br>9.375% due 11/30/2029 | 100 | 105 |
| **Stagwell Global LLC** <br>5.625% due 08/15/2029 | 400 | 331 |
| **Standard Industries, Inc.**  |  |  |
| 3.375% due 01/15/2031  | 1200 | 905 |
| 4.375% due 07/15/2030  | 1600 | 1307 |
| **Studio City Finance Ltd.** <br>5.000% due 01/15/2029 | 800 | 592 |
| **Tempo Acquisition LLC** <br>5.750% due 06/01/2025 | 700 | 702 |
| **Tenet Healthcare Corp.**  |  |  |
| 6.125% due 10/01/2028  | 1700 | 1526 |
| 6.125% due 06/15/2030  | 1300 | 1241 |
| **Travel & Leisure Co.** <br>6.000% due 04/01/2027 | 600 | 570 |
| **U.S. Renal Care, Inc.** <br>10.625% due 07/15/2027 | 900 | 198 |
| **Williams Scotsman International, Inc.** <br>4.625% due 08/15/2028 | 1575 | 1424 |

---

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **WMG** **Acquisition Corp.** <br>3.000% due 02/15/2031 | 850 | 681 |
| **Wynn Las Vegas LLC** <br>5.250% due 05/15/2027 | 400 | 362 |
| **Wynn Macau Ltd.**  |  |  |
| 5.500% due 10/01/2027  | 1000 | 876 |
| 5.625% due 08/26/2028  | 1900 | 1627 |
| **Yum! Brands, Inc.** <br>4.625% due 01/31/2032 | 800 | 709 |
|  |  | 102204 |
| **UTILITIES 2.9%**  |  |  |
| **Calpine Corp.**  |  |  |
| 3.750% due 03/01/2031  | 700 | 565 |
| 5.000% due 02/01/2031  | 700 | 588 |
| **Enel Finance International NV** <br>7.500% due 10/14/2032 | 200 | 212 |
| **EP Infrastructure AS** <br>1.698% due 07/30/2026 | 1500 | 1283 |
| **Genesis Energy LP** <br>8.000% due 01/15/2027 | $1200 | 1135 |
| **NSG Holdings LLC** <br>7.750% due 12/15/2025 | 520 | 506 |
| **Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)** <br>7.350% due 12/01/2026 ^(a) | 1059 | 585 |
| **Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)** <br>7.720% due 12/01/2026 ^(a) | 891 | 238 |
| **TerraForm Power Operating LLC** <br>5.000% due 01/31/2028 | 800 | 722 |
|  |  | 5834 |
| Total Corporate Bonds & Notes (Cost $175,411) |  | 146848 |
| **CONVERTIBLE BONDS & NOTES 0.5%**  |  |  |
| **INDUSTRIALS 0.5%**  |  |  |
| **Lucid Group, Inc.** <br>1.250% due 12/15/2026 | 2000 | 1031 |
| Total Convertible Bonds & Notes (Cost $1,366) |  | 1031 |
| **MUNICIPAL BONDS & NOTES 0.2%**  |  |  |
| **FLORIDA 0.2%**  |  |  |
| **Sunrise, Florida Special Assessment Notes, Series 2015** <br>4.800% due 05/01/2025 | 380 | 370 |
| Total Municipal Bonds & Notes (Cost $378) |  | 370 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.7%**  |  |  |
| **Adjustable Rate Mortgage Trust** <br>3.828% due 10/25/2035 ~ | 58 | 42 |
| **American Home Mortgage Assets Trust**  |  |  |
| 2.968% due 11/25/2046 ~  | 508 | 162 |
| 6.750% due 06/25/2037 ^þ  | 81 | 67 |
| **Banc of America Funding Trust** <br>3.221% due 03/20/2036 ^~ | 53 | 43 |
| **Bear Stearns ALT-A Trust** <br>4.044% due 01/25/2035 ~ | 2 | 1 |
| **Citigroup Mortgage Loan Trust** <br>6.470% due 11/25/2035 ~ | 28 | 27 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 3.048% due 12/25/2035 •  | 24 | 19 |
| 3.173% due 10/25/2035 ^~  | 19 | 16 |
| 4.749% due 05/25/2047 ~  | 12 | 10 |
| 4.773% due 03/20/2046 •  | 21 | 17 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 5.029% due 03/25/2035 ~  | 69 | 61 |
| 6.000% due 05/25/2036 ^  | 42 | 21 |
| **Downey Savings & Loan Association Mortgage Loan Trust** <br>4.839% due 02/19/2045 •  | 3 | 3 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 3.740% due 09/25/2035 ^~  | 89 | 77 |
| 6.000% due 05/25/2036 ^  | 44 | 20 |
| **GMAC Mortgage Corp. Loan Trust** <br>2.985% due 04/19/2036 ^~ | 99 | 75 |
| **GSR Mortgage Loan Trust**  |  |  |
| 3.061% due 11/25/2035 ~  | 7 | 7 |
| 4.124% due 04/25/2035 ~  | 1 | 1 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 4.719% due 01/19/2038 •  | 13 | 11 |
| 4.819% due 03/19/2036 ^•  | 190 | 165 |

---

------

<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **IndyMac** **INDX Mortgage Loan Trust** <br>3.227% due 09/25/2035 ^~ | 30 | 25 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.196% due 07/27/2037 ~  | 133 | 121 |
| 3.346% due 07/25/2035 ~  | 23 | 21 |
| 6.000% due 08/25/2037 ^  | 59 | 33 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 4.719% due 03/25/2037 ~  | 259 | 57 |
| 5.751% due 02/25/2036 ^~  | 129 | 103 |
| **Residential Asset Securitization Trust** <br>6.000% due 05/25/2037 ^ | 51 | 30 |
| **Structured Asset Mortgage Investments Trust** <br>4.829% due 05/25/2036 •  | 13 | 10 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.818% due 05/25/2047 •  | 161 | 128 |
| 3.191% due 10/25/2036 ^~  | 58 | 52 |
| 3.864% due 07/25/2037 ^~  | 65 | 60 |
| Total Non-Agency Mortgage-Backed Securities (Cost $1,641) |  | 1485 |
| **ASSET-BACKED SECURITIES 0.2%**  |  |  |
| **Carrington Mortgage Loan Trust** <br>4.539% due 08/25/2036 •  | 39 | 36 |
| **Credit-Based Asset Servicing & Securitization Trust** <br>3.103% due 01/25/2037 ^þ | 768 | 246 |
| **Morgan Stanley ABS Capital, Inc. Trust** <br>4.529% due 05/25/2037 •  | 57 | 50 |
| **Option One Mortgage Loan Trust Asset-Backed Certificates** <br>5.364% due 08/25/2033 •  | 19 | 19 |
| Total Asset-Backed Securities (Cost $395) |  | 351 |
| **SOVEREIGN ISSUES 1.0%**  |  |  |
| **Argentina Government International Bond** <br>3.500% due 07/09/2041 þ | 7113 | 2040 |
| Total Sovereign Issues (Cost $3,528) |  | 2040 |
|  | SHARES |  |
| **COMMON STOCKS 2.9%**  |  |  |
| **COMMUNICATION SERVICES 0.3%**  |  |  |
| **Clear Channel Outdoor Holdings, Inc. (c)** | 163228 | 171 |
| **iHeartMedia, Inc. 'A' (c)** | 39083 | 240 |
| **iHeartMedia, Inc. 'B' «(c)** | 30332 | 167 |
|  |  | 578 |
| **CONSUMER DISCRETIONARY 0.4%**  |  |  |
| **Caesars Entertainment, Inc. (c)** | 19463 | 810 |
|  |  | 810 |
| **ENERGY 0.5%**  |  |  |
| **California Resources Corp.** | 14960 | 651 |
| **Constellation Oil 'B' «(c)(g)** | 2866681 | 310 |
|  |  | 961 |
| **FINANCIALS 0.4%**  |  |  |
| **Hipotecaria Su Casita SA de CV «(c)** | 78886 | 0 |
| **Intelsat SA «(c)(g)** | 26087 | 626 |
| **Mr Cooper Group, Inc. (c)** | 4374 | 176 |
|  |  | 802 |
| **HEALTH CARE 0.7%**  |  |  |
| **NVHL SA 'A' «(c)(g)** | 197572 | 141 |
| **NVHL SA 'D' «(c)(g)** | 197572 | 141 |
| **NVHL SA 'E' «(c)(g)** | 197572 | 141 |
| **NVHL SA 'F' «(c)(g)** | 197572 | 142 |
| **NVHL SA 'G' «(c)(g)** | 197572 | 142 |
| **NVHL SA 'H' «(c)(g)** | 197572 | 142 |
| **NVHL SA 'I' «(c)(g)** | 197572 | 142 |
| **NVHL SA 'J' «(c)(g)** | 197572 | 142 |
| **NVHL SA. 'B' «(c)(g)** | 197572 | 142 |
| **NVHL SA. 'C' «(c)(g)** | 197572 | 142 |
|  |  | 1417 |
| **INDUSTRIALS 0.6%**  |  |  |
| **Neiman Marcus Group Ltd. LLC «(c)(g)** | 7513 | 1323 |

---

------

<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Voyager** **Aviation Holdings LLC «(c)** | 136 | 0 |
|  |  | 1323 |
| **REAL ESTATE 0.0%**  |  |  |
| **Stearns Holding LLC 'B' «(c)** | 720949 | 0 |
| Total Common Stocks (Cost $19,210) |  | 5891 |
| **RIGHTS 0.0%**  |  |  |
| **FINANCIALS 0.0%**  |  |  |
| **Intelsat Jackson Holdings SA «(c)** | 2732 | 18 |
| Total Rights (Cost $0) |  | 18 |
| **WARRANTS 0.2%**  |  |  |
| **ENERGY 0.2%**  |  |  |
| **California Resources Corp. - Exp. 10/27/2024** | 24765 | 312 |
| **Constellation Oil Class 'D' - Exp. 06/10/2071 «(g)** | 3 | 0 |
|  |  | 312 |
| **FINANCIALS 0.0%**  |  |  |
| **Guranteed Rate, Inc. - Exp. 12/31/2060 «** | 3454 | 0 |
| **Intelsat Jackson Holdings SA-Exp. 12/05/2025 «** | 2732 | 20 |
|  |  | 20 |
| **UTILITIES 0.0%**  |  |  |
| **Vistra Corp. - Exp. 02/02/2024** | 60750 | 15 |
| Total Warrants (Cost $845) |  | 347 |
| **PREFERRED SECURITIES 0.3%**  |  |  |
| **BANKING & FINANCE 0.2%**  |  |  |
| **First Citizens BancShares, Inc.**<br>8.741% (US0003M + 3.972%) due 01/04/2027 ~(f) | 350000 | 350 |
| **INDUSTRIALS 0.1%**  |  |  |
| **Voyager Aviation Holdings LLC** « | 814 | 219 |
| Total Preferred Securities (Cost $617) |  | 569 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 3.0%**  |  |  |
| **REPURCHASE AGREEMENTS (h) 2.7%** |  | 5614 |
| **U.S. TREASURY BILLS 0.3%**  |  |  |
| 3.917% due 01/31/2023 - 03/02/2023 (d)(e)(k) | $577 | 574 |
| Total Short-Term Instruments (Cost $6,189) |  | 6188 |
| Total Investments in Securities (Cost $233,332) |  | 185016 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 7.3%**  |  |  |
| **COMMON STOCKS 0.1%**  |  |  |
| **AFFILIATED INVESTMENTS 0.1%**  |  |  |
| **Xfit Brands, Inc. ^«(c)** | 68040639 | 272 |
| Total Common Stocks (Cost $4,074) |  | 272 |
| **SHORT-TERM INSTRUMENTS 7.2%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 7.2%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 1528013 | 14846 |

---

------

<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | |
|:---|:---|
| Total Short-Term Instruments (Cost $14,836) | 14846 |
| Total Investments in Affiliates (Cost $18,910) | 15118 |
| Total Investments 97.6% (Cost $252,242) | $200134 |
| **Financial Derivative Instruments (i)(j) (0.3)**%(Cost or Premiums, net $204) | (595) |
| Other Assets and Liabilities, net 2.7% | 5569 |
| Net Assets 100.0% | $205108 |

---

------

<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **µ** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(b)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(c)** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** |
| **(d)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(e)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(f)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(g)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| Constellation Oil 'B' | Constellation Oil 'B' | 06/10/2022 | 06/10/2022 | 310 | 310 | $ | 310 | 310 | 0.15 | % |
| Constellation Oil Class 'D' - Exp. 06/10/2071 | Constellation Oil Class 'D' - Exp. 06/10/2071 | 06/10/2022 | 06/10/2022 | 0 | 0 |  | 0 | 0 | 0.00 |  |
| Intelsat SA | Intelsat SA | 09/05/2018 | 09/05/2018 | 2450 | 2450 |  | 626 | 626 | 0.30 |  |
| NVHL SA 'A' | NVHL SA 'A' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 614 | 614 |  | 141 | 141 | 0.07 |  |
| NVHL SA 'D' | NVHL SA 'D' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 614 | 614 |  | 141 | 141 | 0.07 |  |
| NVHL SA 'E' | NVHL SA 'E' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 614 | 614 |  | 141 | 141 | 0.07 |  |
| NVHL SA 'F' | NVHL SA 'F' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA 'G' | NVHL SA 'G' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA 'H' | NVHL SA 'H' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA 'I' | NVHL SA 'I' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA 'J' | NVHL SA 'J' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA. 'B' | NVHL SA. 'B' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| NVHL SA. 'C' | NVHL SA. 'C' | 03/09/2012 - 05/01/2013 | 03/09/2012 - 05/01/2013 | 613 | 613 |  | 142 | 142 | 0.07 |  |
| Neiman Marcus Group Ltd. LLC | Neiman Marcus Group Ltd. LLC | 09/25/2020 | 09/25/2020 | 242 | 242 |  | 1323 | 1323 | 0.64 |  |
| Oracle Corp.6.250% due 11/09/2032 | Oracle Corp.6.250% due 11/09/2032 | 11/07/2022 | 11/07/2022 | 2595 | 2595 |  | 2729 | 2729 | 1.33 |  |
|  |  |  | $ | 11730 | $ | $ | 6405 | 3.12%  | 3.12%  | 3.12%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(h)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BRC | $2736 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 08/15/2032 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 08/15/2032 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 08/15/2032 | (2736) | (2736) | 2736 | $ | $2738 | 2738 |
| FICC | 2878 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | (2936) | (2936) | 2878 |  | 2878 | 2878 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  | **(5672)** | **(5672)** | **5614** | **$** | $**5616** | **5616** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Proceeds | Proceeds | Payable for<br>Short Sales<sup>(2)</sup> | Payable for<br>Short Sales<sup>(2)</sup> | Payable for<br>Short Sales<sup>(2)</sup> |
| U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% | U.S. Government Agencies (1.3)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; U.S. Treasury Notes  | 08/15/2032 | $2970 | 2970 | $ | (2781) | $ | $(2736) | (2736) |
| **Total Short Sales (1.3)%** | **Total Short Sales (1.3)%** | **Total Short Sales (1.3)%** |  |  |  | **$** | **(2781)** | **$** | $**(2736)** | **(2736)** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. | Payable for short sales includes $31 of accrued interest. |

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The** **average amount of borrowings outstanding during the period ended December 31, 2022 was $(62) at a weighted average interest rate of (3.000%). Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** |
| **(i)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts |  | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset |  | Liability |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 03/2023 | 151 | $ | 16297 | 16297 | (28) | (28) | 0 | 0 | $ | (13) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts |  | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset |  | Liability |
| Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | 03/2023 | 03/2023 | 26 | $ | (3700) | (3700) | 239 | 239 | 30 | 30 | $ | (13) |
| Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | 03/2023 | 03/2023 | 7 |  | (1013) | (1013) | 191 | 191 | 26 | 26 |  | (5) |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 03/2023 | 155 |  | (17406) | (17406) | 252 | 252 | 22 | 22 |  | 0 |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 03/2023 | 13 |  | (1746) | (1746) | (4) | (4) | 6 | 6 |  | 0 |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 03/2023 | 28 |  | (3312) | (3312) | 69 | 69 | 2 | 2 |  | 0 |
|  |  |  |  |  |  |  |  |  | 747 | $ | 86 | 86 | $ | (18) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **719** | **$** | **86** | **86** | **$** | **(31)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount<sup>(2)</sup> |  | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(3)</sup> | Market<br>Value<sup>(3)</sup> | Asset | Asset | Liability |
| CDX.HY-39 5-Year Index  | Quarterly | 12/20/2027 | 12/20/2027 | $ | 47500 | $ | (251) | $ | (118) | (369) | (369) | 7 | 7 | 0 |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Pay | Semi-Annual | 12/16/2030 | 12/16/2030 | 12/16/2030 | $43300 | 43300 | 455 | $ | (9011) | (8556) | (8556) | 0 | 0 | $(92) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **204** | **$** | **(9129)** | **(8925)** | **(8925)** | **7** | **7** | **(92)** |
| **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $5,425 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(3)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **(j)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | $ | $712 | 712 | 712 | 712 | 669 | 669 | 669 | 4 | 4 | 4 | $0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | EUR | 25353 | 25353 | 25353 | 25353 | $26574 | 26574 | 26574 | 0 | 0 | 0 | (577) | (577) |
|  | 01/2023  | $ | $1216 | 1216 | 1216 | 1216 | 1143 | 1143 | 1143 | 8 | 8 | 8 | 0 | 0 |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **12** | **12** | **$** | **(577)** | **(577)** |
| **(k)** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $441 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |

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<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Loan Participations and Assignments | Loan Participations and Assignments | $0 | 0 | $19878 | 19878 | $0 | 0 | $ | 19878 |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | 0 | 0 | 38810 | 38810 | 0 | 0 |  | 38810 |  |
| Industrials | Industrials | 0 | 0 | 101187 | 101187 | 1017 | 1017 |  | 102204 |  |
| Utilities | Utilities | 0 | 0 | 5834 | 5834 | 0 | 0 |  | 5834 |  |
| Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes |  |
| Industrials | Industrials | 0 | 0 | 1031 | 1031 | 0 | 0 |  | 1031 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| Florida | Florida | 0 | 0 | 370 | 370 | 0 | 0 |  | 370 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 1485 | 1485 | 0 | 0 |  | 1485 |  |
| Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 351 | 351 | 0 | 0 |  | 351 |  |
| Sovereign Issues | Sovereign Issues | 0 | 0 | 2040 | 2040 | 0 | 0 |  | 2040 |  |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |  |
| Communication Services | Communication Services | 411 | 411 | 0 | 0 | 167 | 167 |  | 578 |  |
| Consumer Discretionary | Consumer Discretionary | 810 | 810 | 0 | 0 | 0 | 0 |  | 810 |  |
| Energy | Energy | 651 | 651 | 0 | 0 | 310 | 310 |  | 961 |  |
| Financials | Financials | 176 | 176 | 0 | 0 | 626 | 626 |  | 802 |  |
| Health Care | Health Care | 0 | 0 | 0 | 0 | 1417 | 1417 |  | 1417 |  |
| Industrials | Industrials | 0 | 0 | 0 | 0 | 1323 | 1323 |  | 1323 |  |
| Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights |  |
| Financials | Financials | 0 | 0 | 0 | 0 | 18 | 18 |  | 18 |  |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |  |
| Energy | Energy | 312 | 312 | 0 | 0 | 0 | 0 |  | 312 |  |
| Financials | Financials | 0 | 0 | 0 | 0 | 20 | 20 |  | 20 |  |
| Utilities | Utilities | 15 | 15 | 0 | 0 | 0 | 0 |  | 15 |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |  |
| Banking & Finance | Banking & Finance | 0 | 0 | 350 | 350 | 0 | 0 |  | 350 |  |
| Industrials | Industrials | 0 | 0 | 0 | 0 | 219 | 219 |  | 219 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements | 0 | 0 | 5614 | 5614 | 0 | 0 |  | 5614 |  |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 | 574 | 574 | 0 | 0 |  | 574 |  |
|  |  | $2375 | 2375 | $177524 | 177524 | $5117 | 5117 | $ | 185016 |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |  |
| Affiliated Investments | Affiliated Investments | 0 | 0 | 0 | 0 | 272 | 272 |  | 272 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | 14846 | 14846 | 0 | 0 | 0 | 0 |  | 14846 |  |
|  |  | $14846 | 14846 | $0 | 0 | $272 | 272 | $ | 15118 |  |
| Total Investments | Total Investments | $17221 | 17221 | $177524 | 177524 | $5389 | 5389 | $ | 200134 |  |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |  |
| U.S. Government Agencies | U.S. Government Agencies | $0 | 0 | $(2736) | (2736) | $0 | 0 | $ | (2736) |  |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 56 | 56 | 37 | 37 | 0 | 0 |  | 93 |  |
| Over the counter | Over the counter | 0 | 0 | 12 | 12 | 0 | 0 |  | 12 |  |
|  |  | $56 | 56 | $49 | 49 | $0 | 0 | $ | 105 |  |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | (18) | (18) | (105) | (105) | 0 | 0 |  | (123) |  |
| Over the counter | Over the counter | 0 | 0 | (577) | (577) | 0 | 0 |  | (577) |  |
|  |  | $(18) | (18) | $(682) | (682) | $0 | 0 | $ | (700) |  |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | $38 | 38 | $(633) | (633) | $0 | 0 | $ | (595) |  |
| Totals | Totals | $17259 | 17259 | $174155 | 174155 | $5389 | 5389 | $ | 196803 |  |
| **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Portfolio during the period ended December 31, 2022:** |
| Category and Subcategory | Accrued<br>Discounts/<br>(Premiums) | Accrued<br>Discounts/<br>(Premiums) | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(1)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(1)</sup> | Transfers into<br>Level 3 | Transfers into<br>Level 3 | Transfers out<br>of Level 3 | Transfers out<br>of Level 3 | Ending<br>Balance<br>at 12/31/2022 | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>12/31/2022<sup>(1)</sup> |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | $ | 2 | $ | (510) | $0 | 0 | $(1241) | (1241) | $0 | $0 |
| Corporate Bonds & Notes |  |  |  |  |  |  |  |  |  |  |

---

------

<br> Schedule of Investments PIMCO High Yield and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Industrials | Industrials |  | 0 | 983 |  |  | 0 | 6 | 0 | 28 | 0 | 0 |  | 1017 |  | 28 |
| Common Stocks | Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | Communication Services |  | 516 | 0 |  |  | 0 | 0 | 0 | (349) | 0 | 0 |  | 167 |  | (349) |
| Energy | Energy |  | 0 | 310 |  |  | 0 | 0 | 0 | 0 | 0 | 0 |  | 310 |  | 0 |
| Financials | Financials |  | 795 | 0 |  |  | 0 | 0 | 0 | (169) | 0 | 0 |  | 626 |  | (170) |
| Health Care | Health Care |  | 49182 | 0 |  |  | (7170) | 0 | 7079 | (47674) | 0 | 0 |  | 1417 |  | (40045) |
| Industrials | Industrials |  | 1165 | 0 |  |  | 0 | 0 | 0 | 158 | 0 | 0 |  | 1323 |  | 158 |
| Real Estate | Real Estate |  | 72 | 0 |  |  | 0 | 0 | 0 | (72) | 0 | 0 |  | 0 |  | (72) |
| Rights | Rights |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Financials | Financials |  | 12 | 0 |  |  | 0 | 0 | 0 | 6 | 0 | 0 |  | 18 |  | 6 |
| Warrants<sup>(2)</sup> | Warrants<sup>(2)</sup> |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Financials | Financials |  | 14 | 0 |  |  | 0 | 0 | 0 | 6 | 0 | 0 |  | 20 |  | 7 |
| Preferred Securities | Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Industrials | Industrials |  | 1666 | 0 |  |  | (3655) | 0 | 0 | 2208 | 0 | 0 |  | 219 |  | (28) |
| Totals | Totals | $55480 | 55480 | 1293 | $ | $ | $(11106) | $8 | $7051 | $(46368) | $(1241) | (1241) | $ | 5117 | $ | (40465) |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks | Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Affiliated Investments | Affiliated Investments |  | 0 | 3656 |  |  | 0 | 0 | 418 | (3802) | 0 | 0 |  | 272 |  | (3802) |
| Totals | Totals | $55480 | 55480 | 4949 | $ | $ | $(11106) | $8 | $7469 | $(50170) | $(1241) | (1241) | $ | 5389 | $ | (44267) |
| <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** |
|  |  |  |  |  |  |  |  |  |  |  |  | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Ending<br>Balance<br>at 12/31/2022 | Ending<br>Balance<br>at 12/31/2022 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | Input Value(s) | Input Value(s) | Input Value(s) | Weighted Average | Weighted Average |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Industrials | Industrials | Industrials | Industrials | $1017 | 1017 | 1017 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 14.500  | 14.500  | 14.500  | —  | —  |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | Communication Services | Communication Services | 167 | 167 | 167 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp; Stock Price W/Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Stock Price W/Liquidity Discount | 10.000  | 10.000  | 10.000  |  |  |
| Industrials | Industrials | Industrials | Industrials | 1323 | 1323 | 1323 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Revenue \| EBITDA Multiple / Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Revenue \| EBITDA Multiple / Discount Rate | 0.620\|6.160/10.000 | 0.620\|6.160/10.000 | 0.620\|6.160/10.000 | —  | —  |
| Energy | Energy | Energy | Energy | 310 | 310 | 310 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | 4.400  | 4.400  | 4.400  | —  | —  |
| Financials | Financials | Financials | Financials | 626 | 626 | 626 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Price | &nbsp;&nbsp;&nbsp;&nbsp; Price | $24.000  | 24.000  | 24.000  | —  | —  |
| Health Care | Health Care | Health Care | Health Care | 1417 | 1417 | 1417 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | 10.500  | 10.500  | 10.500  | —  | —  |
| Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights | Rights |
| Financials | Financials | Financials | Financials | 18 | 18 | 18 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | —  | —  | —  | —  | —  |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |
| Financials | Financials | Financials | Financials | 20 | 20 | 20 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; — | &nbsp;&nbsp;&nbsp;&nbsp; — | —  | —  | —  | —  | —  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Industrials | Industrials | Industrials | Industrials | 219 | 219 | 219 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Market Comparable Valuation / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; TBV Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; TBV Multiple/Discount Rate | 0.370/24.820 | 0.370/24.820 | 0.370/24.820 | —  | —  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Affiliated Investments | Affiliated Investments | Affiliated Investments | Affiliated Investments | 272 | 272 | 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Reference Instrument | &nbsp;&nbsp;&nbsp;&nbsp; Stock Price W/Liquidity Discount | &nbsp;&nbsp;&nbsp;&nbsp; Stock Price W/Liquidity Discount |  |  |  | —  | —  |
| Total | Total | Total | Total | $5389 | 5389 | 5389 |  |  |  |  |  |  |  |  |  |  |
| <sup>(1)</sup> | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at December 31, 2022 may be due to an investment no longer held or categorized as Level 3 at period end. |
| <sup>(2)</sup> | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. | Security type updated from Rights to Warrants since prior fiscal year end. |
| <sup>(3)</sup> | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Portfolio. |

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<br> Consolidated Schedule of Investments PIMCO International Portfolio December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 99.7% ¤** |  |  |
| **CANADA 1.4%**  |  |  |
| **SOVEREIGN ISSUES 1.4%**  |  |  |
| **Province of Quebec** <br>6.250% due 06/01/2032 | 8000 | $6911 |
| Total Canada (Cost $6,698) |  | 6911 |
| **UNITED STATES 3.2%**  |  |  |
| **ASSET-BACKED SECURITIES 1.1%**  |  |  |
| **Amortizing Residential Collateral Trust** <br>5.089% due 10/25/2031 ~ | $113 | 109 |
| **Argent Securities Trust** <br>4.569% due 07/25/2036 ~ | 1239 | 340 |
| **Asset-Backed Funding Certificates Trust** <br>5.089% due 06/25/2034 •  | 263 | 247 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust** <br>4.469% due 05/25/2037 ~ | 37 | 26 |
| **Bear Stearns Asset-Backed Securities Trust** <br>5.049% due 10/25/2032 •  | 28 | 27 |
| **Countrywide Asset-Backed Certificates** <br>5.129% due 05/25/2032 •  | 46 | 46 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>4.598% due 01/25/2032 •  | 43 | 41 |
| **Credit-Based Asset Servicing & Securitization Trust**  |  |  |
| 2.909% due 01/25/2037 ^•  | 261 | 84 |
| 4.509% due 11/25/2036 •  | 30 | 14 |
| **Home Equity Asset Trust** <br>4.989% due 11/25/2032 ~ | 1 | 1 |
| **HSI Asset Securitization Corp. Trust** <br>4.489% due 10/25/2036 •  | 22 | 9 |
| **Long Beach Mortgage Loan Trust** <br>4.949% due 10/25/2034 •  | 28 | 25 |
| **Merrill Lynch Mortgage Investors Trust** <br>4.549% due 09/25/2037 •  | 23 | 5 |
| **Morgan Stanley ABS Capital, Inc. Trust**  |  |  |
| 4.449% due 05/25/2037 ~  | 42 | 36 |
| 4.489% due 11/25/2036 •  | 5838 | 3052 |
| **SLM Student Loan Trust** <br>5.858% due 04/25/2023 ~ | 1606 | 1592 |
| **Soundview Home Loan Trust** <br>4.509% due 11/25/2036 •  | 230 | 67 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>5.620% due 04/25/2035 •  | 3 | 3 |
| **Washington Mutual Asset-Backed Certificates Trust** <br>3.816% due 10/25/2036 •  | 23 | 9 |
|  |  | 5733 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 1.9%**  |  |  |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.383% due 08/25/2036 ^~  | 21 | 14 |
| 3.605% due 01/25/2036 ^~  | 436 | 403 |
| **Citigroup Mortgage Loan Trust** <br>3.885% due 08/25/2035 ~ | 9 | 9 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 4.533% due 02/20/2047 ^•  | 2981 | 2261 |
| 4.709% due 02/25/2047 •  | 63 | 53 |
| 4.773% due 03/20/2046 •  | 242 | 189 |
| 4.909% due 12/25/2035 ~  | 24 | 21 |
| 4.949% due 12/25/2035 ~  | 159 | 139 |
| 4.949% due 02/25/2037 ~  | 76 | 62 |
| 4.989% due 08/25/2035 ~  | 207 | 183 |
| 4.989% due 12/25/2035 •  | 672 | 534 |
| 5.089% due 09/25/2035 •  | 666 | 588 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 4.849% due 05/25/2035 ~  | 84 | 68 |
| 4.969% due 03/25/2035 ^•  | 306 | 249 |
| 4.969% due 04/25/2035 •  | 2 | 2 |
| 4.989% due 03/25/2035 •  | 29 | 20 |
| 5.029% due 03/25/2035 •  | 1603 | 1292 |

---

------

<br> Consolidated Schedule of Investments PIMCO International Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.029% due 03/25/2035 ~  | 11 | 9 |
| 5.049% due 02/25/2035 ~  | 6 | 5 |
| 5.149% due 09/25/2034 ~  | 4 | 4 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>6.500% due 04/25/2033 | 3 | 3 |
| **Deutsche ALT-B Securities, Inc. Mortgage Loan Trust** <br>4.489% due 10/25/2036 ^•  | 2 | 1 |
| **Downey Savings & Loan Association Mortgage Loan Trust**  |  |  |
| 4.759% due 03/19/2045 ~  | 133 | 127 |
| 4.859% due 08/19/2045 •  | 83 | 69 |
| 4.999% due 09/19/2045 ~  | 997 | 629 |
| **GreenPoint Mortgage Funding Trust** <br>4.849% due 06/25/2045 ~ | 772 | 557 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 4.819% due 06/19/2035 •  | 124 | 116 |
| 4.819% due 01/19/2036 ^•  | 12 | 11 |
| 4.819% due 03/19/2036 ^•  | 749 | 652 |
| 4.839% due 01/19/2036 ~  | 1259 | 767 |
| 4.959% due 11/19/2035 •  | 135 | 104 |
| 4.999% due 09/19/2035 •  | 9 | 6 |
| 5.033% due 06/20/2035 ~  | 35 | 31 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>3.189% due 10/25/2035 ~ | 13 | 8 |
| **Residential Accredit Loans, Inc. Trust** <br>4.809% due 04/25/2046 ~ | 117 | 35 |
| **Sequoia Mortgage Trust**  |  |  |
| 4.783% due 10/20/2034 •  | 122 | 105 |
| 5.039% due 10/19/2026 ~  | 2 | 2 |
| 5.053% due 07/20/2033 ~  | 273 | 249 |
| **Structured Asset Mortgage Investments Trust** <br>4.919% due 07/19/2034 ~ | 1 | 1 |
| **Thornburg Mortgage Securities Trust** <br>4.929% due 03/25/2044 •  | 50 | 46 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.499% due 12/25/2046 ~  | 60 | 53 |
| 2.835% due 02/27/2034 •  | 3 | 3 |
| 3.248% due 11/25/2042 ~  | 1 | 1 |
| 3.448% due 08/25/2042 •  | 4 | 4 |
| 3.548% due 10/25/2046 ~  | 18 | 16 |
| 3.548% due 11/25/2046 •  | 221 | 191 |
| 4.969% due 10/25/2045 ~  | 9 | 9 |
| 5.009% due 01/25/2045 ~  | 5 | 4 |
| 5.029% due 01/25/2045 ~  | 6 | 6 |
| 5.029% due 07/25/2045 ~  | 5 | 5 |
|  |  | 9916 |
| **U.S. GOVERNMENT AGENCIES 0.2%**  |  |  |
| **Fannie Mae**  |  |  |
| 3.632% due 12/01/2034 •  | 2 | 2 |
| 4.027% due 11/01/2034 •  | 8 | 8 |
| 4.366% due 09/25/2042 •  | 17 | 16 |
| 4.509% due 03/25/2034 ~ | 1 | 1 |
| 4.539% due 08/25/2034 •  | 1 | 1 |
| 4.633% due 12/01/2030 •  | 1 | 1 |
| 4.789% due 06/25/2029 •  | 1 | 1 |
| 6.000% due 07/25/2044 | 9 | 9 |
| **Freddie Mac**  |  |  |
| 2.889% due 02/25/2045 •  | 15 | 15 |
| 3.248% due 10/25/2044 •  | 32 | 32 |
| 3.332% due 10/01/2036 •  | 11 | 11 |
| 3.448% due 07/25/2044 •  | 9 | 9 |
| 4.539% due 09/25/2035 ~ | 618 | 580 |
| 4.669% due 09/25/2031 •  | 9 | 9 |
| 6.500% due 07/15/2028 | 70 | 72 |
| **Ginnie Mae**  |  |  |
| 1.750% (H15T1Y + 1.500%) due 10/20/2024 ~ | 5 | 5 |
| 2.000% due 11/20/2024 •  | 10 | 10 |
| 2.625% (H15T1Y + 1.500%) due 02/20/2025 - 09/20/2025 ~ | 14 | 14 |
| 2.875% (H15T1Y + 1.500%) due 06/20/2023 - 05/20/2026 ~ | 9 | 9 |
| 3.000% (H15T1Y + 1.500%) due 09/20/2024 ~ | 10 | 10 |
| 3.000% due 04/20/2030 - 06/20/2030 •  | 152 | 150 |
| 6.000% due 08/20/2034 | 191 | 196 |
| **U.S. Small Business Administration**  |  |  |
| 4.625% due 02/01/2025 | 4 | 4 |

---

------

<br> Consolidated Schedule of Investments PIMCO International Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.090% due 10/01/2025 | 2 | 2 |
|  |  | 1167 |
| Total United States (Cost $23,683) |  | 16816 |
| **SHORT-TERM INSTRUMENTS 95.1%**  |  |  |
| **REPURCHASE AGREEMENTS (c) 86.5%** |  | 440691 |
| **SHORT-TERM NOTES 3.9%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.320% due 01/06/2023 - 01/10/2023 •  | $7400 | 7400 |
| 4.340% due 02/10/2023 •(e) | 5000 | 5000 |
| 4.345% due 02/23/2023 - 03/06/2023 •  | 7200 | 7200 |
|  |  | 19600 |
| **U.S. TREASURY BILLS 4.7%**  |  |  |
| 3.642% due 01/17/2023 (a)(b) | 24000 | 23966 |
| Total Short-Term Instruments (Cost $484,258) |  | 484257 |
| Total Investments in Securities (Cost $514,639) |  | 507984 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 19.2%**  |  |  |
| **SHORT-TERM INSTRUMENTS 19.2%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 19.2%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 10092281 | 98057 |
| Total Short-Term Instruments (Cost $99,321) |  | 98057 |
| Total Investments in Affiliates (Cost $99,321) |  | 98057 |
| Total Investments 118.9% (Cost $613,960) |  | $606041 |
| **Financial Derivative Instruments (d)(f) 0.5**%(Cost or Premiums, net $(17902)) |  | 2340 |
| Other Assets and Liabilities, net (19.4)% |  | (98886) |
| Net Assets 100.0% |  | $509495 |

---

------

<br> Consolidated Schedule of Investments PIMCO International Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(b)** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(c)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BOS | BOS | 4.330%  | 01/03/2023 | $163900 | 163900 | &nbsp;&nbsp; U.S. Treasury Bonds 2.375% - 3.000% due 02/15/2049 - 05/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.375% - 3.000% due 02/15/2049 - 05/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.375% - 3.000% due 02/15/2049 - 05/15/2051 | $(165446) | (165446) | (165446) | $163900 | 163900 | $163979 |
| BPS | BPS | 4.310  | 01/03/2023 | 106100 | 106100 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 01/15/2024 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 01/15/2024 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 01/15/2024 | (108265) | (108265) | (108265) | 106100 | 106100 | 106151 |
| CIB | CIB | 4.250  | 01/04/2023 | 137900 | 137900 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 08/15/2046 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 08/15/2046 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 08/15/2046 | (139098) | (139098) | (139098) | 137900 | 137900 | 137900 |
| FICC | FICC | 1.900  | 01/03/2023 | 4086 | 4086 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | (4168) | (4168) | (4168) | 4086 | 4086 | 4086 |
| SAL | SAL | 4.320  | 01/03/2023 | 28200 | 28200 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 10/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 10/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 10/15/2023 | (28741) | (28741) | (28741) | 28200 | 28200 | 28214 |
| SSB | SSB | 1.900  | 01/03/2023 | 505 | 505 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | (515) | (515) | (515) | 505 | 505 | 505 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  | $**(446233)** | **(446233)** | **(446233)** | $**440691** | **440691** | $**440835** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. |
| **(d)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> |
| Description | Description | Description | Description | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| Euro-Bobl March Futures  | Euro-Bobl March Futures  | Euro-Bobl March Futures  | Euro-Bobl March Futures  | 03/2023 | 305 | 305 | $37791 | $(1181) | (1181) | (1181) | $85 | 85 | 85 | (140) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> | <u>Variation Margin</u><sup>(1)</sup> |
| Description | Description | Description | Description | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| Euro-BTP March Futures  | Euro-BTP March Futures  | Euro-BTP March Futures  | Euro-BTP March Futures  | 03/2023 | 109 | 109 | $(12709) | $938 | 938 | 938 | $131 | 131 | 131 | (104) |
| Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | 03/2023 | 1426 | 1426 | (202912) | 12989 | 12989 | 12989 | 1618 | 1618 | 1618 | (717) |
| Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | Euro-Buxl 30-Year Bond March Futures  | 03/2023 | 85 | 85 | (12305) | 2215 | 2215 | 2215 | 318 | 318 | 318 | (55) |
| Euro-Oat March Futures  | Euro-Oat March Futures  | Euro-Oat March Futures  | Euro-Oat March Futures  | 03/2023 | 295 | 295 | (40199) | 3038 | 3038 | 3038 | 366 | 366 | 366 | (205) |
| Japan Government 10-Year Bond March Futures  | Japan Government 10-Year Bond March Futures  | Japan Government 10-Year Bond March Futures  | Japan Government 10-Year Bond March Futures  | 03/2023 | 240 | 240 | (266004) | 5046 | 5046 | 5046 | 366 | 366 | 366 | 0 |
| United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | 03/2023 | 49 | 49 | (5918) | 387 | 387 | 387 | 17 | 17 | 17 | (7) |
|  |  |  |  |  |  |  |  | 24613 | 24613 | $ | 2816 | 2816 | $ | (1088) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **23432** | **23432** | **$** | **2901** | **2901** | **$** | **(1228)** |

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------

<br> Consolidated Schedule of Investments PIMCO International Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date |  | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Asset | Asset | Liability |
| Receive<sup>(2)</sup> | Receive<sup>(2)</sup> | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 2.000% | Annual | Annual | 03/15/2033 | GBP | 23300 | 3437 | 3437 | 532 | 3969 | 14 | 14 | $0 |
| Receive<sup>(2)</sup> | Receive<sup>(2)</sup> | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 2.000 | Annual | Annual | 03/15/2053 |  | 9800 | 3014 | 3014 | 89 | 3103 | 16 | 16 | 0 |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.050 | Annual | Annual | 12/15/2031 | JPY | 8920000 | 3926 | 3926 | 806 | 4732 | 261 | 261 | 0 |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.750 | Semi-Annual | Semi-Annual | 03/20/2038 |  | 1000000 | 72 | 72 | 367 | 439 | 53 | 53 | 0 |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.500 | Annual | Annual | 03/15/2042 |  | 13613900 | 4251 | 4251 | 8616 | 12867 | 909 | 909 | 0 |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.800 | Annual | Annual | 06/15/2052 |  | 6450000 | 313 | 313 | 5975 | 6288 | 571 | 571 | 0 |
| Pay | Pay | 3-Month CAD-Bank Bill | 3-Month CAD-Bank Bill | 2.500 | Semi-Annual | Semi-Annual | 06/15/2032 | CAD | 16700 | (1534) | (1534) | 303 | (1231) | 0 | 0 | (36) |
| Pay | Pay | 3-Month NZD-BBR | 3-Month NZD-BBR | 3.750 | Semi-Annual | Semi-Annual | 06/15/2027 | NZD | 132500 | (999) | (999) | (2895) | (3894) | 179 | 179 | 0 |
| Pay<sup>(2)</sup> | Pay<sup>(2)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.580 | Annual | Annual | 05/24/2024 | EUR | 535500 | (4326) | (4326) | (6930) | (11256) | 0 | 0 | (36) |
| Pay<sup>(2)</sup> | Pay<sup>(2)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.500 | Annual | Annual | 03/15/2025 |  | 34100 | (570) | (570) | (826) | (1396) | 0 | 0 | (62) |
| Pay<sup>(2)</sup> | Pay<sup>(2)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.500 | Annual | Annual | 03/15/2028 |  | 98700 | (4019) | (4019) | (4515) | (8534) | 0 | 0 | (311) |
| Pay<sup>(2)</sup> | Pay<sup>(2)</sup> | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 1.750 | Annual | Annual | 03/15/2033 |  | 166700 | (21467) | (21467) | (562) | (22029) | 0 | 0 | (531) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **(17902)** | **$** | **960** | **$** | **2003** | **$** | **(976)** |
| **(e)** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $5,000 and cash of $28,528 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. | Unsettled variation margin liability of $(201) for closed futures is outstanding at period end. |
| <sup>(2)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(f)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 01/2023  | 01/2023  | EUR | 2097 | 2097 | 2097 | $2212 | 2212 | 2212 | 0 | 0 | (34) | (34) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $922 | 922 | 922 | 760 | 760 | 760 | 0 | 0 | (3) | (3) |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 03/2023  | 03/2023  | 03/2023  | MXN | 4650 | 4650 | 4650 | $231 | 231 | 231 | 0 | 0 | (5) | (5) |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 01/2023  | 01/2023  | 01/2023  | $ | $316 | 316 | 316 | 295 | 295 | 295 | 0 | 0 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 214 | 214 | 214 | 288 | 288 | 288 | 1 | 1 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 01/2023  | 01/2023  | NZD | 1557 | 1557 | 1557 | $991 | 991 | 991 | 2 | 2 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $3740 | 3740 | 3740 | 3530 | 3530 | 3530 | 40 | 40 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 1027 | 1027 | 1027 | 136600 | 136600 | 136600 | 15 | 15 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 01/2023  | 01/2023  | 01/2023  | CAD | 180 | 180 | 180 | $132 | 132 | 132 | 0 | 0 | (1) | (1) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | GBP | 6156 | 6156 | 6156 | 7434 | 7434 | 7434 | 0 | 0 | (10) | (10) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $569 | 569 | 569 | 889 | 889 | 889 | 0 | 0 | (5) | (5) |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 01/2023  | 01/2023  | AUD | 3097 | 3097 | 3097 | $2076 | 2076 | 2076 | 0 | 0 | (33) | (33) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | CAD | 167 | 167 | 167 | 123 | 123 | 123 | 0 | 0 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | DKK | 4570 | 4570 | 4570 | 639 | 639 | 639 | 0 | 0 | (19) | (19) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | JPY | 391830 | 391830 | 391830 | 2855 | 2855 | 2855 | 0 | 0 | (132) | (132) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | NZD | 1073 | 1073 | 1073 | 677 | 677 | 677 | 0 | 0 | (4) | (4) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $503 | 503 | 503 | 686 | 686 | 686 | 4 | 4 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 4446 | 4446 | 4446 | 4221 | 4221 | 4221 | 74 | 74 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 5326 | 5326 | 5326 | 4367 | 4367 | 4367 | 0 | 0 | (46) | (46) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 5090 | 5090 | 5090 | 671800 | 671800 | 671800 | 33 | 33 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RBC | &nbsp;&nbsp;&nbsp;&nbsp; RBC | &nbsp;&nbsp;&nbsp;&nbsp; RBC | 01/2023  | 01/2023  | 01/2023  | AUD | 1131 | 1131 | 1131 | $758 | 758 | 758 | 0 | 0 | (12) | (12) |
| &nbsp;&nbsp;&nbsp;&nbsp; RYL | &nbsp;&nbsp;&nbsp;&nbsp; RYL | &nbsp;&nbsp;&nbsp;&nbsp; RYL | 01/2023  | 01/2023  | 01/2023  | $ | $531 | 531 | 531 | 71000 | 71000 | 71000 | 10 | 10 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  | 01/2023  | AUD | 1176 | 1176 | 1176 | $793 | 793 | 793 | 0 | 0 | (9) | (9) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | CAD | 3627 | 3627 | 3627 | 2699 | 2699 | 2699 | 21 | 21 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | NZD | 3684 | 3684 | 3684 | 2295 | 2295 | 2295 | 0 | 0 | (44) | (44) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | 01/2023  | 01/2023  | 01/2023  | AUD | 5408 | 5408 | 5408 | 3650 | 3650 | 3650 | 0 | 0 | (33) | (33) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | CAD | 9219 | 9219 | 9219 | 6858 | 6858 | 6858 | 49 | 49 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 01/2023  | 01/2023  | 01/2023  |  | 198 | 198 | 198 | 145 | 145 | 145 | 0 | 0 | (1) | (1) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $726 | 726 | 726 | 586 | 586 | 586 | 0 | 0 | (17) | (17) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **249** | **$** | **(408)** | **(408)** |

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<br> Consolidated Schedule of Investments PIMCO International Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Canada | Canada | Canada | Canada | Canada |
| Sovereign Issues | $0 | $6911 | $0 | $6911 |
| United States | United States | United States | United States | United States |
| Asset-Backed Securities | 0 | 5733 | 0 | 5733 |
| Non-Agency Mortgage-Backed Securities | 0 | 9916 | 0 | 9916 |
| U.S. Government Agencies | 0 | 1167 | 0 | 1167 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | 0 | 440691 | 0 | 440691 |
| Short-Term Notes | 0 | 19600 | 0 | 19600 |
| U.S. Treasury Bills | 0 | 23966 | 0 | 23966 |
|  | $0 | $507984 | $0 | $507984 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | $98057 | $0 | $0 | $98057 |
| Total Investments | $98057 | $507984 | $0 | $606041 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 2901 | 2003 | 0 | 4904 |
| Over the counter | 0 | 249 | 0 | 249 |
|  | $2901 | $2252 | $0 | $5153 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | (1228) | (976) | 0 | (2204) |
| Over the counter | 0 | (408) | 0 | (408) |
|  | $(1228) | $(1384) | $0 | $(2612) |
| Total Financial Derivative Instruments | $1673 | $868 | $0 | $2541 |
| Totals | $99730 | $508852 | $0 | $608582 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 98.4% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 0.4%**  |  |  |
| **Avolon TLB Borrower 1 (U.S.) LLC**<br>6.603% (LIBOR01M + 2.250%) due 12/01/2027 ~ | $1576 | $1575 |
| **Carnival Corp.**<br>7.384% (LIBOR01M + 3.000%) due 06/30/2025 ~ | 3619 | 3480 |
| **Castlelake LP**<br>2.950% (LIBOR03M + 2.950%) due 05/13/2031 «~ | 7118 | 6442 |
| **CenturyLink, Inc.**<br>6.634% (LIBOR01M + 2.250%) due 03/15/2027 ~ | 1218 | 1159 |
| **Marriott Ownership Resorts, Inc.**<br>6.134% (LIBOR01M + 1.750%) due 08/29/2025 ~ | 257 | 255 |
| Total Loan Participations and Assignments (Cost $13,705) |  | 12911 |
| **CORPORATE BONDS & NOTES 78.1%**  |  |  |
| **BANKING & FINANCE 41.5%**  |  |  |
| **ABN AMRO Bank NV** <br>4.750% due 07/28/2025 | 2300 | 2233 |
| **AerCap Ireland Capital DAC**  |  |  |
| 1.750% due 10/29/2024  | 7700 | 7086 |
| 3.650% due 07/21/2027  | 300 | 272 |
| 4.450% due 04/03/2026  | 10275 | 9819 |
| 4.875% due 01/16/2024  | 2500 | 2477 |
| **Agree LP** <br>2.900% due 10/01/2030 | 3400 | 2769 |
| **AIA Group Ltd.**  |  |  |
| 3.200% due 03/11/2025  | 540 | 518 |
| 3.900% due 04/06/2028  | 540 | 508 |
| **Air Lease Corp.** <br>3.000% due 09/15/2023 | 2800 | 2753 |
| **Aircastle Ltd.** <br>2.850% due 01/26/2028 | 8600 | 7047 |
| **Alexandria Real Estate Equities, Inc.**  |  |  |
| 2.950% due 03/15/2034  | 1300 | 1058 |
| 3.375% due 08/15/2031  | 1600 | 1401 |
| 3.450% due 04/30/2025  | 300 | 290 |
| 3.950% due 01/15/2028  | 300 | 282 |
| 4.900% due 12/15/2030  | 6420 | 6271 |
| **Ally Financial, Inc.** <br>8.000% due 11/01/2031 | 6050 | 6262 |
| **American Assets Trust LP** <br>3.375% due 02/01/2031 | 6900 | 5489 |
| **American Homes 4 Rent LP**  |  |  |
| 4.250% due 02/15/2028  | 2000 | 1853 |
| 4.900% due 02/15/2029  | 400 | 379 |
| **American International Group, Inc.** <br>3.875% due 01/15/2035 | 1000 | 878 |
| **American Tower Corp.**  |  |  |
| 1.300% due 09/15/2025  | 2100 | 1898 |
| 2.700% due 04/15/2031  | 4000 | 3266 |
| 2.750% due 01/15/2027  | 13800 | 12529 |
| 3.950% due 03/15/2029  | 3052 | 2820 |
| **Antares Holdings LP**  |  |  |
| 2.750% due 01/15/2027  | 6000 | 4814 |
| 3.750% due 07/15/2027  | 6100 | 4940 |
| 3.950% due 07/15/2026  | 5400 | 4677 |
| **Arch Capital Group Ltd.** <br>3.635% due 06/30/2050 | 1235 | 857 |
| **Ares Capital Corp.** <br>2.875% due 06/15/2027 | 5000 | 4245 |
| **Ares Finance Co. LLC** <br>4.125% due 06/30/2051 •  | 100 | 76 |
| **Aviation Capital Group LLC**  |  |  |
| 3.500% due 11/01/2027  | 3100 | 2712 |
| 4.125% due 08/01/2025  | 943 | 881 |
| 4.375% due 01/30/2024  | 5527 | 5391 |
| 4.875% due 10/01/2025  | 1500 | 1415 |
| **Avolon Holdings Funding Ltd.**  |  |  |
| 2.528% due 11/18/2027  | 21478 | 17199 |
| 3.950% due 07/01/2024  | 4500 | 4310 |
| 4.250% due 04/15/2026  | 1573 | 1428 |
| 5.250% due 05/15/2024  | 1786 | 1751 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Banco** **Bilbao Vizcaya Argentaria SA** <br>0.875% due 09/18/2023 | 14500 | 14046 |
| **Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa** <br>4.375% due 04/11/2027 | 1700 | 1605 |
| **Bangkok Bank PCL** <br>3.466% due 09/23/2036 •  | 200 | 157 |
| **Bank of America Corp.**  |  |  |
| 1.319% due 06/19/2026 •  | 15000 | 13521 |
| 1.486% due 05/19/2024 •  | 1950 | 1920 |
| 1.898% due 07/23/2031 •  | 3200 | 2463 |
| 1.922% due 10/24/2031 •  | 4000 | 3064 |
| 2.299% due 07/21/2032 •  | 1200 | 927 |
| 2.572% due 10/20/2032 •  | 200 | 157 |
| 3.824% due 01/20/2028 •  | 5000 | 4673 |
| 4.571% due 04/27/2033 •  | 1800 | 1652 |
| 5.015% due 07/22/2033 •  | 900 | 857 |
| 5.285% (US0003M + 0.960%) due 07/23/2024 ~  | 3600 | 3601 |
| **Bank of Ireland Group PLC** <br>6.253% due 09/16/2026 •  | 3300 | 3276 |
| **Bank of Nova Scotia** <br>4.376% (SOFRRATE + 0.380%) due 07/31/2024 ~ | 7000 | 6927 |
| **Banque Federative du Credit Mutuel SA** <br>0.650% due 02/27/2024 | 1480 | 1402 |
| **Barclays PLC**  |  |  |
| 2.645% due 06/24/2031 •  | 14600 | 11422 |
| 4.338% due 05/16/2024 •  | 700 | 695 |
| 4.375% due 01/12/2026  | 5500 | 5328 |
| 5.088% due 06/20/2030 •  | 2800 | 2585 |
| 5.200% due 05/12/2026  | 1300 | 1266 |
| 6.024% (US0003M + 1.380%) due 05/16/2024 ~  | 26243 | 26244 |
| **BGC Partners, Inc.**  |  |  |
| 4.375% due 12/15/2025  | 6200 | 5816 |
| 5.375% due 07/24/2023  | 11500 | 11448 |
| **Blackstone Holdings Finance Co. LLC**  |  |  |
| 1.600% due 03/30/2031  | 800 | 583 |
| 1.625% due 08/05/2028  | 7200 | 5874 |
| 2.500% due 01/10/2030  | 1200 | 977 |
| **Blackstone Private Credit Fund** <br>2.350% due 11/22/2024 | 4100 | 3755 |
| **Blue Owl Finance LLC**  |  |  |
| 3.125% due 06/10/2031  | 100 | 74 |
| 4.125% due 10/07/2051  | 2300 | 1361 |
| **BNP Paribas SA**  |  |  |
| 2.219% due 06/09/2026 •  | 18600 | 17094 |
| 2.591% due 01/20/2028 •  | 5000 | 4404 |
| 4.705% due 01/10/2025 •  | 14800 | 14658 |
| 6.625% due 03/25/2024 •(e)  | 5250 | 5091 |
| **BPCE SA**  |  |  |
| 4.500% due 03/15/2025  | 3700 | 3557 |
| 4.625% due 07/11/2024  | 3000 | 2921 |
| **Brandywine Operating Partnership LP** <br>3.950% due 11/15/2027 | 100 | 84 |
| **Brookfield Finance, Inc.** <br>3.900% due 01/25/2028 | 2300 | 2113 |
| **Canadian Imperial Bank of Commerce** <br>4.706% (SOFRRATE + 0.400%) due 12/14/2023 ~ | 12290 | 12250 |
| **Cantor Fitzgerald LP** <br>4.500% due 04/14/2027 | 700 | 650 |
| **Carlyle Finance LLC** <br>5.650% due 09/15/2048 | 150 | 134 |
| **CI Financial Corp.**  |  |  |
| 3.200% due 12/17/2030  | 2100 | 1597 |
| 4.100% due 06/15/2051  | 1500 | 889 |
| **Citibank NA** <br>3.650% due 01/23/2024 | 500 | 493 |
| **Citigroup, Inc.**  |  |  |
| 3.057% due 01/25/2033 •(g)  | 5000 | 4048 |
| 3.668% due 07/24/2028 •  | 9 | 8 |
| 5.750% (US0003M + 1.100%) due 05/17/2024 ~  | 1000 | 1002 |
| 6.270% due 11/17/2033 •(g)  | 4600 | 4760 |
| **Citizens Bank NA**  |  |  |
| 2.250% due 04/28/2025  | 1000 | 932 |
| 3.750% due 02/18/2026  | 1170 | 1123 |
| **CK Hutchison International Ltd.** <br>3.250% due 04/11/2024 | 600 | 586 |
| **Corporate Office Properties LP** <br>2.250% due 03/15/2026 | 5600 | 4917 |
| **Credit Agricole SA** <br>4.125% due 01/10/2027 | 9800 | 9318 |
| **Credit Suisse AG**  |  |  |
| 3.625% due 09/09/2024  | 2600 | 2426 |
| 6.500% due 08/08/2023 (f)  | 30688 | 29789 |
| **Credit Suisse Group AG**  |  |  |
| 2.593% due 09/11/2025 •  | 13300 | 11766 |
| 3.091% due 05/14/2032 •  | 11600 | 8038 |
| 3.750% due 03/26/2025  | 13650 | 12296 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.869% due 01/12/2029 •  | 2200 | 1767 |
| 4.207% due 06/12/2024 •  | 1600 | 1560 |
| 4.550% due 04/17/2026  | 600 | 530 |
| 5.975% (US0003M + 1.240%) due 06/12/2024 ~  | 1000 | 947 |
| 6.442% due 08/11/2028 •  | 2900 | 2645 |
| 6.537% due 08/12/2033 •  | 550 | 484 |
| **Crown Castle, Inc.** <br>2.100% due 04/01/2031 | 200 | 158 |
| **CubeSmart LP**  |  |  |
| 3.000% due 02/15/2030  | 2100 | 1753 |
| 3.125% due 09/01/2026  | 2600 | 2391 |
| 4.000% due 11/15/2025  | 2183 | 2099 |
| 4.375% due 02/15/2029  | 7650 | 7072 |
| **DAE Sukuk Difc Ltd.** <br>3.750% due 02/15/2026 | 7900 | 7514 |
| **Deutsche Bank AG**  |  |  |
| 2.222% due 09/18/2024 •  | 55100 | 53232 |
| 3.547% due 09/18/2031 •  | 2100 | 1688 |
| 3.961% due 11/26/2025 •  | 1800 | 1721 |
| **Discover Bank** <br>4.200% due 08/08/2023 | 4460 | 4432 |
| **Doctors Co. An Interinsurance Exchange** <br>4.500% due 01/18/2032 | 5200 | 4191 |
| **EPR Properties**  |  |  |
| 3.600% due 11/15/2031  | 200 | 145 |
| 3.750% due 08/15/2029  | 2000 | 1570 |
| 4.500% due 04/01/2025  | 3500 | 3323 |
| 4.500% due 06/01/2027  | 300 | 263 |
| 4.750% due 12/15/2026  | 8200 | 7379 |
| 4.950% due 04/15/2028  | 700 | 598 |
| **Equitable Financial Life Global Funding** <br>1.800% due 03/08/2028 | 7000 | 5834 |
| **Essex Portfolio LP**  |  |  |
| 3.000% due 01/15/2030  | 4200 | 3561 |
| 3.375% due 04/15/2026  | 820 | 772 |
| 3.875% due 05/01/2024  | 2890 | 2831 |
| **Extra Space Storage LP** <br>2.350% due 03/15/2032 | 1600 | 1215 |
| **Fairfax Financial Holdings Ltd.** <br>4.625% due 04/29/2030 | 4300 | 3911 |
| **Federal Realty Investment Trust**  |  |  |
| 3.250% due 07/15/2027  | 2500 | 2301 |
| 3.500% due 06/01/2030  | 1693 | 1453 |
| **Fidelity National Financial, Inc.** <br>2.450% due 03/15/2031 | 900 | 689 |
| **First American Financial Corp.**  |  |  |
| 2.400% due 08/15/2031  | 2268 | 1663 |
| 4.300% due 02/01/2023  | 4297 | 4293 |
| **FMR LLC**  |  |  |
| 4.950% due 02/01/2033  | 1600 | 1490 |
| 5.150% due 02/01/2043  | 300 | 265 |
| **Ford Motor Credit Co. LLC** <br>5.584% due 03/18/2024 | 13300 | 13154 |
| **FS KKR Capital Corp.**  |  |  |
| 1.650% due 10/12/2024  | 7100 | 6413 |
| 2.625% due 01/15/2027  | 100 | 84 |
| **GA Global Funding Trust**  |  |  |
| 1.625% due 01/15/2026  | 1500 | 1333 |
| 3.850% due 04/11/2025  | 2000 | 1916 |
| **General Motors Financial Co., Inc.** <br>4.738% (US0003M + 0.990%) due 01/05/2023 ~ | 130 | 130 |
| **Global Atlantic Fin Co.** <br>4.400% due 10/15/2029 | 200 | 168 |
| **GLP Capital LP**  |  |  |
| 3.350% due 09/01/2024  | 2380 | 2285 |
| 4.000% due 01/15/2030  | 2700 | 2369 |
| 4.000% due 01/15/2031  | 6200 | 5329 |
| 5.300% due 01/15/2029  | 2800 | 2655 |
| 5.375% due 11/01/2023  | 2600 | 2595 |
| 5.375% due 04/15/2026  | 100 | 98 |
| 5.750% due 06/01/2028  | 1200 | 1182 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 3.800% due 03/15/2030  | 100 | 90 |
| 5.776% (US0003M + 1.170%) due 05/15/2026 ~  | 5000 | 4969 |
| 6.162% (SOFRRATE + 1.850%) due 03/15/2028 ~  | 600 | 591 |
| **Golub Capital BDC, Inc.** <br>2.050% due 02/15/2027 | 3400 | 2769 |
| **Goodman HK Finance** <br>4.375% due 06/19/2024 | 900 | 880 |
| **Goodman U.S. Finance Four LLC** <br>4.500% due 10/15/2037 | 2125 | 1787 |
| **Goodman U.S. Finance Three LLC** <br>3.700% due 03/15/2028 | 15600 | 14104 |
| **Growthpoint Properties International Pty. Ltd.** <br>5.872% due 05/02/2023 | 1900 | 1893 |

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<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Guardian** **Life Global Funding**  |  |  |
| 1.625% due 09/16/2028  | 100 | 84 |
| 2.900% due 05/06/2024  | 3100 | 3012 |
| **Hanover Insurance Group, Inc.** <br>2.500% due 09/01/2030 | 1500 | 1156 |
| **Healthcare Realty Holdings LP** <br>3.875% due 05/01/2025 | 160 | 153 |
| **Healthpeak Properties, Inc.** <br>2.875% due 01/15/2031 | 100 | 84 |
| **Highwoods Realty LP**  |  |  |
| 2.600% due 02/01/2031  | 1000 | 750 |
| 3.050% due 02/15/2030  | 3500 | 2796 |
| **Host Hotels & Resorts LP**  |  |  |
| 3.375% due 12/15/2029  | 3700 | 3101 |
| 3.500% due 09/15/2030  | 1700 | 1407 |
| 4.000% due 06/15/2025  | 400 | 385 |
| **HSBC Holdings PLC**  |  |  |
| 2.013% due 09/22/2028 •  | 1200 | 1005 |
| 2.099% due 06/04/2026 •  | 4700 | 4281 |
| 2.848% due 06/04/2031 •  | 500 | 400 |
| 4.600% due 12/17/2030 •(e)  | 4100 | 3200 |
| 4.700% due 03/09/2031 •(e)  | 5900 | 4690 |
| 5.696% (SOFRRATE + 1.430%) due 03/10/2026 ~  | 2000 | 1976 |
| 6.500% due 09/15/2037  | 500 | 483 |
| **Hudson Pacific Properties LP**  |  |  |
| 3.250% due 01/15/2030  | 1100 | 836 |
| 3.950% due 11/01/2027  | 7700 | 6563 |
| 4.650% due 04/01/2029  | 3600 | 3082 |
| **Indian Railway Finance Corp. Ltd.** <br>3.249% due 02/13/2030 | 2400 | 2078 |
| **ING Groep NV**  |  |  |
| 3.875% due 05/16/2027 •(e)(f)  | 200 | 147 |
| 4.250% due 05/16/2031 •(e)(f)  | 5800 | 3995 |
| 5.754% (US0003M + 1.000%) due 10/02/2023 ~  | 3330 | 3339 |
| **Intesa Sanpaolo SpA**  |  |  |
| 3.250% due 09/23/2024  | 3200 | 3037 |
| 5.017% due 06/26/2024  | 1660 | 1597 |
| **Invitation Homes Operating Partnership LP**  |  |  |
| 2.000% due 08/15/2031  | 4421 | 3277 |
| 2.300% due 11/15/2028  | 1800 | 1492 |
| **Jackson National Life Global Funding** <br>3.050% due 04/29/2026 | 440 | 411 |
| **JPMorgan Chase & Co.**  |  |  |
| 1.514% due 06/01/2024 •  | 5000 | 4919 |
| 1.764% due 11/19/2031 •  | 1500 | 1140 |
| 2.301% due 10/15/2025 •  | 5100 | 4809 |
| 2.545% due 11/08/2032 •  | 7800 | 6185 |
| 2.580% due 04/22/2032 •  | 1100 | 884 |
| 2.947% due 02/24/2028 •  | 600 | 544 |
| 4.778% (SOFRRATE + 0.885%) due 04/22/2027 ~  | 1000 | 979 |
| 5.215% (US0003M + 0.890%) due 07/23/2024 ~  | 7590 | 7602 |
| 5.274% (SOFRRATE + 1.320%) due 04/26/2026 ~  | 4300 | 4263 |
| 5.546% due 12/15/2025 •  | 1900 | 1901 |
| 8.750% due 09/01/2030  | 75 | 88 |
| **Kilroy Realty LP**  |  |  |
| 3.050% due 02/15/2030  | 7533 | 6042 |
| 4.375% due 10/01/2025  | 4300 | 4172 |
| 4.750% due 12/15/2028  | 300 | 273 |
| **LeasePlan Corp. NV** <br>2.875% due 10/24/2024 | 3400 | 3193 |
| **Legg Mason, Inc.** <br>5.625% due 01/15/2044 | 1000 | 979 |
| **Life Storage LP**  |  |  |
| 3.875% due 12/15/2027  | 2700 | 2503 |
| 4.000% due 06/15/2029  | 1475 | 1325 |
| **Lloyds Bank PLC** <br>0.000% due 04/02/2032 þ | 2400 | 1469 |
| **Lloyds Banking Group PLC**  |  |  |
| 0.695% due 05/11/2024 •  | 1800 | 1766 |
| 3.750% due 01/11/2027  | 12600 | 11738 |
| 4.450% due 05/08/2025  | 16700 | 16395 |
| 4.550% due 08/16/2028  | 1600 | 1508 |
| **Loews Corp.** <br>3.200% due 05/15/2030 | 2900 | 2564 |
| **LXP Industrial Trust** <br>2.700% due 09/15/2030 | 2400 | 1918 |
| **Macquarie Group Ltd.** <br>1.935% due 04/14/2028 •  | 1000 | 847 |
| **MassMutual Global Funding**  |  |  |
| 0.480% due 08/28/2023  | 800 | 777 |
| 2.750% due 06/22/2024  | 700 | 676 |
| **Meiji Yasuda Life Insurance Co.** <br>5.100% due 04/26/2048 •  | 600 | 576 |
| **Metropolitan Life Global Funding** <br>4.623% (SOFRRATE + 0.300%) due 09/27/2024 ~ | 550 | 544 |

---

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<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Mid** **-America Apartments LP**  |  |  |
| 1.100% due 09/15/2026  | 4600 | 3984 |
| 3.750% due 06/15/2024  | 1000 | 980 |
| 3.950% due 03/15/2029  | 2747 | 2584 |
| 4.200% due 06/15/2028  | 3500 | 3326 |
| **Mitsubishi HC Capital, Inc.** <br>3.559% due 02/28/2024 | 340 | 332 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 1.412% due 07/17/2025  | 12000 | 10908 |
| 2.494% due 10/13/2032 •  | 3100 | 2423 |
| 4.080% due 04/19/2028 •  | 600 | 567 |
| 5.063% due 09/12/2025 •  | 5200 | 5166 |
| 5.354% due 09/13/2028 •  | 1100 | 1093 |
| **Mizuho Financial Group Cayman Ltd.** <br>4.600% due 03/27/2024 (f) | 5850 | 5748 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 1.241% due 07/10/2024 •  | 16600 | 16201 |
| 2.869% due 09/13/2030 •  | 800 | 671 |
| 4.899% (US0003M + 0.990%) due 07/10/2024 ~  | 800 | 798 |
| 5.345% (US0003M + 0.610%) due 09/08/2024 ~  | 5000 | 4969 |
| 5.387% (US0003M + 0.630%) due 05/25/2024 ~  | 12600 | 12532 |
| **Morgan Stanley**  |  |  |
| 5.132% (SOFRRATE + 0.950%) due 02/18/2026 ~  | 2500 | 2462 |
| 5.770% (US0003M + 1.220%) due 05/08/2024 ~  | 5300 | 5310 |
| **Morgan Stanley Direct Lending Fund** <br>4.500% due 02/11/2027 | 2000 | 1850 |
| **Morgan Stanley Domestic Holdings, Inc.** <br>4.500% due 06/20/2028 | 1700 | 1656 |
| **MPT Operating Partnership LP**  |  |  |
| 3.500% due 03/15/2031  | 100 | 69 |
| 4.625% due 08/01/2029  | 2600 | 1987 |
| **National Health Investors, Inc.** <br>3.000% due 02/01/2031 | 2600 | 1880 |
| **National Securities Clearing Corp.** <br>0.750% due 12/07/2025 | 600 | 532 |
| **Nationwide Building Society**  |  |  |
| 3.766% due 03/08/2024 •  | 2465 | 2452 |
| 3.960% due 07/18/2030 •  | 8500 | 7376 |
| 4.302% due 03/08/2029 •  | 12200 | 11028 |
| 4.363% due 08/01/2024 •  | 9400 | 9279 |
| **Nationwide Financial Services, Inc.** <br>3.900% due 11/30/2049 | 1900 | 1332 |
| **Nationwide Mutual Insurance Co.** <br>9.375% due 08/15/2039 | 100 | 129 |
| **NatWest Group PLC**  |  |  |
| 4.269% due 03/22/2025 •  | 16389 | 16034 |
| 4.800% due 04/05/2026  | 500 | 490 |
| 5.076% due 01/27/2030 •  | 23000 | 21713 |
| 6.274% (US0003M + 1.550%) due 06/25/2024 ~  | 8200 | 8203 |
| **NatWest Markets PLC** <br>5.083% (SOFRRATE + 0.760%) due 09/29/2026 ~ | 2100 | 2007 |
| **Neuberger Berman Group LLC** <br>4.500% due 03/15/2027 | 884 | 842 |
| **Nippon Life Insurance Co.** <br>2.750% due 01/21/2051 •  | 200 | 161 |
| **Nissan Motor Acceptance Co. LLC**  |  |  |
| 1.050% due 03/08/2024  | 16000 | 14994 |
| 2.750% due 03/09/2028  | 200 | 162 |
| 3.875% due 09/21/2023  | 3700 | 3633 |
| **Nomura Holdings, Inc.**  |  |  |
| 1.653% due 07/14/2026  | 10300 | 8976 |
| 1.851% due 07/16/2025  | 4900 | 4471 |
| 2.679% due 07/16/2030  | 5000 | 4009 |
| 3.103% due 01/16/2030  | 3200 | 2676 |
| **Nordea Bank Abp** <br>5.675% (US0003M + 0.940%) due 08/30/2023 ~ | 1100 | 1101 |
| **Omega Healthcare Investors, Inc.**  |  |  |
| 4.375% due 08/01/2023  | 1346 | 1339 |
| 4.500% due 04/01/2027  | 2650 | 2486 |
| **Owl Rock Capital Corp.** <br>2.875% due 06/11/2028 | 2600 | 2046 |
| **Pacific Life Global Funding II**  |  |  |
| 1.600% due 09/21/2028  | 4900 | 3974 |
| 4.867% (SOFRRATE + 0.620%) due 06/04/2026 ~  | 1700 | 1633 |
| **Pacific Life Insurance Co.** <br>9.250% due 06/15/2039 | 600 | 795 |
| **Pacific LifeCorp** <br>3.350% due 09/15/2050 | 1000 | 683 |
| **Park Aerospace Holdings Ltd.**  |  |  |
| 4.500% due 03/15/2023  | 790 | 788 |
| 5.500% due 02/15/2024  | 191 | 189 |
| **Physicians Realty LP**  |  |  |
| 3.950% due 01/15/2028  | 1800 | 1647 |
| 4.300% due 03/15/2027  | 2575 | 2432 |
| **PNC Financial Services Group, Inc.** <br>6.000% due 05/15/2027 •(e) | 6500 | 6139 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Pricoa** **Global Funding** <br>0.800% due 09/01/2025 | 1530 | 1370 |
| **Principal Life Global Funding** <br>1.250% due 06/23/2025 | 1000 | 910 |
| **Prologis LP** <br>4.375% due 02/01/2029 | 800 | 765 |
| **Protective Life Global Funding**  |  |  |
| 1.170% due 07/15/2025  | 1500 | 1352 |
| 1.737% due 09/21/2030  | 4800 | 3665 |
| **Rayonier LP** <br>2.750% due 05/17/2031 | 4873 | 3927 |
| **Regency Centers LP** <br>2.950% due 09/15/2029 | 1800 | 1514 |
| **Rexford Industrial Realty LP** <br>2.125% due 12/01/2030 | 200 | 157 |
| **Sabra Health Care LP**  |  |  |
| 3.200% due 12/01/2031  | 2950 | 2202 |
| 3.900% due 10/15/2029  | 2300 | 1929 |
| **Santander Holdings USA, Inc.**  |  |  |
| 3.244% due 10/05/2026  | 8220 | 7640 |
| 3.450% due 06/02/2025  | 6500 | 6200 |
| 5.807% due 09/09/2026 •  | 500 | 497 |
| **Santander U.K. Group Holdings PLC**  |  |  |
| 2.896% due 03/15/2032 •  | 3000 | 2325 |
| 3.373% due 01/05/2024 •  | 800 | 800 |
| 3.823% due 11/03/2028 •  | 500 | 448 |
| 4.750% due 09/15/2025  | 3800 | 3624 |
| 4.796% due 11/15/2024 •  | 1100 | 1082 |
| **Santander U.K. PLC**  |  |  |
| 2.875% due 06/18/2024  | 5500 | 5314 |
| 5.000% due 11/07/2023  | 573 | 575 |
| **SBA Tower Trust** <br>1.631% due 05/15/2051 | 15600 | 13272 |
| **Sberbank of Russia Via SB Capital SA** <br>5.250% due 05/23/2023 ^(b)(f) | 1100 | 148 |
| **SMBC Aviation Capital Finance DAC**  |  |  |
| 3.550% due 04/15/2024  | 4955 | 4792 |
| 4.125% due 07/15/2023  | 4200 | 4157 |
| **Societe Generale SA**  |  |  |
| 1.792% due 06/09/2027 •  | 9800 | 8443 |
| 4.934% (SOFRRATE + 1.050%) due 01/21/2026 ~  | 1200 | 1159 |
| 6.221% due 06/15/2033 •  | 4500 | 4221 |
| **Spirit Realty LP**  |  |  |
| 2.100% due 03/15/2028  | 5100 | 4167 |
| 3.200% due 02/15/2031  | 1300 | 1041 |
| 4.000% due 07/15/2029  | 1700 | 1479 |
| **Standard Chartered PLC**  |  |  |
| 0.991% due 01/12/2025 •  | 6500 | 6144 |
| 2.678% due 06/29/2032 •  | 200 | 151 |
| **Stellantis Finance U.S., Inc.** <br>1.711% due 01/29/2027 | 2500 | 2149 |
| **Stifel Financial Corp.** <br>4.000% due 05/15/2030 | 100 | 87 |
| **STORE Capital Corp.**  |  |  |
| 2.750% due 11/18/2030  | 1000 | 770 |
| 4.625% due 03/15/2029  | 1500 | 1347 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 1.474% due 07/08/2025  | 14300 | 13043 |
| 1.902% due 09/17/2028  | 9700 | 8010 |
| **Sumitomo Mitsui Trust Bank Ltd.** <br>0.800% due 09/12/2023 | 4600 | 4463 |
| **Sun Communities Operating LP**  |  |  |
| 2.700% due 07/15/2031  | 100 | 79 |
| 4.200% due 04/15/2032  | 1900 | 1679 |
| **SVB Financial Group** <br>4.345% due 04/29/2028 •  | 2300 | 2178 |
| **Teachers Insurance & Annuity Association of America** <br>4.375% due 09/15/2054 •  | 2800 | 2680 |
| **Texas Capital Bancshares, Inc.** <br>4.000% due 05/06/2031 •  | 1040 | 924 |
| **Trust Fibra Uno** <br>4.869% due 01/15/2030 | 4500 | 3872 |
| **Trustage Financial Group, Inc.** <br>4.625% due 04/15/2032 | 9600 | 8305 |
| **UBS AG** <br>4.475% (SOFRRATE + 0.360%) due 02/09/2024 ~ | 11800 | 11746 |
| **UBS Group AG**  |  |  |
| 2.095% due 02/11/2032 •  | 200 | 151 |
| 2.746% due 02/11/2033 •  | 900 | 698 |
| 4.375% due 02/10/2031 •(e)  | 1700 | 1296 |
| 4.875% due 02/12/2027 •(e)  | 1400 | 1190 |
| **UDR, Inc.**  |  |  |
| 3.000% due 08/15/2031  | 8590 | 7185 |
| 3.100% due 11/01/2034  | 2200 | 1673 |
| 3.200% due 01/15/2030  | 2700 | 2349 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **UniCredit** **SpA**  |  |  |
| 5.459% due 06/30/2035 •  | 8800 | 7167 |
| 7.296% due 04/02/2034 •  | 6509 | 5977 |
| 7.830% due 12/04/2023  | 14800 | 14957 |
| **Unum Group** <br>3.875% due 11/05/2025 | 4760 | 4551 |
| **Vonovia Finance BV** <br>5.000% due 10/02/2023 | 6055 | 5975 |
| **WEA Finance LLC** <br>3.750% due 09/17/2024 | 6950 | 6573 |
| **Wells Fargo & Co.** <br>3.526% due 03/24/2028 •  | 4300 | 3990 |
| **Wells Fargo Bank NA** <br>6.600% due 01/15/2038 | 720 | 781 |
| **Weyerhaeuser Co.** <br>4.000% due 04/15/2030 | 12500 | 11411 |
| **WP Carey, Inc.**  |  |  |
| 4.000% due 02/01/2025  | 5200 | 5071 |
| 4.250% due 10/01/2026  | 2900 | 2797 |
|  |  | 1259245 |
| **INDUSTRIALS 26.8%**  |  |  |
| **AbbVie, Inc.**  |  |  |
| 2.950% due 11/21/2026  | 1100 | 1025 |
| 3.200% due 11/21/2029  | 3480 | 3145 |
| 4.050% due 11/21/2039  | 4400 | 3785 |
| 4.550% due 03/15/2035  | 1100 | 1033 |
| **Adani Transmission Step-One Ltd.** <br>4.000% due 08/03/2026 | 1600 | 1429 |
| **Air Canada Pass-Through Trust** <br>3.300% due 07/15/2031 | 3817 | 3268 |
| **Alaska Airlines Pass-Through Trust** <br>4.800% due 02/15/2029 | 5354 | 5106 |
| **Alcon Finance Corp.** <br>2.600% due 05/27/2030 | 7700 | 6559 |
| **Alibaba Group Holding Ltd.**  |  |  |
| 2.125% due 02/09/2031  | 200 | 160 |
| 2.700% due 02/09/2041  | 700 | 449 |
| 3.150% due 02/09/2051  | 200 | 125 |
| 4.500% due 11/28/2034  | 6750 | 6083 |
| **Allegion PLC** <br>3.500% due 10/01/2029 | 3000 | 2591 |
| **American Airlines Pass-Through Trust**  |  |  |
| 2.875% due 01/11/2036  | 100 | 81 |
| 3.000% due 04/15/2030  | 4691 | 4075 |
| 3.150% due 08/15/2033  | 4868 | 4042 |
| 3.350% due 04/15/2031  | 6959 | 6025 |
| 3.375% due 11/01/2028  | 751 | 628 |
| 3.575% due 07/15/2029  | 1786 | 1598 |
| 3.600% due 03/22/2029  | 3937 | 3539 |
| 3.700% due 04/01/2028  | 432 | 373 |
| **Amgen, Inc.** <br>4.050% due 08/18/2029 | 400 | 375 |
| **AP Moller - Maersk AS** <br>3.875% due 09/28/2025 | 1430 | 1380 |
| **Arrow Electronics, Inc.** <br>4.500% due 03/01/2023 | 9220 | 9201 |
| **Ashtead Capital, Inc.** <br>4.000% due 05/01/2028 | 4000 | 3654 |
| **Bacardi Ltd.**  |  |  |
| 4.450% due 05/15/2025  | 9100 | 8838 |
| 5.150% due 05/15/2038  | 200 | 182 |
| **BAE Systems PLC** <br>3.400% due 04/15/2030 | 800 | 708 |
| **BAT International Finance PLC** <br>1.668% due 03/25/2026 | 900 | 798 |
| **Baxter International, Inc.**  |  |  |
| 1.322% due 11/29/2024  | 2500 | 2329 |
| 2.272% due 12/01/2028  | 700 | 598 |
| **Bayer U.S. Finance LLC**  |  |  |
| 3.875% due 12/15/2023  | 1900 | 1873 |
| 4.250% due 12/15/2025  | 7500 | 7275 |
| 4.375% due 12/15/2028  | 2300 | 2164 |
| **Becton Dickinson & Co.** <br>4.298% due 08/22/2032 | 1200 | 1127 |
| **Berry Global, Inc.** <br>4.875% due 07/15/2026 | 14400 | 13897 |
| **Boardwalk Pipelines LP** <br>3.600% due 09/01/2032 | 700 | 581 |
| **Boeing Co.**  |  |  |
| 1.875% due 06/15/2023  | 2125 | 2093 |
| 2.196% due 02/04/2026  | 23400 | 21286 |
| 2.800% due 03/01/2024  | 1080 | 1048 |
| 2.950% due 02/01/2030  | 300 | 255 |
| 5.705% due 05/01/2040  | 4500 | 4310 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.930% due 05/01/2060  | 10000 | 9163 |
| **British Airways Pass-Through Trust**  |  |  |
| 2.900% due 09/15/2036  | 98 | 80 |
| 3.300% due 06/15/2034  | 89 | 76 |
| 3.350% due 12/15/2030  | 4075 | 3527 |
| 3.800% due 03/20/2033  | 1511 | 1365 |
| 4.125% due 03/20/2033  | 1881 | 1570 |
| 4.250% due 05/15/2034  | 269 | 241 |
| **Broadcom, Inc.**  |  |  |
| 2.450% due 02/15/2031  | 37220 | 29402 |
| 2.600% due 02/15/2033  | 9200 | 6930 |
| 3.419% due 04/15/2033  | 7343 | 5907 |
| 3.469% due 04/15/2034  | 20567 | 16468 |
| 4.150% due 11/15/2030  | 7422 | 6669 |
| 4.300% due 11/15/2032  | 8002 | 7075 |
| 4.926% due 05/15/2037  | 13049 | 11430 |
| **Cameron LNG LLC** <br>3.402% due 01/15/2038 | 100 | 82 |
| **CDW LLC** <br>2.670% due 12/01/2026 | 2500 | 2224 |
| **CGI, Inc.**  |  |  |
| 1.450% due 09/14/2026  | 9500 | 8414 |
| 2.300% due 09/14/2031  | 100 | 76 |
| **Charter Communications Operating LLC**  |  |  |
| 3.500% due 06/01/2041  | 8500 | 5566 |
| 3.850% due 04/01/2061  | 500 | 291 |
| 3.900% due 06/01/2052  | 8600 | 5431 |
| 5.125% due 07/01/2049  | 2000 | 1520 |
| **Cheniere Corpus Christi Holdings LLC**  |  |  |
| 3.700% due 11/15/2029  | 700 | 634 |
| 5.875% due 03/31/2025  | 1400 | 1409 |
| **Constellation Brands, Inc.**  |  |  |
| 2.250% due 08/01/2031  | 100 | 80 |
| 4.750% due 11/15/2024  | 900 | 894 |
| **Continental Resources, Inc.** <br>5.750% due 01/15/2031 | 1000 | 933 |
| **CoStar Group, Inc.** <br>2.800% due 07/15/2030 | 3000 | 2457 |
| **Cox Communications, Inc.**  |  |  |
| 1.800% due 10/01/2030  | 4400 | 3356 |
| 3.150% due 08/15/2024  | 552 | 532 |
| 3.500% due 08/15/2027  | 300 | 279 |
| **Crown Castle Towers LLC** <br>4.241% due 07/15/2048 | 900 | 820 |
| **CVS Pass-Through Trust** <br>7.507% due 01/10/2032 | 1308 | 1361 |
| **DAE Funding LLC**  |  |  |
| 2.625% due 03/20/2025  | 4200 | 3935 |
| 3.375% due 03/20/2028  | 400 | 356 |
| **Daimler Trucks Finance North America LLC**  |  |  |
| 1.625% due 12/13/2024  | 2000 | 1858 |
| 4.918% (SOFRRATE + 0.600%) due 12/14/2023 ~  | 7000 | 6959 |
| **DCP Midstream Operating LP**  |  |  |
| 3.250% due 02/15/2032  | 3700 | 3066 |
| 5.375% due 07/15/2025  | 15150 | 15034 |
| 5.600% due 04/01/2044  | 1070 | 1000 |
| **Dell International LLC**  |  |  |
| 5.450% due 06/15/2023  | 73 | 73 |
| 6.100% due 07/15/2027  | 855 | 880 |
| 8.350% due 07/15/2046  | 124 | 142 |
| **Delta Air Lines, Inc.**  |  |  |
| 2.900% due 10/28/2024  | 11345 | 10766 |
| 3.750% due 10/28/2029  | 6500 | 5414 |
| 7.375% due 01/15/2026  | 1104 | 1130 |
| **Devon Energy Corp.** <br>5.250% due 09/15/2024 | 6300 | 6309 |
| **Diageo Capital PLC** <br>3.500% due 09/18/2023 | 3750 | 3714 |
| **Ecopetrol SA** <br>4.625% due 11/02/2031 | 100 | 77 |
| **Energy Transfer LP**  |  |  |
| 4.900% due 03/15/2035  | 50 | 45 |
| 5.750% due 02/15/2033  | 1800 | 1765 |
| 5.950% due 12/01/2025  | 1100 | 1117 |
| 7.600% due 02/01/2024  | 7900 | 8034 |
| **Eni SpA** <br>4.000% due 09/12/2023 | 1500 | 1479 |
| **EQM Midstream Partners LP** <br>4.000% due 08/01/2024 | 898 | 864 |
| **Expedia Group, Inc.**  |  |  |
| 2.950% due 03/15/2031  | 2116 | 1707 |
| 3.250% due 02/15/2030  | 3000 | 2551 |
| 6.250% due 05/01/2025  | 12213 | 12326 |
| **Experian Finance PLC** <br>2.750% due 03/08/2030 | 500 | 415 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **FactSet** **Research Systems, Inc.**  |  |  |
| 2.900% due 03/01/2027  | 2500 | 2273 |
| 3.450% due 03/01/2032  | 500 | 421 |
| **Ferguson Finance PLC** <br>3.250% due 06/02/2030 | 1100 | 935 |
| **Flex Intermediate Holdco LLC** <br>3.363% due 06/30/2031 | 9700 | 7594 |
| **Flex Ltd.** <br>3.750% due 02/01/2026 | 1066 | 1008 |
| **Fresenius Medical Care U.S. Finance, Inc.**  |  |  |
| 1.875% due 12/01/2026  | 8500 | 7219 |
| 2.375% due 02/16/2031  | 200 | 147 |
| **Georgia-Pacific LLC**  |  |  |
| 3.600% due 03/01/2025  | 600 | 581 |
| 8.000% due 01/15/2024  | 200 | 206 |
| **GSK Consumer Healthcare Capital U.S. LLC** <br>3.375% due 03/24/2027 | 3250 | 3030 |
| **GTL Trade Finance, Inc.** <br>7.250% due 04/16/2044 (i) | 500 | 568 |
| **HCA, Inc.**  |  |  |
| 3.500% due 09/01/2030  | 5000 | 4324 |
| 5.500% due 06/15/2047  | 100 | 89 |
| **HF Sinclair Corp.**  |  |  |
| 2.625% due 10/01/2023  | 7200 | 7052 |
| 5.875% due 04/01/2026  | 4500 | 4509 |
| **Humana, Inc.** <br>5.875% due 03/01/2033 | 2100 | 2175 |
| **Hyatt Hotels Corp.**  |  |  |
| 1.800% due 10/01/2024  | 9900 | 9283 |
| 6.000% due 04/23/2030  | 7100 | 6962 |
| **Hyundai Capital America**  |  |  |
| 0.875% due 06/14/2024  | 500 | 467 |
| 1.500% due 06/15/2026  | 2000 | 1735 |
| **Imperial Brands Finance PLC**  |  |  |
| 3.125% due 07/26/2024  | 9330 | 8925 |
| 4.250% due 07/21/2025  | 4174 | 3990 |
| **Infor, Inc.** <br>1.750% due 07/15/2025 | 3800 | 3437 |
| **JetBlue Pass-Through Trust** <br>2.750% due 11/15/2033 | 2251 | 1853 |
| **Kaiser Foundation Hospitals** <br>2.810% due 06/01/2041 | 100 | 73 |
| **Kinder Morgan, Inc.** <br>8.050% due 10/15/2030 | 7150 | 7775 |
| **Las Vegas Sands Corp.**  |  |  |
| 2.900% due 06/25/2025  | 900 | 828 |
| 3.200% due 08/08/2024  | 19150 | 18112 |
| **Level 3 Financing, Inc.** <br>3.400% due 03/01/2027 | 5575 | 4721 |
| **Marriott International, Inc.**  |  |  |
| 4.150% due 12/01/2023  | 12000 | 11876 |
| 4.625% due 06/15/2030  | 3900 | 3649 |
| **MDC Holdings, Inc.** <br>3.966% due 08/06/2061 | 200 | 112 |
| **Microchip Technology, Inc.** <br>0.983% due 09/01/2024 | 300 | 278 |
| **Mileage Plus Holdings LLC** <br>6.500% due 06/20/2027 | 5940 | 5919 |
| **MMK International Capital DAC** <br>4.375% due 06/13/2024 ^(b) | 1400 | 490 |
| **Moody's Corp.**  |  |  |
| 3.250% due 05/20/2050  | 600 | 417 |
| 4.875% due 02/15/2024  | 525 | 524 |
| **National Fuel Gas Co.** <br>2.950% due 03/01/2031 | 1600 | 1257 |
| **Netflix, Inc.**  |  |  |
| 4.375% due 11/15/2026  | 3700 | 3568 |
| 4.875% due 04/15/2028  | 2800 | 2710 |
| 4.875% due 06/15/2030  | 3000 | 2803 |
| 5.375% due 11/15/2029  | 3525 | 3425 |
| 5.875% due 11/15/2028  | 700 | 711 |
| **Newcrest Finance Pty. Ltd.** <br>5.750% due 11/15/2041 | 100 | 92 |
| **Nissan Motor Co. Ltd.**  |  |  |
| 3.043% due 09/15/2023  | 6690 | 6557 |
| 4.345% due 09/17/2027  | 8400 | 7630 |
| 4.810% due 09/17/2030  | 15438 | 13136 |
| **Norfolk Southern Corp.** <br>4.100% due 05/15/2121 | 100 | 70 |
| **Northern Natural Gas Co.**  |  |  |
| 4.100% due 09/15/2042  | 580 | 441 |
| 4.300% due 01/15/2049  | 200 | 160 |
| **Northwest Pipeline LLC** <br>4.000% due 04/01/2027 | 5770 | 5464 |
| **NVR, Inc.** <br>3.000% due 05/15/2030 | 2760 | 2323 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **NXP** **BV** <br>5.000% due 01/15/2033 | 700 | 663 |
| **Odebrecht Oil & Gas Finance Ltd.** <br>0.000% due 01/30/2023 (c)(e) | 408 | 1 |
| **ONEOK Partners LP** <br>4.900% due 03/15/2025 | 800 | 789 |
| **Oracle Corp.** <br>1.650% due 03/25/2026 (g) | 6800 | 6095 |
| **Pacific National Finance Pty. Ltd.** <br>4.750% due 03/22/2028 | 900 | 799 |
| **Packaging Corp. of America** <br>3.650% due 09/15/2024 | 400 | 390 |
| **Penske Truck Leasing Co. LP** <br>3.950% due 03/10/2025 | 4550 | 4387 |
| **Phosagro OAO Via Phosagro Bond Funding DAC** <br>3.949% due 04/24/2023 ^(b) | 1500 | 1162 |
| **Prosus NV** <br>3.680% due 01/21/2030 | 1700 | 1417 |
| **PulteGroup, Inc.** <br>6.375% due 05/15/2033 | 100 | 100 |
| **Quanta Services, Inc.** <br>2.900% due 10/01/2030 | 200 | 165 |
| **QVC, Inc.** <br>5.450% due 08/15/2034 | 260 | 136 |
| **RELX Capital, Inc.**  |  |  |
| 3.000% due 05/22/2030  | 100 | 85 |
| 4.750% due 05/20/2032  | 800 | 771 |
| **Renesas Electronics Corp.** <br>1.543% due 11/26/2024 | 5600 | 5138 |
| **Sabine Pass Liquefaction LLC**  |  |  |
| 4.200% due 03/15/2028  | 700 | 659 |
| 4.500% due 05/15/2030  | 15700 | 14590 |
| 5.625% due 03/01/2025  | 3667 | 3675 |
| 5.750% due 05/15/2024  | 4770 | 4774 |
| 5.875% due 06/30/2026  | 10400 | 10535 |
| **Sands China Ltd.**  |  |  |
| 2.800% due 03/08/2027  | 3300 | 2831 |
| 3.350% due 03/08/2029  | 4500 | 3682 |
| 3.750% due 08/08/2031  | 3600 | 2838 |
| 4.300% due 01/08/2026  | 2000 | 1848 |
| 4.875% due 06/18/2030  | 3100 | 2728 |
| 5.625% due 08/08/2025  | 3100 | 2968 |
| 5.900% due 08/08/2028  | 4300 | 4032 |
| **Santos Finance Ltd.** <br>3.649% due 04/29/2031 | 5700 | 4536 |
| **Skyworks Solutions, Inc.** <br>1.800% due 06/01/2026 | 2400 | 2112 |
| **Southern Co.**  |  |  |
| 3.700% due 04/30/2030  | 7800 | 7058 |
| 4.250% due 07/01/2036  | 100 | 88 |
| **Spectra Energy Partners LP** <br>3.375% due 10/15/2026 | 3598 | 3353 |
| **Spirit AeroSystems, Inc.** <br>3.850% due 06/15/2026 | 200 | 181 |
| **Spirit Airlines Pass-Through Trust**  |  |  |
| 3.650% due 08/15/2031  | 2940 | 2387 |
| 4.100% due 10/01/2029  | 122 | 109 |
| **Sprint Spectrum Co. LLC** <br>4.738% due 09/20/2029 | 619 | 612 |
| **Suntory Holdings Ltd.** <br>2.250% due 10/16/2024 | 3500 | 3284 |
| **Syngenta Finance NV**  |  |  |
| 4.441% due 04/24/2023  | 4725 | 4704 |
| 4.892% due 04/24/2025  | 4469 | 4332 |
| **T-Mobile USA, Inc.**  |  |  |
| 2.250% due 11/15/2031  | 10000 | 7891 |
| 2.400% due 03/15/2029  | 4300 | 3637 |
| 2.700% due 03/15/2032  | 7900 | 6404 |
| 3.875% due 04/15/2030  | 14800 | 13441 |
| 4.500% due 04/15/2050  | 700 | 579 |
| **TD SYNNEX Corp.**  |  |  |
| 1.250% due 08/09/2024  | 16000 | 14869 |
| 1.750% due 08/09/2026  | 7225 | 6150 |
| 2.375% due 08/09/2028  | 100 | 81 |
| **Tencent Holdings Ltd.**  |  |  |
| 2.880% due 04/22/2031  | 1700 | 1417 |
| 3.595% due 01/19/2028  | 3900 | 3581 |
| **Tennessee Gas Pipeline Co. LLC** <br>2.900% due 03/01/2030 | 5000 | 4199 |
| **Textron, Inc.** <br>3.375% due 03/01/2028 | 1500 | 1367 |
| **Time Warner Cable LLC**  |  |  |
| 6.550% due 05/01/2037  | 1900 | 1816 |
| 6.750% due 06/15/2039  | 1200 | 1141 |
| **Tyson Foods, Inc.** <br>3.900% due 09/28/2023 | 1200 | 1189 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **U** **.S. Airways Pass-Through Trust** <br>7.125% due 04/22/2025 | 769 | 774 |
| **United Airlines Pass-Through Trust**  |  |  |
| 2.700% due 11/01/2033  | 3328 | 2695 |
| 2.875% due 04/07/2030  | 662 | 564 |
| 2.900% due 11/01/2029  | 3001 | 2415 |
| 3.500% due 09/01/2031  | 629 | 544 |
| 4.000% due 10/11/2027  | 706 | 657 |
| 4.150% due 10/11/2025  | 3479 | 3372 |
| 4.150% due 02/25/2033  | 1469 | 1304 |
| 4.300% due 02/15/2027  | 724 | 674 |
| 5.875% due 04/15/2029  | 10907 | 10769 |
| **VMware, Inc.**  |  |  |
| 1.400% due 08/15/2026  | 3700 | 3230 |
| 4.700% due 05/15/2030  | 5780 | 5390 |
| **Warnermedia Holdings, Inc.** <br>4.279% due 03/15/2032 | 7450 | 6156 |
| **Weir Group PLC** <br>2.200% due 05/13/2026 | 20300 | 18027 |
| **Westinghouse Air Brake Technologies Corp.**  |  |  |
| 3.200% due 06/15/2025  | 3677 | 3465 |
| 4.950% due 09/15/2028  | 8003 | 7699 |
| **Woodside Finance Ltd.**  |  |  |
| 3.650% due 03/05/2025  | 1300 | 1249 |
| 3.700% due 09/15/2026  | 2500 | 2341 |
| **Wyeth LLC** <br>7.250% due 03/01/2023 | 8000 | 8032 |
| **Yale University** <br>1.482% due 04/15/2030 | 2000 | 1606 |
| **Yara International ASA**  |  |  |
| 3.148% due 06/04/2030  | 810 | 651 |
| 3.800% due 06/06/2026  | 3600 | 3323 |
| 4.750% due 06/01/2028  | 2700 | 2488 |
|  |  | 815474 |
| **UTILITIES 9.8%**  |  |  |
| **AES Corp.**  |  |  |
| 3.300% due 07/15/2025  | 2000 | 1889 |
| 3.950% due 07/15/2030  | 2000 | 1773 |
| **American Transmission Systems, Inc.** <br>2.650% due 01/15/2032 | 2200 | 1811 |
| **AT&T, Inc.**  |  |  |
| 3.800% due 12/01/2057  | 407 | 283 |
| 4.300% due 02/15/2030  | 3000 | 2832 |
| **Avangrid, Inc.** <br>3.800% due 06/01/2029 | 800 | 729 |
| **Baltimore Gas & Electric Co.** <br>2.400% due 08/15/2026 | 5900 | 5448 |
| **Black Hills Corp.** <br>2.500% due 06/15/2030 | 2200 | 1771 |
| **Boston Gas Co.** <br>4.487% due 02/15/2042 | 1400 | 1179 |
| **Cleveland Electric Illuminating Co.** <br>4.550% due 11/15/2030 | 300 | 281 |
| **Duke Energy Corp.**  |  |  |
| 3.250% due 01/15/2082 •  | 1002 | 733 |
| 3.950% due 10/15/2023  | 500 | 495 |
| **Duke Energy Ohio, Inc.** <br>6.900% due 06/01/2025 | 5221 | 5447 |
| **Edison International** <br>6.950% due 11/15/2029 | 2500 | 2617 |
| **EDP Finance BV** <br>6.300% due 10/11/2027 | 3700 | 3812 |
| **Electricite de France SA** <br>6.950% due 01/26/2039 | 1400 | 1452 |
| **Enel Finance America LLC** <br>7.100% due 10/14/2027 | 1200 | 1243 |
| **Enel Finance International NV**  |  |  |
| 1.375% due 07/12/2026  | 7200 | 6213 |
| 2.650% due 09/10/2024  | 1960 | 1877 |
| 4.750% due 05/25/2047  | 200 | 158 |
| **Entergy Corp.**  |  |  |
| 1.900% due 06/15/2028  | 9900 | 8387 |
| 2.400% due 06/15/2031  | 3500 | 2789 |
| 3.750% due 06/15/2050  | 2900 | 2149 |
| **Exelon Corp.** <br>3.400% due 04/15/2026 | 700 | 665 |
| **Fells Point Funding Trust** <br>3.046% due 01/31/2027 | 3400 | 3099 |
| **FirstEnergy Transmission LLC** <br>2.866% due 09/15/2028 | 8300 | 7258 |
| **Gazprom PJSC via Gaz Finance PLC**  |  |  |
| 2.950% due 01/27/2029  | 13200 | 9175 |
| 3.000% due 06/29/2027  | 7300 | 5219 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **IPALCO** **Enterprises, Inc.**  |  |  |
| 3.700% due 09/01/2024  | 506 | 491 |
| 4.250% due 05/01/2030  | 3787 | 3373 |
| **Jersey Central Power & Light Co.** <br>4.300% due 01/15/2026 | 8684 | 8397 |
| **Mid-Atlantic Interstate Transmission LLC** <br>4.100% due 05/15/2028 | 400 | 377 |
| **Midwest Connector Capital Co. LLC**  |  |  |
| 3.900% due 04/01/2024  | 3616 | 3503 |
| 4.625% due 04/01/2029  | 1200 | 1087 |
| **Mississippi Power Co.** <br>3.950% due 03/30/2028 | 100 | 94 |
| **Monongahela Power Co.** <br>3.550% due 05/15/2027 | 3195 | 3008 |
| **National Rural Utilities Cooperative Finance Corp.** <br>5.450% due 10/30/2025 | 5313 | 5382 |
| **New York State Electric & Gas Corp.** <br>3.300% due 09/15/2049 | 200 | 135 |
| **NGPL PipeCo LLC** <br>4.875% due 08/15/2027 | 1295 | 1232 |
| **Niagara Mohawk Power Corp.**  |  |  |
| 3.508% due 10/01/2024  | 10000 | 9614 |
| 4.278% due 12/15/2028  | 5000 | 4619 |
| **Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)** <br>7.720% due 12/01/2026 ^(a) | 3564 | 953 |
| **Ohio Edison Co.** <br>6.875% due 07/15/2036 | 1100 | 1192 |
| **ONEOK, Inc.**  |  |  |
| 2.750% due 09/01/2024  | 4000 | 3832 |
| 4.550% due 07/15/2028  | 900 | 851 |
| 6.000% due 06/15/2035  | 100 | 96 |
| 6.100% due 11/15/2032  | 4500 | 4514 |
| **Pacific Gas & Electric Co.**  |  |  |
| 2.100% due 08/01/2027  | 3700 | 3166 |
| 2.950% due 03/01/2026  | 3800 | 3487 |
| 3.000% due 06/15/2028  | 9500 | 8231 |
| 3.150% due 01/01/2026  | 2400 | 2233 |
| 3.250% due 06/15/2023  | 1000 | 989 |
| 3.250% due 06/01/2031  | 3500 | 2853 |
| 3.300% due 12/01/2027  | 1500 | 1326 |
| 3.400% due 08/15/2024  | 3800 | 3649 |
| 3.450% due 07/01/2025  | 9765 | 9253 |
| 3.500% due 06/15/2025  | 20300 | 19171 |
| 3.750% due 02/15/2024  | 12900 | 12639 |
| 3.750% due 07/01/2028  | 3015 | 2680 |
| 3.850% due 11/15/2023  | 7347 | 7245 |
| 4.200% due 03/01/2029  | 10000 | 8950 |
| 4.250% due 08/01/2023  | 16703 | 16621 |
| 4.500% due 12/15/2041  | 4969 | 3526 |
| 4.550% due 07/01/2030  | 503 | 457 |
| 4.650% due 08/01/2028  | 400 | 369 |
| 4.950% due 06/08/2025  | 3400 | 3351 |
| 5.450% due 06/15/2027  | 2500 | 2469 |
| **Public Service Co. of Oklahoma** <br>6.625% due 11/15/2037 | 2200 | 2316 |
| **Rio Oil Finance Trust**  |  |  |
| 9.250% due 07/06/2024  | 502 | 510 |
| 9.750% due 01/06/2027  | 901 | 937 |
| **San Diego Gas & Electric Co.** <br>3.000% due 03/15/2032 | 3000 | 2572 |
| **Sempra Energy**  |  |  |
| 4.125% due 04/01/2052 •  | 1200 | 935 |
| 6.000% due 10/15/2039  | 800 | 812 |
| **Southern California Edison Co.**  |  |  |
| 0.700% due 08/01/2023  | 10100 | 9841 |
| 2.850% due 08/01/2029  | 2000 | 1742 |
| 3.400% due 06/01/2023  | 100 | 99 |
| 3.900% due 12/01/2041  | 400 | 302 |
| 4.875% due 03/01/2049  | 4277 | 3783 |
| 4.963% (SOFRRATE + 0.640%) due 04/03/2023 ~  | 1820 | 1817 |
| 5.153% (SOFRRATE + 0.830%) due 04/01/2024 ~  | 2700 | 2681 |
| 5.850% due 11/01/2027  | 4900 | 5052 |
| 5.950% due 11/01/2032  | 3200 | 3391 |
| 6.650% due 04/01/2029  | 4500 | 4652 |
| **Southern California Gas Co.** <br>3.950% due 02/15/2050 | 2100 | 1640 |
| **Southern Co. Gas Capital Corp.** <br>4.400% due 05/30/2047 | 300 | 239 |
| **System Energy Resources, Inc.** <br>2.140% due 12/09/2025 | 3300 | 3022 |
| **Toledo Edison Co.** <br>2.650% due 05/01/2028 | 2833 | 2480 |
| **Trans-Allegheny Interstate Line Co.** <br>3.850% due 06/01/2025 | 400 | 386 |
| **Verizon Communications, Inc.**  |  |  |
| 2.850% due 09/03/2041  | 150 | 104 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 2.987% due 10/30/2056  | 669 | 411 |
| 4.823% (SOFRRATE + 0.500%) due 03/22/2024 ~  | 500 | 496 |
| **Xcel Energy, Inc.** <br>3.400% due 06/01/2030 | 1100 | 984 |
|  |  | 297403 |
| Total Corporate Bonds & Notes (Cost $2,637,348) |  | 2372122 |
| **CONVERTIBLE BONDS & NOTES 0.0%**  |  |  |
| **INDUSTRIALS 0.0%**  |  |  |
| **Southwest Airlines Co.** <br>1.250% due 05/01/2025 | 1000 | 1205 |
| Total Convertible Bonds & Notes (Cost $1,247) |  | 1205 |
| **MUNICIPAL BONDS & NOTES 0.7%**  |  |  |
| **CALIFORNIA 0.1%**  |  |  |
| **Alameda County, California Joint Powers Authority Revenue Bonds, (BABs), Series 2010** <br>7.046% due 12/01/2044 | 100 | 121 |
| **Los Angeles County, California Public Works Financing Authority Revenue Bonds, (BABs), Series 2010** <br>7.618% due 08/01/2040 | 100 | 123 |
| **Los Angeles Department of Water & Power System, California Revenue Bonds, (BABs), Series 2009** <br>6.008% due 07/01/2039 | 600 | 649 |
| **Napa Valley Unified School District, California General Obligation Bonds, (BABs), Series 2010** <br>6.507% due 08/01/2043 | 300 | 332 |
| **Riverside, California Electric Revenue Bonds, (BABs), Series 2010** <br>7.605% due 10/01/2040 | 300 | 364 |
|  |  | 1589 |
| **GEORGIA 0.3%**  |  |  |
| **Municipal Electric Authority of Georgia Revenue Bonds, (BABs), Series 2010** <br>6.655% due 04/01/2057 | 8349 | 9035 |
| **ILLINOIS 0.0%**  |  |  |
| **Chicago Transit Authority, Illinois Revenue Bonds, (BABs), Series 2010** <br>6.200% due 12/01/2040 | 625 | 674 |
| **MASSACHUSETTS 0.0%**  |  |  |
| **Massachusetts School Building Authority Revenue Bonds, Series 2010** <br>5.468% due 06/15/2027 | 300 | 305 |
| **NEW YORK 0.0%**  |  |  |
| **New York State Urban Development Corp. Revenue Bonds, (BABs), Series 2009** <br>5.770% due 03/15/2039 | 300 | 308 |
| **OHIO 0.3%**  |  |  |
| **American Municipal Power, Inc., Ohio Revenue Bonds, (BABs), Series 2010** <br>8.084% due 02/15/2050 | 6210 | 8008 |
| Total Municipal Bonds & Notes (Cost $23,130) |  | 19919 |
| **U.S. GOVERNMENT AGENCIES 6.2%**  |  |  |
| **Ginnie Mae**<br>8.500% due 08/15/2030 | 6 | 7 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.500% due 08/01/2047 - 08/01/2048 | 3190 | 2954 |
| 4.000% due 08/01/2049 | 951 | 903 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 3.000% due 02/01/2053  | 42500 | 37341 |
| 4.000% due 02/01/2053 - 03/01/2053 | 138450 | 129910 |
| 5.000% due 01/01/2053 - 02/01/2053 | 17500 | 17246 |
| Total U.S. Government Agencies (Cost $190,463) |  | 188361 |
| **U.S. TREASURY OBLIGATIONS 5.3%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 1.750% due 08/15/2041 | 7100 | 4862 |
| 2.250% due 02/15/2052 | 19200 | 13359 |
| 2.875% due 05/15/2052 | 1557 | 1248 |
| 3.000% due 11/15/2044 | 18813 | 15544 |
| 3.250% due 05/15/2042 | 8900 | 7807 |
| 3.375% due 08/15/2042 | 33300 | 29773 |
| **U.S. Treasury Notes**  |  |  |
| 0.125% due 08/31/2023 (k)(m) | 90000 | 87285 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total U.S. Treasury Obligations (Cost $167,201) |  | 159878 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.5%**  |  |  |
| **DC Office Trust** <br>2.965% due 09/15/2045 | 10500 | 8378 |
| **Mill City Mortgage Loan Trust** <br>2.750% due 08/25/2059 ~ | 304 | 286 |
| **New Residential Mortgage Loan Trust** <br>2.750% due 07/25/2059 ~ | 5883 | 5494 |
| **Structured Asset Mortgage Investments Trust** <br>5.039% due 03/19/2034 ~ | 269 | 245 |
| Total Non-Agency Mortgage-Backed Securities (Cost $17,267) |  | 14403 |
| **ASSET-BACKED SECURITIES 0.3%**  |  |  |
| **BPCRE Holder LLC** <br>6.725% due 01/16/2037 •  | 3000 | 2961 |
| **MF1 Ltd.** <br>5.176% due 02/19/2037 ~ | 3000 | 2890 |
| **RBSSP Resecuritization Trust** <br>4.176% due 11/26/2036 ~ | 286 | 279 |
| **Start Ltd.** <br>4.089% due 03/15/2044 | 491 | 419 |
| **Vertical Bridge Holdings LLC** <br>2.636% due 09/15/2050 | 4200 | 3752 |
| Total Asset-Backed Securities (Cost $10,778) |  | 10301 |
| **SOVEREIGN ISSUES 0.7%**  |  |  |
| **Emirate of Abu Dhabi Government International Bond** <br>3.125% due 04/16/2030 | 2500 | 2326 |
| **Qatar Government International Bond** <br>3.750% due 04/16/2030 | 4300 | 4174 |
| **Russia Government International Bond**  |  |  |
| 4.250% due 06/23/2027 ^(b)  | 1000 | 350 |
| 4.750% due 05/27/2026 ^(b)  | 1400 | 490 |
| 5.250% due 06/23/2047 ^(b)  | 2000 | 740 |
| 5.625% due 04/04/2042 ^(b)  | 400 | 254 |
| 5.875% due 09/16/2043 ^(b)  | 200 | 119 |
| **Saudi Government International Bond** <br>2.250% due 02/02/2033 | 9300 | 7572 |
| **South Africa Government International Bond** <br>4.850% due 09/30/2029 | 6000 | 5370 |
| Total Sovereign Issues (Cost $24,821) |  | 21395 |
|  | SHARES |  |
| **CONVERTIBLE PREFERRED SECURITIES 0.5%**  |  |  |
| **BANKING & FINANCE 0.5%**  |  |  |
| **Wells Fargo & Co.**<br>7.500% | 13190 | 15630 |
| Total Convertible Preferred Securities (Cost $10,405) |  | 15630 |
| **PREFERRED SECURITIES 4.7%**  |  |  |
| **BANKING & FINANCE 4.5%**  |  |  |
| **AGFC Capital Trust**<br>5.829% (US0003M + 1.750%) due 01/15/2067 ~ | 3080000 | 1727 |
| **American Express Co.**<br>3.550% due 09/15/2026 •(e) | 2400000 | 1976 |
| **Bank of America Corp.**  |  |  |
| 4.375% due 01/27/2027 •(e) | 6700000 | 5712 |
| 5.125% due 06/20/2024 •(e) | 8900000 | 8310 |
| 5.875% due 03/15/2028 •(e) | 21585000 | 19141 |
| 6.125% due 04/27/2027 •(e) | 4000000 | 3916 |
| **Capital One Financial Corp.**<br>3.950% due 09/01/2026 •(e) | 4900000 | 3870 |
| **Charles Schwab Corp.**  |  |  |
| 4.000% due 12/01/2030 •(e) | 10100000 | 8051 |
| 5.000% due 12/01/2027 •(e) | 700000 | 586 |
| 5.375% due 06/01/2025 •(e) | 1800000 | 1767 |
| **Citigroup, Inc.**  |  |  |
| 3.875% due 02/18/2026 •(e) | 12500000 | 10701 |
| 4.000% due 12/10/2025 •(e) | 2700000 | 2360 |
| **CoBank ACB**  |  |  |
| 4.250% due 01/01/2027 •(e) | 4200000 | 3588 |
| 6.200% (US0003M + 3.744%) due 01/01/2025 ~(e) | 30000 | 2888 |
| **Depository Trust & Clearing Corp.**<br>3.375% due 06/20/2026 •(e) | 2000000 | 1605 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HSBC** **Capital Funding LP**<br>10.176% due 06/30/2030 •(e) | 4850000 | 5844 |
| **JPMorgan Chase & Co.**  |  |  |
| 3.650% due 06/01/2026 •(e) | 6400000 | 5456 |
| 4.000% due 04/01/2025 •(e) | 11800000 | 10100 |
| 4.200% due 09/01/2026 (e) | 250000 | 4363 |
| 4.600% due 02/01/2025 •(e) | 4400000 | 3921 |
| 4.625% due 06/01/2026 (e) | 110000 | 2072 |
| 5.000% due 08/01/2024 •(e) | 6200000 | 5714 |
| **PNC Financial Services Group, Inc.**<br>3.400% due 09/15/2026 •(e) | 2900000 | 2300 |
| **State Street Corp.**<br>5.625% due 12/15/2023 •(e) | 1900000 | 1766 |
| **SVB Financial Group**<br>4.100% due 02/15/2031 •(e) | 5700000 | 3319 |
| **Truist Financial Corp.**<br>5.100% due 03/01/2030 •(e) | 3600000 | 3351 |
| **USB Capital**<br>5.099% due 01/30/2023 •(e) | 14250000 | 11267 |
|  |  | 135671 |
| **INDUSTRIALS 0.2%**  |  |  |
| **General Electric Co.**<br>8.099% (US0003M + 3.330%) due 03/15/2023 ~(e) | 5700000 | 5654 |
| Total Preferred Securities (Cost $165,090) |  | 141325 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 1.0%**  |  |  |
| **COMMERCIAL PAPER 0.9%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.800% due 01/04/2023 | $5900 | 5896 |
| **Crown Castle, Inc.** <br>5.100% due 01/05/2023 | 14000 | 13989 |
| **Enbridge (US), Inc.** <br>4.750% due 01/09/2023 | 500 | 499 |
| **Tampa Electric Co.** <br>4.800% due 01/12/2023 | 4500 | 4493 |
| **Vodafone Group PLC** <br>4.600% due 01/05/2023 | 3700 | 3697 |
|  |  | 28574 |
| **REPURCHASE AGREEMENTS (h) 0.1%** |  | 3316 |
| **U.S. TREASURY BILLS 0.0%**  |  |  |
| 3.323% due 01/10/2023 (c)(d)(m) | 747 | 746 |
| Total Short-Term Instruments (Cost $32,652) |  | 32636 |
| Total Investments in Securities (Cost $3,294,107) |  | 2990086 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 4.2%**  |  |  |
| **SHORT-TERM INSTRUMENTS 4.2%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 4.2%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 13061522 | 126906 |
| Total Short-Term Instruments (Cost $126,853) |  | 126906 |
| Total Investments in Affiliates (Cost $126,853) |  | 126906 |
| Total Investments 102.6% (Cost $3,420,960) |  | $3116992 |
| **Financial Derivative Instruments (j)(l) (0.0)**%(Cost or Premiums, net $4,314) |  | (1047) |
| Other Assets and Liabilities, net (2.6)% |  | (77110) |
| Net Assets 100.0% |  | $3038835 |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(b)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(c)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(d)** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** |
| **(e)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(f)** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** |
| **(g)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Coupon | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| Citigroup, Inc. | Citigroup, Inc. | 3.057 | 01/25/2033 | 10/19/2022 | 10/19/2022 | 3845 | 3845 | 4048 | 4048 | 0.13 |
| Citigroup, Inc. | Citigroup, Inc. | 6.270 | 11/17/2033 | 11/09/2022 | 11/09/2022 | 4600 | 4600 | 4760 | 4760 | 0.16 |
| Oracle Corp. | Oracle Corp. | 1.650 | 03/25/2026 | 03/22/2021 | 03/22/2021 | 6798 | 6798 | 6095 | 6095 | 0.20 |
|  |  |  |  |  | $ | 15243 | $ | 14903 | 0.49%  | 0.49%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(h)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 01/03/2023 | 3316 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | (3383) | 3316 | $ | $3316 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  | **(3383)** | **3316** | **$** | $**3316** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| NOM | NOM | 2.250%  | 2.250%  | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (558) | (558) | (558) | (558) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  | **(558)** | **(558)** | **(558)** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Description | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Proceeds | Payable for<br>Short Sales | Payable for<br>Short Sales |
| U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% | U.S. Government Agencies (0.5)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 01/01/2053 | $ | 16900 | (13674) | $ | $(13755) |
| **Total Short Sales (0.5)%** | **Total Short Sales (0.5)%** | **Total Short Sales (0.5)%** | **Total Short Sales (0.5)%** | **Total Short Sales (0.5)%** |  |  |  | **(13674)** | **$** | $**(13755)** |
| **(i)** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $568 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(6210) at a weighted average interest rate of 0.298%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(3)</sup> | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. |
| **(j)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |

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<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2024 | 03/2024 | 127 | 30312 | 30312 | $59 | 59 | 59 | 0 | 0 | 0 | (14) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2023 | 06/2023 | 127 | 30189 | 30189 | (1) | (1) | (1) | 0 | 0 | 0 | (8) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **58** | **58** | **$** | **0** | **0** | **$** | **(22)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Fixed <br>(Pay) Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Asset | Asset | Liability |
| Citigroup, Inc.  | (1.000)% | Quarterly | 12/20/2032 | 1.236 | % | $5000 | 204 | $ | (115) | $ | 89 | 89 | 0 | 0 | 0 |
| ConocoPhillips  | (1.000) | Quarterly | 12/20/2024 | 0.293 |  | 2500 | 0 |  | (34) |  | (34) | (34) | 0 | 0 | 0 |
| JPMorgan Chase & Co.  | (1.000) | Quarterly | 12/20/2032 | 1.050 |  | 7500 | 161 |  | (134) |  | 27 | 27 | 3 | 3 | 0 |
|  |  |  |  |  |  |  | $365 | 365 | (283) | (283) | 82 | 82 | $3 | 3 | $0 |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Asset | Asset | Liability |
| AES Corp.  | 5.000% | Quarterly | 06/20/2026 | 1.034 | % | $5000 | 1022 | $ | (381) | $ | 641 | 641 | 0 | 0 | (2) |
| American International Group, Inc.  | 1.000 | Quarterly | 12/20/2027 | 0.956 |  | 2500 | (15) |  | 21 |  | 6 | 6 | 0 | 0 | 0 |
| AT&T, Inc.  | 1.000 | Quarterly | 06/20/2024 | 0.901 |  | 5800 | 24 |  | (14) |  | 10 | 10 | 0 | 0 | 0 |
| AT&T, Inc.  | 1.000 | Quarterly | 12/20/2024 | 0.918 |  | 16200 | 206 |  | (175) |  | 31 | 31 | 0 | 0 | (1) |
| AT&T, Inc.  | 1.000 | Quarterly | 06/20/2025 | 0.947 |  | 1770 | (45) |  | 48 |  | 3 | 3 | 0 | 0 | 0 |
| AT&T, Inc.  | 1.000 | Quarterly | 06/20/2026 | 0.998 |  | 10700 | 206 |  | (201) |  | 5 | 5 | 0 | 0 | (2) |
| Boeing Co.  | 1.000 | Quarterly | 06/20/2023 | 0.709 |  | 700 | 6 |  | (5) |  | 1 | 1 | 0 | 0 | 0 |
| Boeing Co.  | 1.000 | Quarterly | 12/20/2023 | 0.847 |  | 2500 | (14) |  | 19 |  | 5 | 5 | 0 | 0 | 0 |
| Boeing Co.  | 1.000 | Quarterly | 12/20/2024 | 1.077 |  | 9900 | (174) |  | 164 |  | (10) | (10) | 0 | 0 | (1) |
| Boeing Co.  | 1.000 | Quarterly | 06/20/2026 | 1.265 |  | 800 | (6) |  | 0 |  | (6) | (6) | 0 | 0 | 0 |
| Boeing Co.  | 1.000 | Quarterly | 12/20/2026 | 1.297 |  | 17300 | (84) |  | (92) |  | (176) | (176) | 7 | 7 | 0 |
| Ford Motor Credit Co. LLC  | 5.000 | Quarterly | 12/20/2023 | 2.093 |  | 2800 | 378 |  | (296) |  | 82 | 82 | 1 | 1 | 0 |
| General Electric Co.  | 1.000 | Quarterly | 06/20/2026 | 0.801 |  | 61400 | 473 |  | (58) |  | 415 | 415 | 0 | 0 | (31) |
| General Electric Co.  | 1.000 | Quarterly | 12/20/2026 | 0.870 |  | 7800 | 92 |  | (52) |  | 40 | 40 | 1 | 1 | 0 |
| General Motors Co.  | 5.000 | Quarterly | 12/20/2026 | 1.964 |  | 9600 | 1878 |  | (836) |  | 1042 | 1042 | 2 | 2 | 0 |
| Lennar Corp.  | 5.000 | Quarterly | 12/20/2026 | 1.196 |  | 4200 | 867 |  | (286) |  | 581 | 581 | 3 | 3 | 0 |
| MetLife, Inc.  | 1.000 | Quarterly | 12/20/2024 | 0.369 |  | 17700 | 302 |  | (84) |  | 218 | 218 | 3 | 3 | 0 |
| NextEra Energy Capital Holdings, Inc.  | 1.000 | Quarterly | 06/20/2026 | 0.572 |  | 2600 | 59 |  | (22) |  | 37 | 37 | 1 | 1 | 0 |
| Verizon Communications, Inc.  | 1.000 | Quarterly | 06/20/2026 | 0.979 |  | 2400 | 54 |  | (52) |  | 2 | 2 | 0 | 0 | (1) |
| Verizon Communications, Inc.  | 1.000 | Quarterly | 12/20/2026 | 1.009 |  | 5200 | 121 |  | (121) |  | 0 | 0 | 0 | 0 | 0 |
| Verizon Communications, Inc.  | 1.000 | Quarterly | 12/20/2027 | 1.123 |  | 1400 | (16) |  | 9 |  | (7) | (7) | 0 | 0 | 0 |
|  |  |  |  |  |  |  | $5334 | 5334 | (2414) | (2414) | 2920 | 2920 | $18 | 18 | $(38) |

---

------

<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(4)</sup> |  | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Market<br>Value<sup>(5)</sup> | Asset |  | Liability |
| CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | 1.000% | Quarterly | Quarterly | 12/20/2027 | 12/20/2027 | 10000 | $ | 45 | 45 | 38 | 38 | 83 | 83 | 83 | 0 | $ | 0 |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.050% | Annual | Annual | 12/14/2052 | $9300 | 9300 | (56) | (56) | $348 | 348 | $292 | 292 | 292 | $44 | 44 | $0 |
| Pay | Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.270 | Semi-Annual | Semi-Annual | 11/04/2023 | 297200 | 297200 | (602) | (602) | (10397) | (10397) | (10999) | (10999) | (10999) | 0 | 0 | (171) |
|  |  |  |  |  |  |  |  |  | $ | (658) | (658) | (10049) | (10049) | (10707) | (10707) | (10707) | 44 | $ | (171) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **5086** | **5086** | **(12708)** | **(12708)** | **(7622)** | **(7622)** | **(7622)** | **65** | **$** | **(209)** |
| **(k)** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $3,424 and cash of $65,321 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(4)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(5)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **(l)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Counterparty | Counterparty | Description | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| BOA | BOA | BOA | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.870% | 2.870% | 01/23/2023 | 01/23/2023 | 1700 | 1700 | $(13) | (13) | (13) | $ | (5) |
|  |  |  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.320 | 3.320 | 01/23/2023 | 01/23/2023 | 1700 | 1700 | (13) | (13) | (13) |  | (21) |
| BPS | BPS | BPS | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.900 | 2.900 | 01/17/2023 | 01/17/2023 | 3000 | 3000 | (12) | (12) | (12) |  | 0 |
|  |  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.400 | 3.400 | 01/17/2023 | 01/17/2023 | 3000 | 3000 | (12) | (12) | (12) |  | (50) |
|  |  |  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.610 | 2.610 | 01/17/2023 | 01/17/2023 | 1500 | 1500 | (14) | (14) | (14) |  | 0 |
|  |  |  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.110 | 3.110 | 01/17/2023 | 01/17/2023 | 1500 | 1500 | (14) | (14) | (14) |  | (43) |
| GLM | GLM | GLM | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.000 | 3.000 | 01/12/2023 | 01/12/2023 | 3800 | 3800 | (21) | (21) | (21) |  | (1) |
|  |  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.550 | 3.550 | 01/12/2023 | 01/12/2023 | 3800 | 3800 | (21) | (21) | (21) |  | (32) |
|  |  |  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.740 | 2.740 | 01/19/2023 | 01/19/2023 | 1400 | 1400 | (12) | (12) | (12) |  | (1) |
|  |  |  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.180 | 3.180 | 01/19/2023 | 01/19/2023 | 1400 | 1400 | (12) | (12) | (12) |  | (31) |
| MYC | MYC | MYC | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.070 | 3.070 | 01/23/2023 | 01/23/2023 | 3100 | 3100 | (15) | (15) | (15) |  | (3) |
|  |  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.520 | 3.520 | 01/23/2023 | 01/23/2023 | 3100 | 3100 | (15) | (15) | (15) |  | (37) |
|  |  |  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.600 | 2.600 | 01/17/2023 | 01/17/2023 | 1500 | 1500 | (12) | (12) | (12) |  | 0 |
|  |  |  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.050 | 3.050 | 01/17/2023 | 01/17/2023 | 1500 | 1500 | (11) | (11) | (11) |  | (55) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | $(197) | (197) | (197) | $ | (279) |

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<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** |
| Counterparty | Counterparty | Counterparty | Description | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date |  | Notional<br>Amount<sup>(1)</sup> |  | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| BOA | BOA | BOA | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | $101.891 | 101.891 | 01/05/2023 |  | 2400 | $ | (7) | (7) | $0 | 0 |
|  |  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.813 | 99.813 | 02/06/2023 |  | 3400 |  | (23) | (23) | (22) | (22) |
|  |  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 101.813 | 101.813 | 02/06/2023 |  | 3400 |  | (21) | (21) | (7) | (7) |
| JPM | JPM | JPM | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.000 | 97.000 | 03/06/2023 |  | 6700 |  | (58) | (58) | (103) | (103) |
|  |  |  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 98.766 | 98.766 | 03/06/2023 |  | 1600 |  | (13) | (13) | (22) | (22) |
|  |  |  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 100.766 | 100.766 | 03/06/2023 |  | 1600 |  | (11) | (11) | (5) | (5) |
| SAL | SAL | SAL | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | 101.859 | 101.859 | 01/05/2023 |  | 2900 |  | (9) | (9) | 0 | 0 |
|  |  |  |  |  |  |  |  |  |  |  | $ | (142) | (142) | $(159) | (159) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(339)** | **(339)** | $**(438)** | **(438)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> |
| Counterparty | Counterparty | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| BOA | BOA | Italy Government International Bond  | Italy Government International Bond  | 1.000% | Quarterly | 06/20/2024 | 0.239% | 0.239% | $2000 | $(42) | (42) | $65 | $23 | 23 | $0 |
|  |  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 06/20/2025 | 0.806 | 0.806 | 2000 | (32) | (32) | 42 | 10 | 10 | 0 |
| BRC | BRC | Huarong Finance Co. Ltd.  | Huarong Finance Co. Ltd.  | 1.000 | Quarterly | 12/20/2024 | 2.588 | 2.588 | 1200 | (43) | (43) | 9 | 0 | 0 | (34) |
|  |  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 06/20/2024 | 0.239 | 0.239 | 1900 | (41) | (41) | 62 | 21 | 21 | 0 |
|  |  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 0.272 | 0.272 | 4500 | 13 | 13 | 51 | 64 | 64 | 0 |
|  |  | NextEra Energy Capital Holdings, Inc.  | NextEra Energy Capital Holdings, Inc.  | 1.000 | Quarterly | 12/20/2025 | 0.500 | 0.500 | 1400 | 30 | 30 | (10) | 20 | 20 | 0 |
|  |  | Pertamina Persero PT  | Pertamina Persero PT  | 1.000 | Quarterly | 12/20/2024 | 0.462 | 0.462 | 1800 | (18) | (18) | 37 | 19 | 19 | 0 |
|  |  | South Africa Government International Bond  | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 1.304 | 1.304 | 600 | (23) | (23) | 20 | 0 | 0 | (3) |
| FBF | FBF | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 0.272 | 0.272 | 2000 | 5 | 5 | 23 | 28 | 28 | 0 |
| GST | GST | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2023 | 0.336 | 0.336 | 500 | (5) | (5) | 7 | 2 | 2 | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 0.640 | 0.640 | 400 | (3) | (3) | 6 | 3 | 3 | 0 |
|  |  | South Africa Government International Bond  | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 1.304 | 1.304 | 2000 | (80) | (80) | 69 | 0 | 0 | (11) |
| HUS | HUS | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.480 | 0.480 | 1600 | (25) | (25) | 34 | 9 | 9 | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2024 | 0.588 | 0.588 | 300 | (4) | (4) | 6 | 2 | 2 | 0 |
| JPM | JPM | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.480 | 0.480 | 600 | (12) | (12) | 15 | 3 | 3 | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2026 | 0.961 | 0.961 | 200 | (2) | (2) | 2 | 0 | 0 | 0 |
|  |  | Nissan Motor Acceptance Co. LLC  | Nissan Motor Acceptance Co. LLC  | 1.000 | Quarterly | 12/20/2026 | 2.446 | 2.446 | 11400 | (145) | (145) | (427) | 0 | 0 | (572) |
| MYC | MYC | Brookfield Asset Management, Inc.  | Brookfield Asset Management, Inc.  | 1.000 | Quarterly | 06/20/2025 | 1.616 | 1.616 | 1400 | 0 | 0 | (19) | 0 | 0 | (19) |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 0.640 | 0.640 | 300 | (3) | (3) | 5 | 2 | 2 | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 1.048 | 1.048 | 500 | 1 | 1 | (2) | 0 | 0 | (1) |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 1.191 | 1.191 | 1200 | (4) | (4) | (5) | 0 | 0 | (9) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | $**(433)** | **(433)** | $**(10)** | $**206** | **206** | $**(649)** |
| **(m)** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $896 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(4)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(5)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |

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<br> Schedule of Investments PIMCO Investment Grade Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** | **FAIR** **VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | $0 | $6469 | $6442 | $12911 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | 0 | 1259245 | 0 | 1259245 |
| Industrials | 0 | 815474 | 0 | 815474 |
| Utilities | 0 | 297403 | 0 | 297403 |
| Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes |
| Industrials | 0 | 1205 | 0 | 1205 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| California | 0 | 1589 | 0 | 1589 |
| Georgia | 0 | 9035 | 0 | 9035 |
| Illinois | 0 | 674 | 0 | 674 |
| Massachusetts | 0 | 305 | 0 | 305 |
| New York | 0 | 308 | 0 | 308 |
| Ohio | 0 | 8008 | 0 | 8008 |
| U.S. Government Agencies | 0 | 188361 | 0 | 188361 |
| U.S. Treasury Obligations | 0 | 159878 | 0 | 159878 |
| Non-Agency Mortgage-Backed Securities | 0 | 14403 | 0 | 14403 |
| Asset-Backed Securities | 0 | 10301 | 0 | 10301 |
| Sovereign Issues | 0 | 21395 | 0 | 21395 |
| Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities |
| Banking & Finance | 15630 | 0 | 0 | 15630 |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | 6435 | 129236 | 0 | 135671 |
| Industrials | 0 | 5654 | 0 | 5654 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Commercial Paper | 0 | 28574 | 0 | 28574 |
| Repurchase Agreements | 0 | 3316 | 0 | 3316 |
| U.S. Treasury Bills | 0 | 746 | 0 | 746 |
|  | $22065 | $2961579 | $6442 | $2990086 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | $126906 | $0 | $0 | $126906 |
| Total Investments | $148971 | $2961579 | $6442 | $3116992 |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |
| U.S. Government Agencies | $0 | $(13755) | $0 | $(13755) |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 0 | 65 | 0 | 65 |
| Over the counter | 0 | 206 | 0 | 206 |
|  | $0 | $271 | $0 | $271 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (231) | 0 | (231) |
| Over the counter | 0 | (1087) | 0 | (1087) |
|  | $0 | $(1318) | $0 | $(1318) |
| Total Financial Derivative Instruments | $0 | $(1047) | $0 | $(1047) |
| Totals | $148971 | $2946777 | $6442 | $3102190 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 120.3% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 1.1%**  |  |  |
| **Avolon TLB Borrower 1 (U.S.) LLC**<br>6.603% (LIBOR01M + 2.250%) due 12/01/2027 ~ | $3742 | $3741 |
| **Carnival Corp.**<br>7.384% (LIBOR01M + 3.000%) due 06/30/2025 ~ | 8482 | 8157 |
| **Castlelake LP**<br>2.950% (LIBOR03M + 2.950%) due 05/13/2031 «~ | 42102 | 38102 |
| **Catalent Pharma Solutions, Inc.**<br>6.375% (LIBOR01M + 2.000%) due 02/22/2028 ~ | 1975 | 1948 |
| **CenturyLink, Inc.**<br>6.634% (LIBOR01M + 2.250%) due 03/15/2027 ~ | 16751 | 15939 |
| **Charter Communications Operating LLC**<br>TBD% - 6.140% (LIBOR01M + 1.750%) due 02/01/2027 ~ | 56320 | 55081 |
| **Citadel Securities LP**<br>6.823% due 02/02/2028 | 5910 | 5812 |
| **Delos Finance SARL**<br>6.480% (LIBOR03M + 1.750%) due 10/06/2023 ~ | 17711 | 17708 |
| **DirecTV Financing LLC**<br>9.384% (LIBOR01M + 5.000%) due 08/02/2027 ~ | 758 | 739 |
| **DT Midstream, Inc.**<br>6.438% (LIBOR01M + 2.000%) due 06/26/2028 ~ | 2356 | 2363 |
| **HCA, Inc.**<br>6.134% (LIBOR01M + 1.750%) due 06/30/2028 ~ | 16745 | 16755 |
| **Qatar National Bank QPSC**<br>5.557% (LIBOR03M + 0.800%) due 11/06/2023 «~ | 22400 | 22316 |
| **Setanta Aircraft Leasing Designated Activity Co.**<br>6.730% (LIBOR03M + 2.000%) due 11/05/2028 ~ | 25000 | 24925 |
| **SkyMiles IP Ltd.**<br>7.993% (LIBOR03M + 3.750%) due 10/20/2027 ~ | 21800 | 22262 |
| **Standard Industries, Inc.**<br>6.425% (LIBOR06M + 2.250%) due 09/22/2028 ~ | 9958 | 9850 |
| **Zephyrus Capital Aviation Partners LLC**<br>4.605% due 10/15/2038 | 10278 | 8791 |
| Total Loan Participations and Assignments (Cost $262,005) |  | 254489 |
| **CORPORATE BONDS & NOTES 77.9%**  |  |  |
| **BANKING & FINANCE 26.3%**  |  |  |
| **Accident Fund Insurance Co. of America** <br>8.500% due 08/01/2032 | 103000 | 105759 |
| **AerCap Ireland Capital DAC**  |  |  |
| 3.000% due 10/29/2028  | 22300 | 18723 |
| 3.300% due 01/30/2032  | 16800 | 13175 |
| 3.850% due 10/29/2041  | 6200 | 4405 |
| 3.875% due 01/23/2028  | 150 | 135 |
| 4.125% due 07/03/2023  | 8645 | 8586 |
| 4.625% due 10/15/2027  | 16500 | 15351 |
| **Agree LP** <br>4.800% due 10/01/2032 | 5300 | 4919 |
| **AIA Group Ltd.**  |  |  |
| 3.200% due 09/16/2040  | 3900 | 2790 |
| 3.900% due 04/06/2028  | 2200 | 2070 |
| **Aircastle Ltd.** <br>2.850% due 01/26/2028 | 12500 | 10243 |
| **Alexandria Real Estate Equities, Inc.**  |  |  |
| 2.000% due 05/18/2032 (j)  | 13500 | 10373 |
| 3.000% due 05/18/2051  | 9500 | 6047 |
| 3.450% due 04/30/2025  | 700 | 678 |
| 3.550% due 03/15/2052  | 18300 | 13127 |
| 4.000% due 02/01/2050  | 13100 | 9989 |
| 4.850% due 04/15/2049  | 900 | 767 |
| **Alleghany Corp.** <br>4.900% due 09/15/2044 | 5400 | 4976 |
| **Ally Financial, Inc.**  |  |  |
| 2.200% due 11/02/2028  | 800 | 625 |
| 3.050% due 06/05/2023  | 22600 | 22348 |
| 8.000% due 11/01/2031  | 18415 | 19079 |
| **American Assets Trust LP** <br>3.375% due 02/01/2031 | 30500 | 24261 |
| **American Financial Group, Inc.** <br>4.500% due 06/15/2047 | 40300 | 32082 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **American** **Homes 4 Rent LP**  |  |  |
| 3.375% due 07/15/2051  | 10700 | 6703 |
| 3.625% due 04/15/2032  | 21500 | 18143 |
| 4.250% due 02/15/2028  | 7483 | 6932 |
| 4.300% due 04/15/2052  | 10700 | 7889 |
| 4.900% due 02/15/2029  | 11300 | 10703 |
| **American International Group, Inc.**  |  |  |
| 4.375% due 06/30/2050  | 6200 | 5277 |
| 4.750% due 04/01/2048  | 4000 | 3588 |
| 4.800% due 07/10/2045  | 1200 | 1083 |
| **American Tower Corp.**  |  |  |
| 0.950% due 10/05/2030  | 4300 | 3534 |
| 2.100% due 06/15/2030  | $17100 | 13573 |
| 2.950% due 01/15/2025  | 7500 | 7159 |
| 2.950% due 01/15/2051 (j)  | 40000 | 24932 |
| 3.100% due 06/15/2050  | 14059 | 8904 |
| 3.125% due 01/15/2027  | 16200 | 14867 |
| 3.375% due 10/15/2026  | 6487 | 6074 |
| 3.600% due 01/15/2028  | 2250 | 2072 |
| 3.700% due 10/15/2049  | 7300 | 5210 |
| 3.800% due 08/15/2029  | 61500 | 55924 |
| 3.950% due 03/15/2029  | 23300 | 21528 |
| 4.050% due 03/15/2032  | 1300 | 1163 |
| 4.400% due 02/15/2026  | 3100 | 3024 |
| **AmFam Holdings, Inc.**  |  |  |
| 2.805% due 03/11/2031  | 11960 | 9322 |
| 3.833% due 03/11/2051  | 10315 | 6807 |
| **Antares Holdings LP**  |  |  |
| 2.750% due 01/15/2027  | 7700 | 6178 |
| 3.750% due 07/15/2027  | 18400 | 14900 |
| 3.950% due 07/15/2026  | 4100 | 3551 |
| **Arch Capital Finance LLC** <br>5.031% due 12/15/2046 | 4100 | 3549 |
| **Arch Capital Group Ltd.** <br>3.635% due 06/30/2050 | 23025 | 15987 |
| **Ares Capital Corp.** <br>3.200% due 11/15/2031 | 2900 | 2135 |
| **Ares Finance Co. LLC**  |  |  |
| 3.250% due 06/15/2030  | 6400 | 5295 |
| 3.650% due 02/01/2052  | 5100 | 3122 |
| 4.125% due 06/30/2051 •  | 12400 | 9375 |
| **Arthur J Gallagher & Co.** <br>3.500% due 05/20/2051 | 17500 | 12290 |
| **Assured Guaranty U.S. Holdings, Inc.**  |  |  |
| 3.150% due 06/15/2031  | 7600 | 6416 |
| 3.600% due 09/15/2051  | 10300 | 6746 |
| **Athene Global Funding** <br>2.500% due 01/14/2025 | 3300 | 3093 |
| **Aviation Capital Group LLC**  |  |  |
| 3.500% due 11/01/2027  | 1900 | 1663 |
| 5.500% due 12/15/2024  | 7600 | 7471 |
| **Avolon Holdings Funding Ltd.**  |  |  |
| 2.528% due 11/18/2027 (j)  | 41354 | 33115 |
| 2.875% due 02/15/2025  | 5700 | 5270 |
| 5.500% due 01/15/2026  | 15000 | 14277 |
| **AXIS Specialty Finance LLC** <br>3.900% due 07/15/2029 | 4000 | 3562 |
| **Banco de Credito del Peru SA** <br>4.650% due 09/17/2024 | 14500 | 3567 |
| **Banco de Credito e Inversiones SA**  |  |  |
| 3.500% due 10/12/2027  | $9200 | 8484 |
| 4.000% due 02/11/2023  | 1900 | 1888 |
| **Banco Inbursa SA Institucion De Banca Multiple Grupo Financiero Inbursa** <br>4.375% due 04/11/2027 | 5100 | 4816 |
| **Banco Santander SA**  |  |  |
| 2.746% due 05/28/2025  | 6600 | 6183 |
| 3.306% due 06/27/2029  | 7200 | 6284 |
| 3.490% due 05/28/2030  | 5400 | 4557 |
| 4.379% due 04/12/2028  | 18400 | 17298 |
| **Bancolombia SA** <br>3.000% due 01/29/2025 | 11800 | 11198 |
| **Bank of America Corp.**  |  |  |
| 2.299% due 07/21/2032 •  | 12355 | 9544 |
| 2.687% due 04/22/2032 •  | 10000 | 8028 |
| 2.972% due 07/21/2052 •  | 1700 | 1069 |
| 3.194% due 07/23/2030 •  | 30600 | 26382 |
| 3.311% due 04/22/2042 •  | 8700 | 6412 |
| 3.419% due 12/20/2028 •  | 85251 | 77341 |
| 3.593% due 07/21/2028 •  | 13900 | 12818 |
| 3.974% due 02/07/2030 •  | 14862 | 13528 |
| 4.083% due 03/20/2051 •  | 2200 | 1732 |
| 4.271% due 07/23/2029 •  | 3000 | 2803 |
| 4.571% due 04/27/2033 •  | 88000 | 80743 |
| 5.015% due 07/22/2033 •  | 5200 | 4952 |
| 7.750% due 05/14/2038  | 8700 | 10153 |
| 8.050% due 06/15/2027  | 3180 | 3429 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Bank** **of America NA** <br>6.000% due 10/15/2036 | 9200 | 9436 |
| **Bank of Nova Scotia** <br>4.900% due 06/04/2025 •(f) | 6600 | 6344 |
| **Barclays PLC**  |  |  |
| 3.330% due 11/24/2042 •(j)  | 6000 | 4117 |
| 4.337% due 01/10/2028  | 4400 | 4096 |
| 4.338% due 05/16/2024 •  | 15000 | 14898 |
| 4.375% due 01/12/2026  | 5000 | 4844 |
| 4.972% due 05/16/2029 •  | 40987 | 38566 |
| 5.088% due 06/20/2030 •  | 2075 | 1915 |
| 5.746% due 08/09/2033 •  | 2400 | 2274 |
| 7.125% due 06/15/2025 •(f)(g)  | 8400 | 9626 |
| 7.250% due 03/15/2023 •(f)(g)  | 1300 | 1557 |
| 7.437% due 11/02/2033 •  | $8500 | 8932 |
| 7.750% due 09/15/2023 •(f)(g)  | 10700 | 10473 |
| **Berkshire Hathaway Finance Corp.**  |  |  |
| 2.875% due 03/15/2032  | 7900 | 6866 |
| 3.850% due 03/15/2052  | 13600 | 10912 |
| 4.200% due 08/15/2048  | 13700 | 12129 |
| 4.250% due 01/15/2049  | 3500 | 3135 |
| **Berkshire Hathaway, Inc.** <br>4.500% due 02/11/2043 | 745 | 700 |
| **BGC Partners, Inc.**  |  |  |
| 4.375% due 12/15/2025  | 6100 | 5722 |
| 5.375% due 07/24/2023  | 20500 | 20407 |
| **Blackstone Holdings Finance Co. LLC**  |  |  |
| 2.000% due 01/30/2032 (j)  | 7200 | 5307 |
| 2.800% due 09/30/2050  | 10500 | 6135 |
| 3.200% due 01/30/2052  | 43000 | 27615 |
| 3.500% due 09/10/2049  | 5500 | 3745 |
| 4.000% due 10/02/2047  | 8400 | 6314 |
| **Blackstone Private Credit Fund** <br>4.700% due 03/24/2025 | 7100 | 6812 |
| **Blackstone Secured Lending Fund** <br>2.750% due 09/16/2026 | 8300 | 7292 |
| **Block Financial LLC** <br>2.500% due 07/15/2028 | 6700 | 5707 |
| **Blue Owl Finance LLC**  |  |  |
| 3.125% due 06/10/2031 (j)  | 28800 | 21453 |
| 4.125% due 10/07/2051  | 10500 | 6212 |
| 4.375% due 02/15/2032  | 11000 | 8820 |
| **BNP Paribas SA**  |  |  |
| 2.871% due 04/19/2032 •  | 6200 | 4863 |
| 3.052% due 01/13/2031 •  | 13800 | 11339 |
| 3.132% due 01/20/2033 •  | 39900 | 31603 |
| 5.198% due 01/10/2030 •  | 3400 | 3238 |
| 6.625% due 03/25/2024 •(f)  | 11000 | 10667 |
| 7.750% due 08/16/2029 •(f)(g)  | 15000 | 14850 |
| **Brighthouse Financial, Inc.**  |  |  |
| 3.850% due 12/22/2051  | 13100 | 8318 |
| 4.700% due 06/22/2047  | 5355 | 3938 |
| **Brookfield Finance LLC** <br>3.450% due 04/15/2050 | 19000 | 12075 |
| **Brookfield Finance, Inc.**  |  |  |
| 3.500% due 03/30/2051  | 14900 | 9517 |
| 3.625% due 02/15/2052  | 33900 | 22158 |
| 4.700% due 09/20/2047  | 34350 | 27760 |
| **Brown & Brown, Inc.**  |  |  |
| 4.500% due 03/15/2029  | 10300 | 9596 |
| 4.950% due 03/17/2052  | 14800 | 12083 |
| **Camden Property Trust** <br>3.350% due 11/01/2049 | 1400 | 983 |
| **Cantor Fitzgerald LP** <br>4.500% due 04/14/2027 | 14500 | 13456 |
| **Capital One Financial Corp.** <br>5.268% due 05/10/2033 •  | 14800 | 13789 |
| **Carlyle Finance LLC** <br>5.650% due 09/15/2048 | 5700 | 5098 |
| **Carlyle Finance Subsidiary LLC** <br>3.500% due 09/19/2029 | 3600 | 3052 |
| **Carlyle Holdings Finance LLC** <br>5.625% due 03/30/2043 | 12213 | 10926 |
| **Chubb INA Holdings, Inc.**  |  |  |
| 2.850% due 12/15/2051  | 8500 | 5657 |
| 3.050% due 12/15/2061  | 17548 | 11459 |
| **CI Financial Corp.**  |  |  |
| 3.200% due 12/17/2030  | 2500 | 1902 |
| 4.100% due 06/15/2051  | 38200 | 22636 |
| **Cibanco SA Ibm** <br>4.962% due 07/18/2029 | 7200 | 6568 |
| **Citigroup, Inc.**  |  |  |
| 2.561% due 05/01/2032 •(h)  | 12500 | 9898 |
| 2.572% due 06/03/2031 •(h)  | 4000 | 3244 |
| 3.057% due 01/25/2033 •(h)  | 7500 | 6072 |
| 3.200% due 10/21/2026  | 21350 | 19781 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.668% due 07/24/2028 •  | 17500 | 16099 |
| 3.785% due 03/17/2033 •(h)  | 18500 | 15873 |
| 4.075% due 04/23/2029 •  | 48000 | 44254 |
| 8.125% due 07/15/2039  | 12866 | 15877 |
| **CME Group, Inc.**  |  |  |
| 2.650% due 03/15/2032  | 10000 | 8404 |
| 4.150% due 06/15/2048  | 6100 | 5423 |
| 5.300% due 09/15/2043  | 1125 | 1172 |
| **Commonwealth Bank of Australia** <br>3.784% due 03/14/2032 (g) | 13700 | 11328 |
| **Cooperatieve Rabobank UA**  |  |  |
| 3.758% due 04/06/2033 •  | 42900 | 36661 |
| 4.625% due 12/29/2025 •(f)(g)  | 9200 | 9130 |
| **Corebridge Financial, Inc.**  |  |  |
| 3.900% due 04/05/2032  | $21500 | 18836 |
| 4.350% due 04/05/2042  | 10400 | 8575 |
| 4.400% due 04/05/2052  | 45700 | 36445 |
| 6.875% due 12/15/2052 •  | 12500 | 11609 |
| **Corporate Office Properties LP**  |  |  |
| 2.250% due 03/15/2026  | 3600 | 3161 |
| 2.900% due 12/01/2033  | 4000 | 2849 |
| **Credit Suisse AG** <br>6.500% due 08/08/2023 (g) | 47877 | 46474 |
| **Credit Suisse Group AG**  |  |  |
| 0.625% due 01/18/2033  | 800 | 477 |
| 2.593% due 09/11/2025 •  | $4500 | 3981 |
| 3.091% due 05/14/2032 •  | 57529 | 39864 |
| 3.750% due 03/26/2025  | 26250 | 23646 |
| 3.800% due 06/09/2023  | 2400 | 2337 |
| 3.869% due 01/12/2029 •  | 10550 | 8472 |
| 4.194% due 04/01/2031 •  | 2250 | 1751 |
| 4.207% due 06/12/2024 •  | 250 | 244 |
| 4.282% due 01/09/2028  | 17400 | 14448 |
| 4.550% due 04/17/2026  | 13000 | 11480 |
| 4.875% due 05/15/2045  | 7275 | 4999 |
| 6.442% due 08/11/2028 •  | 2900 | 2645 |
| 6.537% due 08/12/2033 •  | 19750 | 17378 |
| **Crown Castle, Inc.**  |  |  |
| 2.100% due 04/01/2031  | 500 | 395 |
| 2.250% due 01/15/2031  | 3753 | 3020 |
| 3.100% due 11/15/2029  | 7500 | 6554 |
| 3.250% due 01/15/2051  | 36700 | 24018 |
| 3.800% due 02/15/2028  | 14700 | 13688 |
| 4.000% due 11/15/2049  | 39410 | 29986 |
| 4.300% due 02/15/2029  | 4400 | 4164 |
| 4.450% due 02/15/2026  | 16495 | 16139 |
| 4.750% due 05/15/2047  | 16840 | 14375 |
| 5.200% due 02/15/2049  | 18710 | 16914 |
| **CubeSmart LP** <br>2.500% due 02/15/2032 | 12800 | 9818 |
| **DAE Sukuk Difc Ltd.** <br>3.750% due 02/15/2026 | 12500 | 11889 |
| **Danske Bank AS** <br>5.375% due 01/12/2024 | 1500 | 1488 |
| **Deutsche Bank AG**  |  |  |
| 2.625% due 12/16/2024  | 12200 | 13715 |
| 2.625% due 02/12/2026  | 11600 | 11732 |
| 3.035% due 05/28/2032 •(h)  | $23710 | 18024 |
| 3.547% due 09/18/2031 •  | 27250 | 21905 |
| 3.729% due 01/14/2032 •(h)  | 28800 | 21174 |
| 3.742% due 01/07/2033 •  | 17700 | 12608 |
| 3.875% due 02/12/2024  | 3900 | 4603 |
| 3.961% due 11/26/2025 •  | $14600 | 13962 |
| **Digital Realty Trust LP**  |  |  |
| 3.700% due 08/15/2027  | 500 | 465 |
| 4.450% due 07/15/2028  | 10900 | 10340 |
| **Doctors Co. An Interinsurance Exchange** <br>4.500% due 01/18/2032 | 36000 | 29013 |
| **EPR Properties**  |  |  |
| 3.750% due 08/15/2029  | 11360 | 8915 |
| 4.500% due 04/01/2025  | 200 | 190 |
| 4.500% due 06/01/2027  | 9325 | 8175 |
| 4.750% due 12/15/2026  | 100 | 90 |
| 4.950% due 04/15/2028  | 13000 | 11112 |
| **Equinix, Inc.**  |  |  |
| 3.000% due 07/15/2050  | 17681 | 11176 |
| 3.400% due 02/15/2052  | 11300 | 7748 |
| 3.900% due 04/15/2032  | 54700 | 48752 |
| **Equitable Holdings, Inc.**  |  |  |
| 3.900% due 04/20/2023  | 520 | 518 |
| 4.350% due 04/20/2028  | 12407 | 11844 |
| 5.000% due 04/20/2048  | 38275 | 33702 |
| **Erste Group Bank AG** <br>4.250% due 10/15/2027 •(f)(g) | 8000 | 6811 |
| **Essential Properties LP** <br>2.950% due 07/15/2031 | $5000 | 3647 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Essex** **Portfolio LP**  |  |  |
| 2.550% due 06/15/2031  | 7500 | 5942 |
| 2.650% due 09/01/2050  | 11800 | 6686 |
| 3.625% due 05/01/2027  | 10700 | 10016 |
| 4.500% due 03/15/2048  | 3900 | 3095 |
| **Everest Reinsurance Holdings, Inc.**  |  |  |
| 3.125% due 10/15/2052  | 6800 | 4273 |
| 3.500% due 10/15/2050  | 1500 | 1023 |
| **Extra Space Storage LP**  |  |  |
| 2.350% due 03/15/2032  | 3000 | 2278 |
| 3.900% due 04/01/2029  | 2900 | 2604 |
| **Fairfax Financial Holdings Ltd.**  |  |  |
| 4.625% due 04/29/2030  | 7200 | 6549 |
| 4.850% due 04/17/2028  | 18100 | 17140 |
| 5.625% due 08/16/2032  | 17900 | 16852 |
| **Farmers Insurance Exchange** <br>4.747% due 11/01/2057 •  | 21600 | 17397 |
| **First American Financial Corp.**  |  |  |
| 4.000% due 05/15/2030  | 3300 | 2772 |
| 4.300% due 02/01/2023  | 18250 | 18232 |
| **FMR LLC**  |  |  |
| 5.150% due 02/01/2043  | 1550 | 1368 |
| 6.450% due 11/15/2039  | 500 | 514 |
| **Ford Holdings LLC** <br>9.300% due 03/01/2030 | 14575 | 16399 |
| **Ford Motor Credit Co. LLC** <br>5.584% due 03/18/2024 | 52500 | 51925 |
| **Franklin Resources, Inc.** <br>2.950% due 08/12/2051 | 2800 | 1742 |
| **FS KKR Capital Corp.** <br>3.125% due 10/12/2028 | 17400 | 14057 |
| **Globe Life, Inc.** <br>2.150% due 08/15/2030 | 700 | 556 |
| **GLP Capital LP**  |  |  |
| 3.250% due 01/15/2032  | 2300 | 1842 |
| 4.000% due 01/15/2030  | 13040 | 11444 |
| 4.000% due 01/15/2031  | 3100 | 2665 |
| 5.300% due 01/15/2029  | 28800 | 27306 |
| 5.750% due 06/01/2028  | 1166 | 1149 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 2.615% due 04/22/2032 •  | 4000 | 3200 |
| 3.102% due 02/24/2033 •  | 1700 | 1385 |
| 3.436% due 02/24/2043 •  | 14100 | 10416 |
| 3.691% due 06/05/2028 •  | 22244 | 20702 |
| 4.017% due 10/31/2038 •  | 100 | 83 |
| 4.411% due 04/23/2039 •  | 2100 | 1823 |
| 6.250% due 02/01/2041  | 12925 | 13551 |
| 6.750% due 10/01/2037  | 102500 | 109803 |
| **Golub Capital BDC, Inc.** <br>2.050% due 02/15/2027 | 21800 | 17755 |
| **Goodman U.S. Finance Four LLC**  |  |  |
| 4.500% due 10/15/2037  | 21200 | 17833 |
| 4.625% due 05/04/2032  | 21100 | 19296 |
| **Goodman U.S. Finance Three LLC** <br>3.700% due 03/15/2028 | 21450 | 19393 |
| **Great-West Lifeco Finance Delaware LP** <br>4.150% due 06/03/2047 | 3200 | 2482 |
| **Guardian Life Insurance Co. of America** <br>4.850% due 01/24/2077 | 7903 | 6496 |
| **Hanover Insurance Group, Inc.** <br>4.500% due 04/15/2026 | 6600 | 6466 |
| **Hartford Financial Services Group, Inc.** <br>6.731% due 02/12/2067 •  | 3600 | 3023 |
| **Healthpeak Properties, Inc.** <br>6.750% due 02/01/2041 | 3500 | 3615 |
| **High Street Funding Trust** <br>4.682% due 02/15/2048 | 8800 | 7125 |
| **Highwoods Realty LP**  |  |  |
| 2.600% due 02/01/2031  | 2700 | 2024 |
| 4.200% due 04/15/2029  | 2198 | 1920 |
| **Hill City Funding Trust** <br>4.046% due 08/15/2041 | 15000 | 10379 |
| **HSBC Bank USA NA** <br>7.000% due 01/15/2039 | 11450 | 12389 |
| **HSBC Holdings PLC**  |  |  |
| 2.357% due 08/18/2031 •  | 4600 | 3525 |
| 2.804% due 05/24/2032 •  | 78700 | 61070 |
| 2.848% due 06/04/2031 •  | 6800 | 5442 |
| 3.803% due 03/11/2025 •  | 9957 | 9684 |
| 3.900% due 05/25/2026  | 4500 | 4291 |
| 3.973% due 05/22/2030 •  | 4000 | 3509 |
| 4.300% due 03/08/2026  | 21131 | 20464 |
| 4.583% due 06/19/2029 •  | 7050 | 6503 |
| 4.600% due 12/17/2030 •(f)  | 3200 | 2498 |
| 4.700% due 03/09/2031 •(f)  | 7600 | 6041 |
| 4.950% due 03/31/2030  | 4600 | 4398 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.402% due 08/11/2033 •  | 8100 | 7524 |
| 5.875% due 09/28/2026 •(f)(g)  | 26400 | 28551 |
| 6.100% due 01/14/2042  | $10850 | 11365 |
| 6.500% due 03/23/2028 •(f)(g)  | 86300 | 79648 |
| 6.500% due 09/15/2037  | 18115 | 17496 |
| 6.800% due 06/01/2038  | 4300 | 4285 |
| 7.000% due 04/07/2038  | 1900 | 2342 |
| 7.625% due 05/17/2032  | $11547 | 11810 |
| **Hudson Pacific Properties LP**  |  |  |
| 3.250% due 01/15/2030  | 7600 | 5776 |
| 3.950% due 11/01/2027  | 5600 | 4773 |
| 4.650% due 04/01/2029  | 7537 | 6453 |
| **ING Groep NV**  |  |  |
| 2.727% due 04/01/2032 •  | 7500 | 5993 |
| 4.625% due 01/06/2026  | 400 | 391 |
| 5.750% due 11/16/2026 •(f)(g)  | 5600 | 4974 |
| **Intercontinental Exchange, Inc.**  |  |  |
| 3.000% due 09/15/2060  | 9146 | 5771 |
| 4.250% due 09/21/2048  | 1800 | 1510 |
| 4.600% due 03/15/2033  | 28200 | 27017 |
| 4.950% due 06/15/2052  | 1600 | 1491 |
| **Intesa Sanpaolo SpA** <br>4.000% due 09/23/2029 | 8000 | 6861 |
| **Invitation Homes Operating Partnership LP**  |  |  |
| 2.000% due 08/15/2031  | 3200 | 2372 |
| 2.700% due 01/15/2034  | 6600 | 4832 |
| 4.150% due 04/15/2032  | 14500 | 12725 |
| **JAB Holdings BV**  |  |  |
| 2.200% due 11/23/2030  | 4700 | 3535 |
| 3.750% due 05/28/2051  | 1500 | 887 |
| 4.500% due 04/08/2052  | 56750 | 38710 |
| **Jefferies Financial Group, Inc.** <br>6.500% due 01/20/2043 | 22200 | 21731 |
| **JPMorgan Chase & Co.**  |  |  |
| 2.545% due 11/08/2032 •  | 12500 | 9912 |
| 2.739% due 10/15/2030 •  | 6375 | 5360 |
| 2.963% due 01/25/2033 •  | 31000 | 25312 |
| 3.509% due 01/23/2029 •  | 23200 | 21095 |
| 3.702% due 05/06/2030 •  | 5000 | 4495 |
| 3.897% due 01/23/2049 •  | 4720 | 3638 |
| 4.005% due 04/23/2029 •  | 15000 | 13904 |
| 4.586% due 04/26/2033 •  | 23000 | 21358 |
| 5.600% due 07/15/2041  | 13220 | 13278 |
| **Kilroy Realty LP**  |  |  |
| 2.650% due 11/15/2033  | 15200 | 10585 |
| 3.050% due 02/15/2030  | 1500 | 1203 |
| 4.250% due 08/15/2029  | 12400 | 10884 |
| 4.750% due 12/15/2028  | 2000 | 1818 |
| **KKR Financial Holdings LLC** <br>5.400% due 05/23/2033 | 15900 | 14850 |
| **KKR Group Finance Co. LLC**  |  |  |
| 3.500% due 08/25/2050  | 31450 | 21158 |
| 3.625% due 02/25/2050  | 26000 | 17938 |
| 4.850% due 05/17/2032  | 19000 | 17794 |
| **La Mondiale SAM** <br>2.125% due 06/23/2031 | 3500 | 2884 |
| **Lazard Group LLC** <br>4.500% due 09/19/2028 | $400 | 372 |
| **Legg Mason, Inc.** <br>5.625% due 01/15/2044 | 18493 | 18112 |
| **Liberty Mutual Group, Inc.**  |  |  |
| 3.950% due 05/15/2060  | 20300 | 13391 |
| 4.300% due 02/01/2061  | 14500 | 8865 |
| **Life Storage LP** <br>3.875% due 12/15/2027 | 1100 | 1020 |
| **Lloyds Bank PLC** <br>0.000% due 04/02/2032 þ | 29200 | 17868 |
| **Lloyds Banking Group PLC**  |  |  |
| 3.574% due 11/07/2028 •  | 10200 | 9189 |
| 4.375% due 03/22/2028  | 3400 | 3233 |
| 4.450% due 05/08/2025  | 500 | 491 |
| 4.550% due 08/16/2028  | 32500 | 30639 |
| **LSEGA Financing PLC** <br>3.200% due 04/06/2041 | 9700 | 7081 |
| **M&G PLC** <br>5.560% due 07/20/2055 •  | 1900 | 1978 |
| **Marsh & McLennan Cos., Inc.**  |  |  |
| 4.200% due 03/01/2048  | $5800 | 4808 |
| 4.350% due 01/30/2047  | 4800 | 4055 |
| 4.900% due 03/15/2049  | 13100 | 12112 |
| 6.250% due 11/01/2052  | 12200 | 13609 |
| **Massachusetts Mutual Life Insurance Co.**  |  |  |
| 3.729% due 10/15/2070  | 11166 | 7370 |
| 4.900% due 04/01/2077  | 4800 | 3949 |
| 5.077% due 02/15/2069 •  | 27500 | 24561 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Meiji** **Yasuda Life Insurance Co.** <br>5.100% due 04/26/2048 •  | 7100 | 6813 |
| **MetLife, Inc.**  |  |  |
| 5.000% due 07/15/2052  | 900 | 862 |
| 9.250% due 04/08/2068  | 51066 | 59558 |
| 10.750% due 08/01/2069  | 5132 | 6830 |
| **Mid-America Apartments LP**  |  |  |
| 3.600% due 06/01/2027  | 300 | 285 |
| 4.300% due 10/15/2023  | 11900 | 11834 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 2.048% due 07/17/2030  | 13900 | 10995 |
| 2.309% due 07/20/2032 •  | 3000 | 2316 |
| 3.751% due 07/18/2039  | 16200 | 13224 |
| 4.153% due 03/07/2039  | 7700 | 6529 |
| 4.286% due 07/26/2038  | 7900 | 6868 |
| 4.315% due 04/19/2033 •  | 25000 | 22733 |
| 5.133% due 07/20/2033 •  | 10300 | 9865 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 1.979% due 09/08/2031 •  | 18400 | 14112 |
| 2.172% due 05/22/2032 •  | 7400 | 5643 |
| 2.201% due 07/10/2031 •  | 14800 | 11585 |
| 5.669% due 09/13/2033 •  | 4300 | 4280 |
| **Morgan Stanley**  |  |  |
| 0.000% due 04/02/2032 þ(h)  | 62100 | 35467 |
| 2.239% due 07/21/2032 •  | 28500 | 21933 |
| 2.802% due 01/25/2052 •  | 1000 | 620 |
| 2.943% due 01/21/2033 •  | 5200 | 4220 |
| 3.217% due 04/22/2042 •  | 15200 | 11308 |
| 3.591% due 07/22/2028 •  | 400 | 368 |
| 3.875% due 01/27/2026  | 4095 | 3969 |
| 5.297% due 04/20/2037 •  | 31500 | 28888 |
| 6.375% due 07/24/2042  | 14350 | 15639 |
| **Morgan Stanley Domestic Holdings, Inc.**  |  |  |
| 3.800% due 08/24/2027  | 5525 | 5208 |
| 4.500% due 06/20/2028  | 7885 | 7683 |
| **MPT Operating Partnership LP** <br>3.500% due 03/15/2031 | 3200 | 2200 |
| **Mutual of Omaha Insurance Co.** <br>4.297% due 07/15/2054 •  | 19870 | 18932 |
| **Nasdaq, Inc.**  |  |  |
| 2.500% due 12/21/2040  | 6000 | 3911 |
| 3.950% due 03/07/2052  | 1800 | 1376 |
| **National Health Investors, Inc.** <br>3.000% due 02/01/2031 | 10600 | 7666 |
| **National Retail Properties, Inc.**  |  |  |
| 2.500% due 04/15/2030  | 500 | 406 |
| 3.500% due 04/15/2051  | 3800 | 2557 |
| **Nationwide Building Society**  |  |  |
| 3.960% due 07/18/2030 •  | 26756 | 23219 |
| 4.000% due 09/14/2026  | 6635 | 6043 |
| 4.302% due 03/08/2029 •  | 5500 | 4972 |
| **Nationwide Financial Services, Inc.** <br>3.900% due 11/30/2049 | 10000 | 7013 |
| **Nationwide Mutual Insurance Co.**  |  |  |
| 4.350% due 04/30/2050  | 2250 | 1692 |
| 9.375% due 08/15/2039  | 32300 | 41717 |
| **NatWest Group PLC**  |  |  |
| 2.500% due 03/22/2023  | 3900 | 4177 |
| 4.269% due 03/22/2025 •  | $33160 | 32442 |
| 4.445% due 05/08/2030 •  | 5200 | 4719 |
| 4.600% due 06/28/2031 •(f)(g)  | 27100 | 19469 |
| 4.800% due 04/05/2026  | 4650 | 4553 |
| 4.892% due 05/18/2029 •  | 32700 | 30999 |
| 5.076% due 01/27/2030 •  | 46350 | 43756 |
| 5.125% due 05/12/2027 •(f)  | 1500 | 1528 |
| **Neuberger Berman Group LLC**  |  |  |
| 4.500% due 03/15/2027  | $6200 | 5902 |
| 4.875% due 04/15/2045  | 13688 | 11107 |
| **New York Life Insurance Co.**  |  |  |
| 4.450% due 05/15/2069  | 16700 | 13844 |
| 6.750% due 11/15/2039  | 4260 | 4768 |
| **Nippon Life Insurance Co.**  |  |  |
| 2.750% due 01/21/2051 •  | 36900 | 29662 |
| 5.100% due 10/16/2044 •  | 15650 | 15312 |
| **Nissan Motor Acceptance Co. LLC**  |  |  |
| 2.000% due 03/09/2026  | 39200 | 33753 |
| 2.750% due 03/09/2028  | 11000 | 8927 |
| 3.450% due 03/15/2023  | 215 | 214 |
| 3.875% due 09/21/2023  | 8000 | 7854 |
| **Nomura Holdings, Inc.**  |  |  |
| 2.172% due 07/14/2028  | 15900 | 13156 |
| 2.608% due 07/14/2031  | 12400 | 9620 |
| 2.679% due 07/16/2030  | 8000 | 6415 |
| 2.999% due 01/22/2032  | 14100 | 11097 |
| 3.103% due 01/16/2030  | 4700 | 3930 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Nordea** **Bank Abp** <br>3.750% due 03/01/2029 •(f)(g) | 5700 | 4415 |
| **Northwestern Mutual Life Insurance Co.**  |  |  |
| 3.450% due 03/30/2051  | 31400 | 22064 |
| 3.625% due 09/30/2059  | 62990 | 43652 |
| 3.850% due 09/30/2047  | 10340 | 7937 |
| 6.063% due 03/30/2040  | 1 | 1 |
| **Ohio National Life Insurance Co.** <br>6.875% due 06/15/2042 | 400 | 380 |
| **Old Republic International Corp.** <br>3.850% due 06/11/2051 | 37900 | 26154 |
| **Omega Healthcare Investors, Inc.**  |  |  |
| 3.375% due 02/01/2031  | 500 | 386 |
| 3.625% due 10/01/2029  | 4000 | 3290 |
| 4.750% due 01/15/2028  | 7900 | 7294 |
| 5.250% due 01/15/2026  | 15000 | 14705 |
| **OneAmerica Financial Partners, Inc.** <br>4.250% due 10/15/2050 | 5400 | 3867 |
| **Ontario Teachers' Cadillac Fairview Properties Trust** <br>3.875% due 03/20/2027 | 3900 | 3600 |
| **Owl Rock Capital Corp.** <br>2.875% due 06/11/2028 | 2600 | 2046 |
| **Pacific Life Insurance Co.** <br>9.250% due 06/15/2039 | 63816 | 84519 |
| **Pacific LifeCorp** <br>3.350% due 09/15/2050 | 5700 | 3893 |
| **Penn Mutual Life Insurance Co.**  |  |  |
| 3.800% due 04/29/2061  | 40000 | 26579 |
| 7.625% due 06/15/2040  | 32535 | 35241 |
| **Physicians Realty LP**  |  |  |
| 3.950% due 01/15/2028  | 7900 | 7230 |
| 4.300% due 03/15/2027  | 4100 | 3872 |
| **Pine Street Trust**  |  |  |
| 4.572% due 02/15/2029  | 23500 | 21783 |
| 5.568% due 02/15/2049  | 23800 | 21096 |
| **Pinnacol Assurance** <br>8.625% due 06/25/2034 «(h) | 24000 | 26780 |
| **Piper Sandler Cos.** <br>5.200% due 10/15/2023 | 23000 | 22798 |
| **PNC Financial Services Group, Inc.**  |  |  |
| 6.000% due 05/15/2027 •(f)  | 38300 | 36174 |
| 6.200% due 09/15/2027 •(f)  | 8500 | 8343 |
| **Progressive Corp.**  |  |  |
| 3.700% due 01/26/2045  | 1390 | 1082 |
| 3.700% due 03/15/2052  | 4500 | 3475 |
| 4.125% due 04/15/2047  | 1700 | 1432 |
| **Prologis LP** <br>3.050% due 03/01/2050 | 1000 | 670 |
| **Prudential Financial, Inc.**  |  |  |
| 3.700% due 03/13/2051  | 1500 | 1152 |
| 3.935% due 12/07/2049  | 173 | 136 |
| 5.125% due 03/01/2052 •  | 8400 | 7655 |
| **Rayonier LP** <br>2.750% due 05/17/2031 | 7500 | 6043 |
| **Realty Income Corp.**  |  |  |
| 3.400% due 01/15/2028  | 16100 | 14853 |
| 3.950% due 08/15/2027  | 11848 | 11315 |
| 4.650% due 03/15/2047  | 1150 | 1018 |
| **Regency Centers LP**  |  |  |
| 2.950% due 09/15/2029  | 1000 | 841 |
| 4.125% due 03/15/2028  | 1100 | 1023 |
| 4.400% due 02/01/2047  | 4200 | 3245 |
| 4.650% due 03/15/2049  | 1500 | 1201 |
| **Rexford Industrial Realty LP** <br>2.125% due 12/01/2030 | 11800 | 9237 |
| **Sabra Health Care LP**  |  |  |
| 3.200% due 12/01/2031  | 15350 | 11456 |
| 3.900% due 10/15/2029  | 3368 | 2824 |
| **Sammons Financial Group, Inc.** <br>3.350% due 04/16/2031 | 18300 | 13970 |
| **Santander Holdings USA, Inc.** <br>4.400% due 07/13/2027 | 5200 | 4967 |
| **Santander U.K. Group Holdings PLC**  |  |  |
| 2.896% due 03/15/2032 •  | 17160 | 13298 |
| 3.823% due 11/03/2028 •  | 55945 | 50083 |
| **SBA Tower Trust** <br>2.328% due 07/15/2052 | 10300 | 8643 |
| **Selective Insurance Group, Inc.** <br>5.375% due 03/01/2049 | 8800 | 7580 |
| **SMBC Aviation Capital Finance DAC** <br>2.300% due 06/15/2028 | 4200 | 3452 |
| **Societe Generale SA**  |  |  |
| 3.337% due 01/21/2033 •  | 27760 | 21928 |
| 6.221% due 06/15/2033 •  | 7700 | 7223 |
| **Spirit Realty LP**  |  |  |
| 2.700% due 02/15/2032  | 11400 | 8463 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.200% due 02/15/2031  | 11100 | 8887 |
| 3.400% due 01/15/2030  | 9025 | 7538 |
| 4.000% due 07/15/2029  | 200 | 174 |
| 4.450% due 09/15/2026  | 2350 | 2248 |
| **Standard Chartered PLC**  |  |  |
| 3.265% due 02/18/2036 •  | 15500 | 11493 |
| 3.603% due 01/12/2033 •  | 3200 | 2415 |
| **Stifel Financial Corp.** <br>4.000% due 05/15/2030 | 5600 | 4869 |
| **STORE Capital Corp.** <br>2.750% due 11/18/2030 | 1900 | 1463 |
| **Sumitomo Life Insurance Co.** <br>3.375% due 04/15/2081 •  | 16300 | 13620 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 2.130% due 07/08/2030  | 37100 | 29401 |
| 2.750% due 01/15/2030  | 2700 | 2271 |
| 3.040% due 07/16/2029  | 11300 | 9794 |
| **Sun Communities Operating LP** <br>2.700% due 07/15/2031 | 6800 | 5384 |
| **SVB Financial Group** <br>4.570% due 04/29/2033 •  | 16800 | 14910 |
| **Svenska Handelsbanken AB** <br>4.750% due 03/01/2031 •(f) | 6000 | 4928 |
| **Synchrony Financial**  |  |  |
| 2.875% due 10/28/2031  | 12000 | 8988 |
| 4.500% due 07/23/2025  | 600 | 576 |
| **Teachers Insurance & Annuity Association of America**  |  |  |
| 3.300% due 05/15/2050  | 30000 | 20877 |
| 4.270% due 05/15/2047  | 11300 | 9294 |
| 4.900% due 09/15/2044  | 18400 | 16911 |
| 6.850% due 12/16/2039  | 5129 | 5672 |
| **Tesco Property Finance PLC** <br>6.052% due 10/13/2039 | 307 | 362 |
| **Texas Capital Bancshares, Inc.** <br>4.000% due 05/06/2031 •  | $7500 | 6666 |
| **Toronto-Dominion Bank** <br>8.125% due 10/31/2082 •  | 25000 | 26062 |
| **Transatlantic Holdings, Inc.** <br>8.000% due 11/30/2039 | 7933 | 9881 |
| **Travelers Cos., Inc.** <br>4.050% due 03/07/2048 | 4000 | 3236 |
| **Truist Financial Corp.** <br>6.123% due 10/28/2033 •  | 15000 | 15830 |
| **Trust Fibra Uno**  |  |  |
| 6.390% due 01/15/2050  | 23500 | 19011 |
| 6.950% due 01/30/2044  | 25270 | 21977 |
| **Trustage Financial Group, Inc.** <br>4.625% due 04/15/2032 | 54700 | 47322 |
| **UBS AG** <br>5.125% due 05/15/2024 (g) | 17121 | 16935 |
| **UBS Group AG**  |  |  |
| 2.746% due 02/11/2033 •  | 10900 | 8451 |
| 3.179% due 02/11/2043 •  | 1100 | 760 |
| 4.125% due 09/24/2025  | 400 | 389 |
| 4.125% due 04/15/2026  | 34600 | 33231 |
| 4.875% due 02/12/2027 •(f)  | 11400 | 9690 |
| 4.988% due 08/05/2033 •  | 5000 | 4643 |
| **UDR, Inc.** <br>3.500% due 07/01/2027 | 3323 | 3095 |
| **UniCredit SpA**  |  |  |
| 3.127% due 06/03/2032 •  | 6300 | 4749 |
| 7.830% due 12/04/2023  | 78050 | 78876 |
| **Unum Group** <br>4.500% due 12/15/2049 | 500 | 356 |
| **Ventas Realty LP**  |  |  |
| 4.125% due 01/15/2026  | 600 | 583 |
| 4.400% due 01/15/2029  | 1900 | 1774 |
| 4.875% due 04/15/2049  | 4300 | 3583 |
| **VICI Properties LP**  |  |  |
| 5.125% due 05/15/2032  | 7700 | 7145 |
| 5.625% due 05/15/2052  | 17400 | 15417 |
| **Vonovia Finance BV** <br>5.000% due 10/02/2023 | 2200 | 2171 |
| **Voya Financial, Inc.** <br>4.700% due 01/23/2048 •  | 6800 | 5280 |
| **W R Berkley Corp.** <br>4.000% due 05/12/2050 | 4900 | 3734 |
| **Wells Fargo & Co.**  |  |  |
| 2.393% due 06/02/2028 •  | 16500 | 14588 |
| 2.572% due 02/11/2031 •  | 21200 | 17601 |
| 2.879% due 10/30/2030 •  | 43600 | 37127 |
| 3.000% due 04/22/2026  | 8100 | 7586 |
| 3.196% due 06/17/2027 •  | 4000 | 3715 |
| 3.350% due 03/02/2033 •  | 4800 | 4056 |
| 3.584% due 05/22/2028 •  | 33400 | 31063 |
| 4.611% due 04/25/2053 •  | 64700 | 55122 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 7.950% due 11/15/2029  | 1000 | 1105 |
| **Wells Fargo Bank NA**  |  |  |
| 5.850% due 02/01/2037  | 5901 | 5975 |
| 5.950% due 08/26/2036  | 800 | 806 |
| 6.600% due 01/15/2038  | 22877 | 24816 |
| **Welltower, Inc.**  |  |  |
| 4.950% due 09/01/2048  | 3500 | 2896 |
| 6.500% due 03/15/2041  | 29850 | 29865 |
| **Weyerhaeuser Co.**  |  |  |
| 3.375% due 03/09/2033  | 3800 | 3187 |
| 4.000% due 04/15/2030  | 1500 | 1369 |
| 6.875% due 12/15/2033  | 14477 | 15587 |
| 6.950% due 10/01/2027  | 4500 | 4826 |
| 7.375% due 03/15/2032  | 39647 | 43949 |
| **Willis North America, Inc.** <br>3.875% due 09/15/2049 | 13550 | 9674 |
| **WP Carey, Inc.** <br>4.000% due 02/01/2025 | 1600 | 1560 |
| **XLIT Ltd.** <br>5.500% due 03/31/2045 | 12950 | 12298 |
|  |  | 6211573 |
| **INDUSTRIALS 37.0%**  |  |  |
| **7-Eleven, Inc.**  |  |  |
| 2.500% due 02/10/2041  | 4470 | 2966 |
| 2.800% due 02/10/2051  | 23200 | 14303 |
| **AbbVie, Inc.**  |  |  |
| 4.250% due 11/21/2049  | 6800 | 5678 |
| 4.300% due 05/14/2036  | 23400 | 21158 |
| 4.400% due 11/06/2042 (j)  | 44212 | 38552 |
| 4.450% due 05/14/2046  | 33650 | 29085 |
| 4.500% due 05/14/2035  | 37877 | 35221 |
| 4.550% due 03/15/2035  | 565 | 530 |
| 4.700% due 05/14/2045  | 21000 | 18755 |
| 4.850% due 06/15/2044  | 51900 | 47795 |
| **Abu Dhabi Crude Oil Pipeline LLC** <br>4.600% due 11/02/2047 | 7900 | 7289 |
| **Activision Blizzard, Inc.** <br>2.500% due 09/15/2050 | 35200 | 21773 |
| **Adani Electricity Mumbai Ltd.** <br>3.949% due 02/12/2030 | 4800 | 3677 |
| **Advocate Health & Hospitals Corp.** <br>2.211% due 06/15/2030 | 11150 | 9172 |
| **AEP Transmission Co. LLC**  |  |  |
| 3.150% due 09/15/2049  | 6000 | 4182 |
| 3.650% due 04/01/2050  | 2700 | 2073 |
| 3.750% due 12/01/2047  | 1100 | 857 |
| 4.250% due 09/15/2048  | 1474 | 1237 |
| **Aeroporti di Roma SpA** <br>1.750% due 07/30/2031 | 4600 | 3678 |
| **Aetna, Inc.**  |  |  |
| 4.750% due 03/15/2044  | $50 | 44 |
| 6.750% due 12/15/2037  | 4085 | 4400 |
| **Air Canada Pass-Through Trust**  |  |  |
| 4.125% due 11/15/2026  | 10610 | 9717 |
| 5.250% due 10/01/2030  | 5989 | 5667 |
| **Alaska Airlines Pass-Through Trust** <br>4.800% due 02/15/2029 | 16696 | 15920 |
| **Alcon Finance Corp.** <br>3.000% due 09/23/2029 | 500 | 437 |
| **Alibaba Group Holding Ltd.**  |  |  |
| 2.125% due 02/09/2031  | 13400 | 10701 |
| 2.700% due 02/09/2041  | 38869 | 24918 |
| 3.150% due 02/09/2051  | 1150 | 719 |
| 3.250% due 02/09/2061  | 24200 | 14577 |
| 4.000% due 12/06/2037  | 21700 | 18143 |
| 4.200% due 12/06/2047  | 17900 | 13743 |
| 4.400% due 12/06/2057  | 7600 | 5843 |
| 4.500% due 11/28/2034  | 10850 | 9777 |
| **Altria Group, Inc.**  |  |  |
| 3.875% due 09/16/2046  | 9080 | 6105 |
| 5.950% due 02/14/2049  | 22500 | 20112 |
| 6.200% due 02/14/2059  | 6929 | 6517 |
| **Amazon.com, Inc.**  |  |  |
| 2.500% due 06/03/2050  | 3000 | 1904 |
| 2.700% due 06/03/2060  | 2900 | 1761 |
| 3.100% due 05/12/2051  | 19800 | 14201 |
| 3.250% due 05/12/2061  | 40500 | 27939 |
| 4.100% due 04/13/2062  | 11000 | 9144 |
| 4.250% due 08/22/2057 (j)  | 19800 | 17126 |
| **American Airlines Pass-Through Trust**  |  |  |
| 2.875% due 01/11/2036  | 21200 | 17123 |
| 3.000% due 04/15/2030  | 506 | 439 |
| 3.150% due 08/15/2033  | 7473 | 6205 |
| 3.200% due 12/15/2029  | 5810 | 5051 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.350% due 04/15/2031  | 3782 | 3274 |
| 3.375% due 11/01/2028  | 6508 | 5440 |
| 3.500% due 08/15/2033  | 3371 | 2564 |
| 3.575% due 07/15/2029  | 6287 | 5624 |
| 3.600% due 03/22/2029  | 7016 | 6307 |
| 3.600% due 04/15/2031  | 2916 | 2283 |
| 3.650% due 08/15/2030  | 2348 | 2095 |
| 3.700% due 04/01/2028  | 6303 | 5452 |
| 4.000% due 01/15/2027  | 3277 | 2846 |
| **Amgen, Inc.**  |  |  |
| 2.800% due 08/15/2041  | 3700 | 2578 |
| 3.375% due 02/21/2050  | 10300 | 7207 |
| 4.400% due 05/01/2045  | 1000 | 842 |
| 4.563% due 06/15/2048  | 11574 | 9940 |
| 4.663% due 06/15/2051  | 170913 | 147954 |
| 4.950% due 10/01/2041  | 4650 | 4274 |
| **AngloGold Ashanti Holdings PLC**  |  |  |
| 3.375% due 11/01/2028  | 9100 | 7950 |
| 3.750% due 10/01/2030 (j)  | 5600 | 4862 |
| **Anheuser-Busch Cos. LLC**  |  |  |
| 4.700% due 02/01/2036  | 97900 | 92831 |
| 4.900% due 02/01/2046  | 164610 | 150473 |
| **Anheuser-Busch InBev Finance, Inc.** <br>4.900% due 02/01/2046 | 500 | 457 |
| **Anheuser-Busch InBev Worldwide, Inc.**  |  |  |
| 4.350% due 06/01/2040  | 24000 | 21193 |
| 4.375% due 04/15/2038  | 11300 | 10147 |
| 4.439% due 10/06/2048  | 16601 | 14263 |
| 4.600% due 04/15/2048  | 5286 | 4620 |
| 4.950% due 01/15/2042  | 5800 | 5466 |
| 5.450% due 01/23/2039  | 12150 | 12177 |
| 5.800% due 01/23/2059  | 54300 | 55896 |
| **Apple, Inc.**  |  |  |
| 2.650% due 05/11/2050  | 4100 | 2732 |
| 2.800% due 02/08/2061  | 7100 | 4528 |
| 2.850% due 08/05/2061  | 8400 | 5445 |
| 2.950% due 09/11/2049  | 21100 | 15041 |
| 3.750% due 09/12/2047  | 21600 | 18053 |
| 3.850% due 08/04/2046  | 58395 | 49884 |
| **Aptiv PLC**  |  |  |
| 3.100% due 12/01/2051  | 8700 | 5175 |
| 3.250% due 03/01/2032  | 10000 | 8206 |
| 4.150% due 05/01/2052  | 2900 | 2099 |
| 5.400% due 03/15/2049  | 10000 | 8537 |
| **Arrow Electronics, Inc.**  |  |  |
| 2.950% due 02/15/2032  | 600 | 475 |
| 4.500% due 03/01/2023  | 2100 | 2096 |
| **AstraZeneca PLC** <br>4.375% due 11/16/2045 | 1400 | 1264 |
| **Bacardi Ltd.**  |  |  |
| 4.700% due 05/15/2028  | 5200 | 4974 |
| 5.150% due 05/15/2038  | 22540 | 20465 |
| 5.300% due 05/15/2048  | 28300 | 25363 |
| **BAE Systems PLC**  |  |  |
| 3.000% due 09/15/2050  | 11700 | 7623 |
| 3.400% due 04/15/2030  | 7700 | 6812 |
| **Baptist Healthcare System Obligated Group** <br>3.540% due 08/15/2050 | 15000 | 10836 |
| **Barrick North America Finance LLC** <br>5.700% due 05/30/2041 | 8500 | 8577 |
| **BAT Capital Corp.**  |  |  |
| 4.390% due 08/15/2037  | 12200 | 9525 |
| 4.540% due 08/15/2047  | 23333 | 16574 |
| 4.758% due 09/06/2049  | 4200 | 3058 |
| **Baxter International, Inc.** <br>3.132% due 12/01/2051 | 10000 | 6497 |
| **Bayer U.S. Finance LLC**  |  |  |
| 4.200% due 07/15/2034  | 14484 | 12595 |
| 4.375% due 12/15/2028  | 9800 | 9219 |
| 4.400% due 07/15/2044  | 4000 | 3171 |
| 4.625% due 06/25/2038  | 900 | 787 |
| 4.875% due 06/25/2048  | 27000 | 23413 |
| **Becton Dickinson & Co.** <br>3.794% due 05/20/2050 | 10700 | 8264 |
| **Beth Israel Lahey Health, Inc.** <br>3.080% due 07/01/2051 | 14000 | 8687 |
| **Bio-Rad Laboratories, Inc.** <br>3.700% due 03/15/2032 | 24000 | 20621 |
| **Biogen, Inc.** <br>3.250% due 02/15/2051 | 7181 | 4838 |
| **Boardwalk Pipelines LP** <br>3.600% due 09/01/2032 | 20280 | 16837 |
| **Boeing Co.**  |  |  |
| 3.250% due 02/01/2035  | 1755 | 1340 |
| 3.600% due 05/01/2034  | 8470 | 6798 |
| 3.625% due 02/01/2031  | 1700 | 1494 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.650% due 03/01/2047  | 1945 | 1314 |
| 3.750% due 02/01/2050  | 3200 | 2210 |
| 3.825% due 03/01/2059  | 4515 | 2905 |
| 3.950% due 08/01/2059  | 9500 | 6421 |
| 4.508% due 05/01/2023  | 11855 | 11835 |
| 5.705% due 05/01/2040  | 53900 | 51628 |
| 5.805% due 05/01/2050  | 90190 | 84082 |
| 5.930% due 05/01/2060  | 98600 | 90349 |
| **Bon Secours Mercy Health, Inc.** <br>3.205% due 06/01/2050 | 12000 | 8053 |
| **Boston Scientific Corp.**  |  |  |
| 6.750% due 11/15/2035  | 43837 | 48297 |
| 7.375% due 01/15/2040  | 42000 | 48963 |
| **BP Capital Markets America, Inc.**  |  |  |
| 3.000% due 02/24/2050  | 700 | 470 |
| 3.060% due 06/17/2041  | 1830 | 1362 |
| **Bristol-Myers Squibb Co.**  |  |  |
| 3.700% due 03/15/2052  | 12600 | 9867 |
| 4.250% due 10/26/2049 (j)  | 17900 | 15479 |
| 4.350% due 11/15/2047  | 6584 | 5835 |
| **British Airways Pass-Through Trust**  |  |  |
| 3.300% due 06/15/2034  | 20483 | 17433 |
| 3.350% due 12/15/2030  | 1819 | 1574 |
| 4.250% due 05/15/2034  | 1607 | 1442 |
| **Broadcom, Inc.**  |  |  |
| 2.600% due 02/15/2033  | 41901 | 31562 |
| 3.137% due 11/15/2035  | 57112 | 42167 |
| 3.187% due 11/15/2036  | 2674 | 1929 |
| 3.419% due 04/15/2033  | 24710 | 19879 |
| 3.469% due 04/15/2034  | 94812 | 75916 |
| 3.500% due 02/15/2041  | 26100 | 18626 |
| 4.150% due 11/15/2030  | 4485 | 4030 |
| 4.150% due 04/15/2032  | 44100 | 38834 |
| 4.300% due 11/15/2032  | 21250 | 18789 |
| 4.926% due 05/15/2037  | 6079 | 5325 |
| **Buckeye Partners LP** <br>5.600% due 10/15/2044 | 2300 | 1697 |
| **Burlington Northern Santa Fe LLC** <br>4.450% due 03/15/2043 | 27000 | 24294 |
| **Cameron LNG LLC**  |  |  |
| 3.402% due 01/15/2038  | 26700 | 21777 |
| 3.701% due 01/15/2039  | 900 | 717 |
| **Campbell Soup Co.** <br>3.125% due 04/24/2050 | 10200 | 6954 |
| **Canadian Pacific Railway Co.** <br>6.125% due 09/15/2115 | 51558 | 52090 |
| **Carrier Global Corp.**  |  |  |
| 3.377% due 04/05/2040  | 2000 | 1526 |
| 3.577% due 04/05/2050  | 1300 | 933 |
| **CDW LLC** <br>3.569% due 12/01/2031 | 11800 | 9746 |
| **Celeo Redes Operacion Chile SA** <br>5.200% due 06/22/2047 | 3715 | 3186 |
| **Cellnex Finance Co. SA** <br>3.875% due 07/07/2041 | 4600 | 3153 |
| **Celulosa Arauco y Constitucion SA** <br>5.500% due 11/02/2047 | 9000 | 8044 |
| **Cenovus Energy, Inc.** <br>6.750% due 11/15/2039 | 7512 | 7827 |
| **Centene Corp.**  |  |  |
| 2.450% due 07/15/2028  | 25800 | 21826 |
| 4.625% due 12/15/2029  | 3300 | 3023 |
| **CenterPoint Energy Resources Corp.** <br>4.100% due 09/01/2047 | 2000 | 1616 |
| **CF Industries, Inc.** <br>5.150% due 03/15/2034 | 21425 | 20349 |
| **Charter Communications Operating LLC**  |  |  |
| 3.500% due 06/01/2041  | 24107 | 15787 |
| 3.500% due 03/01/2042  | 12900 | 8308 |
| 3.700% due 04/01/2051  | 6700 | 4098 |
| 3.750% due 02/15/2028  | 1800 | 1626 |
| 3.850% due 04/01/2061  | 94400 | 54930 |
| 3.900% due 06/01/2052  | 34975 | 22088 |
| 3.950% due 06/30/2062  | 15000 | 8902 |
| 4.200% due 03/15/2028  | 1900 | 1750 |
| 4.400% due 12/01/2061  | 72238 | 46481 |
| 4.800% due 03/01/2050  | 46200 | 33721 |
| 5.125% due 07/01/2049  | 49500 | 37627 |
| 5.250% due 04/01/2053  | 52225 | 40531 |
| 5.375% due 04/01/2038  | 10000 | 8359 |
| 5.375% due 05/01/2047  | 48000 | 37843 |
| 5.500% due 04/01/2063  | 3100 | 2377 |
| 5.750% due 04/01/2048  | 23900 | 19665 |
| 6.384% due 10/23/2035  | 24181 | 23656 |
| 6.484% due 10/23/2045  | 28419 | 25748 |
| 6.834% due 10/23/2055  | 8000 | 7421 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Cheniere** **Corpus Christi Holdings LLC**  |  |  |
| 2.742% due 12/31/2039  | 21010 | 16306 |
| 3.700% due 11/15/2029  | 5000 | 4531 |
| **Coca-Cola Co.**  |  |  |
| 2.500% due 03/15/2051  | 19600 | 12776 |
| 2.750% due 06/01/2060  | 7500 | 5048 |
| **Colorado Interstate Gas Co. LLC** <br>6.850% due 06/15/2037 | 10900 | 11016 |
| **Comcast Corp.**  |  |  |
| 2.650% due 08/15/2062  | 18400 | 10366 |
| 2.800% due 01/15/2051  | 3500 | 2224 |
| 2.887% due 11/01/2051  | 3299 | 2134 |
| 2.937% due 11/01/2056  | 165999 | 103416 |
| 3.200% due 07/15/2036  | 1300 | 1058 |
| 3.450% due 02/01/2050  | 38100 | 27813 |
| 3.969% due 11/01/2047  | 42110 | 33845 |
| 3.999% due 11/01/2049  | 103328 | 82046 |
| 4.000% due 03/01/2048  | 12260 | 9890 |
| 5.650% due 06/15/2035  | 5900 | 6205 |
| 7.050% due 03/15/2033  | 6875 | 7943 |
| **CommonSpirit Health**  |  |  |
| 3.347% due 10/01/2029  | 10000 | 8724 |
| 4.187% due 10/01/2049  | 2100 | 1643 |
| **Conagra Brands, Inc.**  |  |  |
| 4.600% due 11/01/2025  | 5341 | 5268 |
| 5.400% due 11/01/2048  | 4095 | 3805 |
| 7.000% due 10/01/2028  | 1800 | 1923 |
| **Constellation Brands, Inc.**  |  |  |
| 4.100% due 02/15/2048  | 12200 | 9775 |
| 4.500% due 05/09/2047  | 8100 | 6862 |
| 4.750% due 05/09/2032  | 9900 | 9556 |
| **Continental Airlines Pass-Through Trust** <br>4.000% due 04/29/2026 | 3647 | 3483 |
| **Continental Resources, Inc.**  |  |  |
| 4.900% due 06/01/2044  | 22979 | 17076 |
| 5.750% due 01/15/2031  | 8500 | 7929 |
| **Corning, Inc.** <br>5.450% due 11/15/2079 | 5400 | 4691 |
| **Corp. Nacional del Cobre de Chile**  |  |  |
| 4.250% due 07/17/2042  | 2000 | 1658 |
| 4.500% due 08/01/2047  | 10970 | 9348 |
| 5.625% due 10/18/2043  | 2200 | 2147 |
| **CoStar Group, Inc.** <br>2.800% due 07/15/2030 | 11400 | 9336 |
| **Cox Communications, Inc.**  |  |  |
| 2.950% due 10/01/2050  | 4900 | 2959 |
| 4.500% due 06/30/2043  | 21841 | 17771 |
| 4.700% due 12/15/2042  | 4070 | 3388 |
| 4.800% due 02/01/2035  | 13000 | 11568 |
| **CRH America Finance, Inc.**  |  |  |
| 4.400% due 05/09/2047  | 2800 | 2279 |
| 4.500% due 04/04/2048  | 8390 | 6945 |
| **CSL Finanace PLC Co.**  |  |  |
| 4.750% due 04/27/2052  | 13800 | 12439 |
| 4.950% due 04/27/2062  | 9200 | 8221 |
| **CVS Health Corp.**  |  |  |
| 3.625% due 04/01/2027  | 2900 | 2756 |
| 3.750% due 04/01/2030  | 4900 | 4454 |
| 4.125% due 04/01/2040  | 10700 | 8946 |
| 4.780% due 03/25/2038  | 1559 | 1426 |
| 5.050% due 03/25/2048  | 39900 | 36015 |
| 5.300% due 12/05/2043  | 7100 | 6666 |
| **CVS Pass-Through Trust**  |  |  |
| 4.163% due 08/11/2036  | 8100 | 7015 |
| 4.704% due 01/10/2036  | 1211 | 1090 |
| 5.773% due 01/10/2033  | 998 | 976 |
| 5.880% due 01/10/2028  | 2177 | 2154 |
| 5.926% due 01/10/2034  | 23506 | 22966 |
| 6.036% due 12/10/2028  | 1018 | 1003 |
| 6.943% due 01/10/2030  | 22052 | 22462 |
| 7.507% due 01/10/2032  | 59499 | 61948 |
| 8.353% due 07/10/2031  | 11108 | 12148 |
| **DAE Funding LLC** <br>1.550% due 08/01/2024 | 23100 | 21481 |
| **Daimler Trucks Finance North America LLC**  |  |  |
| 2.375% due 12/14/2028  | 11300 | 9517 |
| 2.500% due 12/14/2031  | 8904 | 6925 |
| **Dell International LLC**  |  |  |
| 3.450% due 12/15/2051  | 51000 | 31407 |
| 4.900% due 10/01/2026  | 19197 | 18922 |
| 5.300% due 10/01/2029  | 37730 | 36986 |
| 5.450% due 06/15/2023  | 4355 | 4358 |
| 6.020% due 06/15/2026  | 84825 | 86639 |
| 8.100% due 07/15/2036  | 10633 | 11957 |
| 8.350% due 07/15/2046  | 7448 | 8524 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Delta** **Air Lines, Inc.**  |  |  |
| 2.900% due 10/28/2024  | 11200 | 10629 |
| 3.750% due 10/28/2029 (j)  | 45863 | 38204 |
| 4.375% due 04/19/2028  | 4000 | 3572 |
| 4.750% due 10/20/2028  | 2150 | 2024 |
| 7.375% due 01/15/2026 (j)  | 35442 | 36270 |
| **Deutsche Telekom International Finance BV** <br>8.750% due 06/15/2030 | 13100 | 15485 |
| **Devon Energy Corp.** <br>7.950% due 04/15/2032 | 5535 | 6302 |
| **Diamondback Energy, Inc.** <br>4.250% due 03/15/2052 | 7100 | 5226 |
| **Discovery Communications LLC**  |  |  |
| 4.000% due 09/15/2055  | 2208 | 1334 |
| 5.200% due 09/20/2047  | 30665 | 22893 |
| **DT Midstream, Inc.** <br>4.300% due 04/15/2032 | 17400 | 15313 |
| **Eastern Gas Transmission & Storage, Inc.**  |  |  |
| 4.600% due 12/15/2044  | 4115 | 3397 |
| 4.800% due 11/01/2043  | 800 | 697 |
| **eBay, Inc.**  |  |  |
| 2.600% due 05/10/2031  | 1600 | 1315 |
| 3.650% due 05/10/2051  | 7300 | 5264 |
| **Ecopetrol SA** <br>7.375% due 09/18/2043 | 25700 | 21934 |
| **El Paso Natural Gas Co. LLC** <br>8.375% due 06/15/2032 | 25670 | 29119 |
| **Elevance Health, Inc.**  |  |  |
| 3.600% due 03/15/2051  | 4350 | 3273 |
| 3.700% due 09/15/2049  | 5640 | 4310 |
| 4.375% due 12/01/2047  | 30200 | 25953 |
| 4.550% due 03/01/2048  | 7500 | 6586 |
| 4.550% due 05/15/2052  | 15100 | 13200 |
| 4.625% due 05/15/2042  | 7700 | 7039 |
| 4.650% due 01/15/2043  | 2605 | 2373 |
| 5.100% due 01/15/2044  | 13244 | 12553 |
| **Embotelladora Andina SA** <br>3.950% due 01/21/2050 | 3600 | 2676 |
| **Enbridge Energy Partners LP**  |  |  |
| 5.500% due 09/15/2040  | 3000 | 2818 |
| 7.375% due 10/15/2045  | 19792 | 22213 |
| **Enbridge, Inc.**  |  |  |
| 2.500% due 08/01/2033  | 23600 | 18219 |
| 3.400% due 08/01/2051  | 29500 | 20158 |
| 4.500% due 06/10/2044  | 10948 | 9154 |
| **Energy Transfer LP**  |  |  |
| 3.600% due 02/01/2023  | 4256 | 4248 |
| 4.050% due 03/15/2025  | 800 | 776 |
| 4.250% due 03/15/2023  | 8506 | 8486 |
| 4.400% due 03/15/2027  | 800 | 761 |
| 4.500% due 04/15/2024  | 300 | 296 |
| 4.900% due 03/15/2035  | 19773 | 17679 |
| 4.950% due 01/15/2043  | 27800 | 22463 |
| 5.000% due 05/15/2044  | 44517 | 36503 |
| 5.000% due 05/15/2050  | 3300 | 2651 |
| 5.150% due 02/01/2043  | 26785 | 22261 |
| 5.150% due 03/15/2045  | 42386 | 35261 |
| 5.300% due 04/01/2044  | 12314 | 10448 |
| 5.300% due 04/15/2047  | 21750 | 18202 |
| 5.350% due 05/15/2045  | 20088 | 17122 |
| 5.400% due 10/01/2047  | 5038 | 4290 |
| 5.800% due 06/15/2038  | 900 | 827 |
| 6.050% due 06/01/2041  | 1900 | 1793 |
| 6.100% due 02/15/2042  | 8356 | 7699 |
| 6.125% due 12/15/2045  | 38548 | 35843 |
| 6.500% due 02/01/2042  | 9063 | 8998 |
| 6.625% due 10/15/2036  | 22002 | 22150 |
| 7.500% due 07/01/2038  | 5100 | 5439 |
| **EnLink Midstream Partners LP** <br>5.450% due 06/01/2047 | 13800 | 11109 |
| **Entergy Louisiana LLC**  |  |  |
| 2.900% due 03/15/2051  | 8400 | 5412 |
| 3.100% due 06/15/2041  | 14600 | 10901 |
| 4.200% due 09/01/2048  | 1410 | 1161 |
| 4.750% due 09/15/2052  | 13600 | 12280 |
| 5.000% due 07/15/2044  | 4300 | 3806 |
| **Enterprise Products Operating LLC**  |  |  |
| 4.200% due 01/31/2050  | 10568 | 8360 |
| 4.450% due 02/15/2043  | 77745 | 65848 |
| 4.800% due 02/01/2049  | 3575 | 3064 |
| 4.850% due 08/15/2042  | 11300 | 10033 |
| 4.850% due 03/15/2044  | 32362 | 28682 |
| 5.100% due 02/15/2045  | 31665 | 28608 |
| 5.250% due 08/16/2077 •  | 5601 | 4512 |
| 5.750% due 03/01/2035  | 13761 | 13472 |
| 5.950% due 02/01/2041  | 1863 | 1875 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.450% due 09/01/2040  | 4995 | 5235 |
| 7.630% (US0003M + 2.986%) due 08/16/2077 ~  | 8000 | 7251 |
| **EQM Midstream Partners LP** <br>4.000% due 08/01/2024 | 2095 | 2017 |
| **EQT Corp.** <br>7.000% due 02/01/2030 | 2400 | 2493 |
| **ERAC USA Finance LLC** <br>7.000% due 10/15/2037 | 9200 | 10034 |
| **Essential Utilities, Inc.** <br>5.300% due 05/01/2052 | 11500 | 10818 |
| **Expedia Group, Inc.**  |  |  |
| 3.250% due 02/15/2030  | 5343 | 4544 |
| 4.625% due 08/01/2027  | 4600 | 4421 |
| **FactSet Research Systems, Inc.** <br>3.450% due 03/01/2032 | 10000 | 8411 |
| **FedEx Corp.**  |  |  |
| 3.875% due 08/01/2042  | 765 | 584 |
| 4.550% due 04/01/2046  | 8300 | 6771 |
| 4.750% due 11/15/2045  | 3250 | 2759 |
| 5.100% due 01/15/2044  | 14941 | 13320 |
| **Fidelity National Information Services, Inc.**  |  |  |
| 5.100% due 07/15/2032  | 12300 | 11884 |
| 5.625% due 07/15/2052  | 4000 | 3691 |
| **Fiserv, Inc.** <br>4.400% due 07/01/2049 | 15000 | 12242 |
| **Flex Intermediate Holdco LLC**  |  |  |
| 3.363% due 06/30/2031  | 6400 | 5010 |
| 4.317% due 12/30/2039  | 55500 | 40064 |
| **Flex Ltd.**  |  |  |
| 3.750% due 02/01/2026  | 2000 | 1891 |
| 4.875% due 05/12/2030  | 18200 | 17139 |
| **Ford Foundation**  |  |  |
| 2.415% due 06/01/2050  | 3800 | 2408 |
| 2.815% due 06/01/2070  | 7100 | 4175 |
| **Fortune Brands Innovations, Inc.** <br>4.500% due 03/25/2052 | 6000 | 4531 |
| **Fraport AG Frankfurt Airport Services Worldwide** <br>1.875% due 03/31/2028 | 3000 | 2773 |
| **Freeport-McMoRan, Inc.** <br>5.400% due 11/14/2034 | $7400 | 7002 |
| **Fresenius Medical Care U.S. Finance, Inc.** <br>3.000% due 12/01/2031 (j) | 27100 | 20428 |
| **Gazprom PJSC Via Gaz Capital SA**  |  |  |
| 2.250% due 11/22/2024  | 3900 | 2736 |
| 3.125% due 11/17/2023  | 10700 | 8193 |
| 5.150% due 02/11/2026  | $24500 | 18988 |
| **GE Capital Funding LLC** <br>4.550% due 05/15/2032 | 9751 | 9285 |
| **Gilead Sciences, Inc.**  |  |  |
| 4.750% due 03/01/2046  | 2500 | 2262 |
| 4.800% due 04/01/2044  | 325 | 300 |
| **Glencore Finance Canada Ltd.**  |  |  |
| 5.550% due 10/25/2042  | 8730 | 7881 |
| 6.900% due 11/15/2037  | 100 | 106 |
| **Glencore Finance Europe Ltd.** <br>3.125% due 03/26/2026 | 500 | 560 |
| **Global Payments, Inc.**  |  |  |
| 3.200% due 08/15/2029  | $4586 | 3908 |
| 4.150% due 08/15/2049  | 4400 | 3149 |
| 5.950% due 08/15/2052  | 17885 | 16260 |
| **GNL Quintero SA** <br>4.634% due 07/31/2029 | 4118 | 3984 |
| **GSK Consumer Healthcare Capital U.S. LLC**  |  |  |
| 3.625% due 03/24/2032  | 6700 | 5901 |
| 4.000% due 03/24/2052  | 4900 | 3846 |
| **GTL Trade Finance, Inc.** <br>7.250% due 04/16/2044 (j) | 5200 | 5905 |
| **GTP Acquisition Partners LLC** <br>3.482% due 06/15/2050 | 7500 | 6995 |
| **Halliburton Co.** <br>7.450% due 09/15/2039 | 12739 | 14425 |
| **HCA, Inc.**  |  |  |
| 3.500% due 07/15/2051  | 15500 | 10007 |
| 3.625% due 03/15/2032  | 18500 | 15703 |
| 4.500% due 02/15/2027  | 8800 | 8494 |
| 4.625% due 03/15/2052  | 38800 | 30377 |
| 5.250% due 06/15/2049  | 10000 | 8564 |
| 5.500% due 06/15/2047  | 26202 | 23394 |
| **Heineken NV** <br>4.350% due 03/29/2047 | 12200 | 9853 |
| **Helmerich & Payne, Inc.** <br>2.900% due 09/29/2031 | 15300 | 12457 |
| **Hoag Memorial Hospital Presbyterian** <br>3.803% due 07/15/2052 | 28000 | 21943 |
| **Holcim Finance U.S. LLC** <br>4.750% due 09/22/2046 | 2400 | 1964 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Holcim** **Sterling Finance Netherlands BV** <br>2.250% due 04/04/2034 | 5200 | 4317 |
| **Home Depot, Inc.** <br>4.400% due 03/15/2045 | $9350 | 8401 |
| **Humana, Inc.**  |  |  |
| 3.950% due 08/15/2049  | 11800 | 9328 |
| 8.150% due 06/15/2038  | 1000 | 1168 |
| **Huntsman International LLC** <br>4.500% due 05/01/2029 | 4000 | 3600 |
| **Hyatt Hotels Corp.**  |  |  |
| 4.375% due 09/15/2028  | 1100 | 1009 |
| 6.000% due 04/23/2030  | 5850 | 5736 |
| **Hyundai Capital America** <br>2.000% due 06/15/2028 | 15000 | 12244 |
| **Imperial Brands Finance PLC**  |  |  |
| 3.500% due 07/26/2026  | 7800 | 7163 |
| 3.875% due 07/26/2029  | 6900 | 5916 |
| 4.250% due 07/21/2025  | 19615 | 18751 |
| 6.125% due 07/27/2027  | 13000 | 12958 |
| **Integris Baptist Medical Center, Inc.** <br>3.875% due 08/15/2050 | 10800 | 7854 |
| **International Flavors & Fragrances, Inc.** <br>2.300% due 11/01/2030 | 9000 | 7161 |
| **JetBlue Pass-Through Trust**  |  |  |
| 2.750% due 11/15/2033  | 1732 | 1425 |
| 4.000% due 05/15/2034  | 11733 | 10463 |
| **Juniper Networks, Inc.** <br>5.950% due 03/15/2041 | 42478 | 39768 |
| **Kaiser Foundation Hospitals** <br>4.150% due 05/01/2047 | 14300 | 12188 |
| **Kansas City Southern**  |  |  |
| 3.500% due 05/01/2050  | 2300 | 1648 |
| 4.300% due 05/15/2043  | 5000 | 4135 |
| 4.700% due 05/01/2048  | 17700 | 15336 |
| 4.950% due 08/15/2045  | 24795 | 22400 |
| **Keurig Dr Pepper, Inc.** <br>4.500% due 04/15/2052 | 60000 | 50306 |
| **Kinder Morgan Energy Partners LP**  |  |  |
| 4.700% due 11/01/2042  | 6209 | 5157 |
| 5.000% due 08/15/2042  | 4000 | 3441 |
| 5.000% due 03/01/2043  | 33335 | 28617 |
| 5.400% due 09/01/2044  | 300 | 271 |
| 5.625% due 09/01/2041  | 1700 | 1568 |
| 5.800% due 03/15/2035  | 10942 | 10733 |
| 6.375% due 03/01/2041  | 10715 | 10646 |
| 6.500% due 02/01/2037  | 12219 | 12367 |
| 6.500% due 09/01/2039  | 36840 | 37294 |
| 6.550% due 09/15/2040  | 30300 | 30511 |
| 6.950% due 01/15/2038  | 800 | 850 |
| 7.400% due 03/15/2031  | 5000 | 5425 |
| 7.500% due 11/15/2040  | 25567 | 28012 |
| **Kinder Morgan, Inc.**  |  |  |
| 5.300% due 12/01/2034  | 1365 | 1282 |
| 7.800% due 08/01/2031  | 2000 | 2237 |
| **Kraft Heinz Foods Co.**  |  |  |
| 4.125% due 07/01/2027  | 1000 | 1157 |
| 4.375% due 06/01/2046  | $6000 | 4903 |
| 5.000% due 06/04/2042  | 10250 | 9318 |
| 5.500% due 06/01/2050  | 7000 | 6729 |
| 6.500% due 02/09/2040  | 47238 | 50165 |
| 7.125% due 08/01/2039  | 16043 | 17706 |
| **L3Harris Technologies, Inc.** <br>4.854% due 04/27/2035 | 2150 | 2011 |
| **Las Vegas Sands Corp.**  |  |  |
| 2.900% due 06/25/2025  | 2800 | 2576 |
| 3.200% due 08/08/2024  | 27700 | 26198 |
| 3.500% due 08/18/2026  | 132600 | 119877 |
| 3.900% due 08/08/2029 (j)  | 15442 | 13040 |
| **Leidos, Inc.**  |  |  |
| 2.300% due 02/15/2031  | 7900 | 6070 |
| 4.375% due 05/15/2030  | 2000 | 1808 |
| **Leland Stanford Junior University** <br>2.413% due 06/01/2050 | 12600 | 7996 |
| **Level 3 Financing, Inc.** <br>3.875% due 11/15/2029 | 11350 | 8977 |
| **Lockheed Martin Corp.**  |  |  |
| 3.600% due 03/01/2035  | 2500 | 2228 |
| 4.150% due 06/15/2053  | 1000 | 854 |
| 4.300% due 06/15/2062  | 23300 | 19718 |
| 4.500% due 05/15/2036  | 2100 | 2012 |
| **Lowe's Cos., Inc.**  |  |  |
| 4.250% due 04/01/2052  | 2500 | 1995 |
| 4.450% due 04/01/2062  | 6300 | 4930 |
| **Marathon Petroleum Corp.** <br>6.500% due 03/01/2041 | 13503 | 13932 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Marriott** **International, Inc.**  |  |  |
| 2.750% due 10/15/2033  | 10000 | 7657 |
| 2.850% due 04/15/2031  | 9700 | 7878 |
| 3.500% due 10/15/2032  | 23700 | 19781 |
| 3.600% due 04/15/2024  | 7600 | 7452 |
| 4.625% due 06/15/2030  | 9690 | 9065 |
| **Marvell Technology, Inc.**  |  |  |
| 2.950% due 04/15/2031  | 13894 | 11209 |
| 4.875% due 06/22/2028  | 10200 | 9741 |
| **Masco Corp.**  |  |  |
| 4.500% due 05/15/2047  | 1909 | 1501 |
| 7.750% due 08/01/2029  | 2539 | 2782 |
| **Massachusetts Institute of Technology** <br>5.600% due 07/01/2111 | 1668 | 1738 |
| **McDonald's Corp.** <br>3.625% due 09/01/2049 | 16800 | 12719 |
| **MDC Holdings, Inc.**  |  |  |
| 3.966% due 08/06/2061  | 10300 | 5789 |
| 6.000% due 01/15/2043  | 25375 | 20707 |
| **Merck & Co., Inc.**  |  |  |
| 2.750% due 12/10/2051  | 13500 | 9086 |
| 2.900% due 12/10/2061  | 13500 | 8648 |
| **Meta Platforms, Inc.**  |  |  |
| 4.450% due 08/15/2052  | 8000 | 6399 |
| 4.650% due 08/15/2062  | 19200 | 15507 |
| **Micron Technology, Inc.** <br>5.327% due 02/06/2029 | 8500 | 8177 |
| **Microsoft Corp.**  |  |  |
| 2.675% due 06/01/2060  | 32710 | 20923 |
| 2.921% due 03/17/2052 (j)  | 20236 | 14422 |
| **Mileage Plus Holdings LLC** <br>6.500% due 06/20/2027 | 5760 | 5740 |
| **Moody's Corp.**  |  |  |
| 2.000% due 08/19/2031  | 1700 | 1347 |
| 3.100% due 11/29/2061  | 6000 | 3805 |
| 3.250% due 05/20/2050  | 1500 | 1044 |
| 3.750% due 02/25/2052  | 7600 | 5825 |
| 4.875% due 12/17/2048  | 9000 | 8171 |
| 5.250% due 07/15/2044  | 4144 | 4010 |
| **Motorola Solutions, Inc.**  |  |  |
| 2.300% due 11/15/2030  | 3100 | 2431 |
| 5.500% due 09/01/2044  | 5686 | 5146 |
| **MPLX LP**  |  |  |
| 4.900% due 04/15/2058  | 19120 | 15071 |
| 4.950% due 03/14/2052  | 33343 | 27395 |
| 5.200% due 03/01/2047  | 5000 | 4266 |
| 5.200% due 12/01/2047  | 2100 | 1796 |
| 5.500% due 02/15/2049  | 200 | 177 |
| **Mylan, Inc.**  |  |  |
| 3.125% due 01/15/2023  | 700 | 699 |
| 5.200% due 04/15/2048  | 17200 | 12874 |
| **National Grid Electricity Transmission PLC**  |  |  |
| 2.000% due 09/16/2038  | 919 | 698 |
| 2.000% due 04/17/2040  | 3300 | 2425 |
| **Nationwide Children's Hospital, Inc.** <br>4.556% due 11/01/2052 | $2500 | 2234 |
| **NBCUniversal Media LLC** <br>4.450% due 01/15/2043 | 19107 | 16887 |
| **Netflix, Inc.**  |  |  |
| 4.875% due 04/15/2028  | 9450 | 9146 |
| 4.875% due 06/15/2030  | 1500 | 1401 |
| 5.375% due 11/15/2029  | 3900 | 3790 |
| **Newcrest Finance Pty. Ltd.** <br>5.750% due 11/15/2041 | 22905 | 20973 |
| **Newell Brands, Inc.** <br>5.625% due 04/01/2036 | 2309 | 1987 |
| **Newmont Corp.**  |  |  |
| 5.450% due 06/09/2044  | 31100 | 29757 |
| 6.250% due 10/01/2039  | 1710 | 1793 |
| **Nissan Motor Co. Ltd.**  |  |  |
| 4.345% due 09/17/2027  | 6600 | 5995 |
| 4.810% due 09/17/2030  | 10400 | 8849 |
| **Norfolk Southern Corp.**  |  |  |
| 3.942% due 11/01/2047  | 4994 | 4022 |
| 4.050% due 08/15/2052  | 2510 | 2024 |
| 4.100% due 05/15/2121  | 9700 | 6756 |
| **Northern Natural Gas Co.**  |  |  |
| 3.400% due 10/16/2051  | 3500 | 2376 |
| 4.100% due 09/15/2042  | 14000 | 10644 |
| 4.300% due 01/15/2049  | 18375 | 14699 |
| **Northrop Grumman Corp.** <br>3.850% due 04/15/2045 | 9500 | 7622 |
| **Northwell Healthcare, Inc.** <br>3.809% due 11/01/2049 | 14900 | 10697 |
| **NPC Ukrenergo** <br>6.875% due 11/09/2028 ^(b) | 800 | 142 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Nucor** **Corp.** <br>3.850% due 04/01/2052 | 6100 | 4705 |
| **NXP BV**  |  |  |
| 3.150% due 05/01/2027  | 1800 | 1635 |
| 3.250% due 05/11/2041  | 3300 | 2315 |
| 5.000% due 01/15/2033  | 3800 | 3600 |
| 5.350% due 03/01/2026  | 10000 | 9955 |
| 5.550% due 12/01/2028  | 2200 | 2202 |
| **Ochsner LSU Health System of North Louisiana** <br>2.510% due 05/15/2031 | 5600 | 4121 |
| **Odebrecht Oil & Gas Finance Ltd.** <br>0.000% due 01/30/2023 (d)(f) | 4491 | 11 |
| **ONEOK Partners LP**  |  |  |
| 6.125% due 02/01/2041  | 27327 | 25893 |
| 6.200% due 09/15/2043  | 47644 | 45448 |
| 6.650% due 10/01/2036  | 4765 | 4788 |
| 6.850% due 10/15/2037  | 8494 | 8595 |
| **Oracle Corp.**  |  |  |
| 3.600% due 04/01/2040  | 22300 | 16440 |
| 3.600% due 04/01/2050  | 32670 | 22132 |
| 3.650% due 03/25/2041 (h)  | 18500 | 13726 |
| 3.800% due 11/15/2037  | 8405 | 6685 |
| 3.850% due 07/15/2036  | 1500 | 1232 |
| 3.850% due 04/01/2060  | 61842 | 41363 |
| 3.900% due 05/15/2035  | 5000 | 4198 |
| 3.950% due 03/25/2051 (h)  | 7500 | 5376 |
| 4.000% due 07/15/2046  | 15350 | 11249 |
| 4.000% due 11/15/2047  | 64510 | 47425 |
| 4.100% due 03/25/2061 (h)  | 50450 | 35251 |
| 4.125% due 05/15/2045  | 5100 | 3867 |
| 4.500% due 07/08/2044  | 1400 | 1132 |
| 6.900% due 11/09/2052 (h)  | 20000 | 21513 |
| **Orlando Health Obligated Group** <br>3.327% due 10/01/2050 | 8500 | 5922 |
| **Owens Corning**  |  |  |
| 4.300% due 07/15/2047  | 19940 | 15430 |
| 4.400% due 01/30/2048  | 22600 | 17608 |
| 7.000% due 12/01/2036  | 246 | 261 |
| **Pacific National Finance Pty. Ltd.**  |  |  |
| 4.750% due 03/22/2028  | 14885 | 13220 |
| 6.000% due 04/07/2023  | 19900 | 19892 |
| **Packaging Corp. of America** <br>4.050% due 12/15/2049 | 3100 | 2378 |
| **Paramount Global** <br>4.850% due 07/01/2042 | 1834 | 1364 |
| **PayPal Holdings, Inc.**  |  |  |
| 5.050% due 06/01/2052  | 11000 | 10021 |
| 5.250% due 06/01/2062  | 15000 | 13714 |
| **PeaceHealth Obligated Group** <br>4.787% due 11/15/2048 | 2200 | 1914 |
| **Penske Truck Leasing Co. LP** <br>4.250% due 01/17/2023 | 7204 | 7202 |
| **Perrigo Finance Unlimited Co.** <br>4.400% due 06/15/2030 | 13300 | 11350 |
| **Petroleos Mexicanos**  |  |  |
| 6.700% due 02/16/2032  | 1428 | 1124 |
| 6.750% due 09/21/2047  | 84889 | 54353 |
| 6.950% due 01/28/2060  | 8284 | 5255 |
| 7.690% due 01/23/2050  | 17742 | 12316 |
| **Pfizer, Inc.** <br>5.600% due 09/15/2040 | 16865 | 17729 |
| **Philip Morris International, Inc.**  |  |  |
| 3.875% due 08/21/2042  | 1875 | 1431 |
| 4.125% due 03/04/2043  | 2575 | 2045 |
| 4.250% due 11/10/2044  | 24400 | 19697 |
| 4.375% due 11/15/2041  | 11100 | 9194 |
| 4.875% due 11/15/2043  | 2500 | 2197 |
| **Pioneer Natural Resources Co.** <br>7.200% due 01/15/2028 | 24475 | 25961 |
| **Prosus NV**  |  |  |
| 3.680% due 01/21/2030  | 1600 | 1334 |
| 3.832% due 02/08/2051  | 12300 | 7474 |
| 4.027% due 08/03/2050  | 4000 | 2509 |
| **PulteGroup, Inc.** <br>5.500% due 03/01/2026 | 1775 | 1783 |
| **QatarEnergy Trading LLC**  |  |  |
| 3.125% due 07/12/2041  | 200 | 154 |
| 3.300% due 07/12/2051  | 22880 | 16950 |
| **QVC, Inc.**  |  |  |
| 4.850% due 04/01/2024  | 800 | 741 |
| 5.950% due 03/15/2043  | 24665 | 12230 |
| **Ras Laffan Liquefied Natural Gas Co. Ltd.**  |  |  |
| 5.838% due 09/30/2027  | 4072 | 4103 |
| 6.332% due 09/30/2027  | 2909 | 2943 |
| **Raytheon Technologies Corp.**  |  |  |
| 4.050% due 05/04/2047  | 7100 | 5859 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.450% due 11/16/2038  | 6200 | 5658 |
| **Regeneron Pharmaceuticals, Inc.** <br>1.750% due 09/15/2030 | 2150 | 1665 |
| **Reliance Industries Ltd.** <br>3.750% due 01/12/2062 | 9300 | 6041 |
| **Reynolds American, Inc.**  |  |  |
| 5.850% due 08/15/2045  | 21248 | 18187 |
| 6.150% due 09/15/2043  | 10920 | 9785 |
| **Rockies Express Pipeline LLC** <br>7.500% due 07/15/2038 | 25640 | 23898 |
| **Rogers Communications, Inc.**  |  |  |
| 3.800% due 03/15/2032  | 10000 | 8657 |
| 4.500% due 03/15/2042  | 6900 | 5652 |
| 4.550% due 03/15/2052  | 26300 | 20512 |
| **Royalty Pharma PLC**  |  |  |
| 3.300% due 09/02/2040  | 12900 | 8999 |
| 3.350% due 09/02/2051  | 1000 | 620 |
| 3.550% due 09/02/2050  | 17900 | 11509 |
| **S&P Global, Inc.**  |  |  |
| 2.300% due 08/15/2060  | 4400 | 2415 |
| 2.900% due 03/01/2032  | 3460 | 2961 |
| 3.250% due 12/01/2049  | 1700 | 1224 |
| 3.700% due 03/01/2052  | 14000 | 10876 |
| 3.900% due 03/01/2062  | 2800 | 2178 |
| 4.250% due 05/01/2029  | 7700 | 7366 |
| **Sabine Pass Liquefaction LLC**  |  |  |
| 4.200% due 03/15/2028  | 24200 | 22791 |
| 4.500% due 05/15/2030  | 26265 | 24408 |
| 5.000% due 03/15/2027  | 35800 | 35158 |
| 5.625% due 03/01/2025  | 300 | 301 |
| 5.750% due 05/15/2024  | 8950 | 8957 |
| 5.875% due 06/30/2026  | 7556 | 7654 |
| **Sands China Ltd.**  |  |  |
| 2.800% due 03/08/2027  | 600 | 515 |
| 4.875% due 06/18/2030  | 19300 | 16987 |
| 5.625% due 08/08/2025  | 31500 | 30158 |
| 5.900% due 08/08/2028  | 38300 | 35913 |
| **Santos Finance Ltd.** <br>3.649% due 04/29/2031 | 35700 | 28410 |
| **Saudi Arabian Oil Co.**  |  |  |
| 3.250% due 11/24/2050  | 14600 | 10323 |
| 3.500% due 11/24/2070  | 19600 | 13387 |
| **Seagate HDD Cayman**  |  |  |
| 4.125% due 01/15/2031  | 1263 | 988 |
| 9.625% due 12/01/2032  | 1790 | 1965 |
| **Skyworks Solutions, Inc.** <br>3.000% due 06/01/2031 | 20200 | 15895 |
| **South Jersey Industries, Inc.** <br>5.020% due 04/15/2031 | 28000 | 21825 |
| **Southern Co.**  |  |  |
| 3.700% due 04/30/2030  | 100 | 90 |
| 3.750% due 09/15/2051 •  | 18400 | 14903 |
| 4.250% due 07/01/2036  | 9300 | 8173 |
| 4.400% due 07/01/2046  | 19705 | 16527 |
| **Southern Natural Gas Co. LLC** <br>8.000% due 03/01/2032 | 8346 | 9184 |
| **Spirit AeroSystems, Inc.**  |  |  |
| 3.850% due 06/15/2026  | 2400 | 2176 |
| 4.600% due 06/15/2028  | 800 | 647 |
| **Spirit Airlines Pass-Through Trust** <br>4.100% due 10/01/2029 | 4382 | 3909 |
| **Sprint Spectrum Co. LLC** <br>5.152% due 09/20/2029 | 22100 | 21803 |
| **Standard Industries, Inc.** <br>4.750% due 01/15/2028 | 17100 | 15413 |
| **Starbucks Corp.**  |  |  |
| 3.500% due 11/15/2050  | 17358 | 12606 |
| 4.450% due 08/15/2049  | 2000 | 1710 |
| **Suncor Energy, Inc.**  |  |  |
| 6.500% due 06/15/2038  | 100 | 103 |
| 7.000% due 11/15/2028  | 17772 | 18943 |
| **Sutter Health**  |  |  |
| 3.161% due 08/15/2040  | 1950 | 1465 |
| 3.361% due 08/15/2050  | 2600 | 1774 |
| **Suzano Austria GmbH** <br>6.000% due 01/15/2029 | 13600 | 13559 |
| **Sydney Airport Finance Co. Pty. Ltd.** <br>3.900% due 03/22/2023 | 1200 | 1197 |
| **Syngenta Finance NV**  |  |  |
| 4.441% due 04/24/2023  | 1000 | 996 |
| 4.892% due 04/24/2025  | 5547 | 5377 |
| **T-Mobile USA, Inc.**  |  |  |
| 2.050% due 02/15/2028  | 11600 | 9982 |
| 2.550% due 02/15/2031  | 10400 | 8521 |
| 2.700% due 03/15/2032  | 2300 | 1864 |
| 3.300% due 02/15/2051  | 39900 | 26802 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.400% due 10/15/2052  | 31800 | 21511 |
| 3.500% due 04/15/2031  | 1100 | 952 |
| 3.600% due 11/15/2060  | 39797 | 26460 |
| 3.750% due 04/15/2027  | 14400 | 13585 |
| 3.875% due 04/15/2030  | 4395 | 3991 |
| 4.375% due 04/15/2040  | 18700 | 16035 |
| 4.500% due 04/15/2050  | 52300 | 43257 |
| 5.650% due 01/15/2053  | 19000 | 18499 |
| 5.800% due 09/15/2062  | 4300 | 4186 |
| **Take-Two Interactive Software, Inc.** <br>4.000% due 04/14/2032 | 7700 | 6837 |
| **Targa Resources Corp.**  |  |  |
| 4.950% due 04/15/2052  | 8900 | 7081 |
| 6.250% due 07/01/2052  | 14300 | 13569 |
| **TD SYNNEX Corp.**  |  |  |
| 2.375% due 08/09/2028  | 9200 | 7440 |
| 2.650% due 08/09/2031  | 2450 | 1863 |
| **Telefonica Emisiones SA**  |  |  |
| 4.895% due 03/06/2048  | 15330 | 11845 |
| 5.213% due 03/08/2047  | 15900 | 12834 |
| 5.520% due 03/01/2049  | 7800 | 6554 |
| 7.045% due 06/20/2036  | 15097 | 15535 |
| **Tencent Holdings Ltd.**  |  |  |
| 2.390% due 06/03/2030  | 9475 | 7725 |
| 3.240% due 06/03/2050  | 14300 | 9067 |
| 3.290% due 06/03/2060  | 13300 | 7998 |
| 3.595% due 01/19/2028  | 300 | 275 |
| 3.680% due 04/22/2041  | 82000 | 60421 |
| 3.840% due 04/22/2051  | 9100 | 6464 |
| 3.925% due 01/19/2038  | 12700 | 10142 |
| 3.940% due 04/22/2061  | 14300 | 9862 |
| 3.975% due 04/11/2029  | 36613 | 33773 |
| **Tennessee Gas Pipeline Co. LLC**  |  |  |
| 2.900% due 03/01/2030  | 4500 | 3779 |
| 7.625% due 04/01/2037  | 320 | 350 |
| **Texas Eastern Transmission LP** <br>4.150% due 01/15/2048 | 400 | 323 |
| **Thomas Jefferson University** <br>3.847% due 11/01/2057 | 7300 | 5240 |
| **Thomson Reuters Corp.** <br>5.650% due 11/23/2043 | 10791 | 9956 |
| **Time Warner Cable Enterprises LLC**  |  |  |
| 8.375% due 03/15/2023  | 1128 | 1135 |
| 8.375% due 07/15/2033  | 18420 | 20523 |
| **Time Warner Cable LLC**  |  |  |
| 4.500% due 09/15/2042  | 18500 | 13610 |
| 5.500% due 09/01/2041  | 14800 | 12338 |
| 5.875% due 11/15/2040  | 5200 | 4550 |
| 6.550% due 05/01/2037  | 7306 | 6982 |
| 6.750% due 06/15/2039  | 52495 | 49914 |
| 7.300% due 07/01/2038  | 2080 | 2071 |
| **Topaz Solar Farms LLC** <br>4.875% due 09/30/2039 | 5044 | 4489 |
| **TotalEnergies Capital International SA** <br>3.386% due 06/29/2060 | 10700 | 7503 |
| **TransCanada PipeLines Ltd.**  |  |  |
| 4.625% due 03/01/2034  | 800 | 732 |
| 4.750% due 05/15/2038  | 2300 | 2059 |
| 4.875% due 05/15/2048  | 25600 | 22483 |
| 6.200% due 10/15/2037  | 3484 | 3567 |
| 7.250% due 08/15/2038  | 1075 | 1195 |
| 7.625% due 01/15/2039  | 10020 | 11502 |
| **Transcontinental Gas Pipe Line Co. LLC**  |  |  |
| 3.950% due 05/15/2050  | 23200 | 17753 |
| 4.600% due 03/15/2048  | 2400 | 2006 |
| 5.400% due 08/15/2041  | 4330 | 4127 |
| **Trustees of the University of Pennsylvania** <br>4.674% due 09/01/2112 | 2500 | 2139 |
| **Trustees of Tufts College** <br>5.017% due 04/15/2112 | 3000 | 2461 |
| **TSMC Global Ltd.** <br>2.250% due 04/23/2031 | 5200 | 4226 |
| **TTX Co.** <br>4.600% due 02/01/2049 | 3700 | 3214 |
| **U.S. Airways Pass-Through Trust**  |  |  |
| 3.950% due 05/15/2027  | 4705 | 4280 |
| 4.625% due 12/03/2026  | 1932 | 1763 |
| 7.125% due 04/22/2025  | 1314 | 1323 |
| **UMass Memorial Health Care Obligated Group** <br>5.363% due 07/01/2052 | 1900 | 1760 |
| **Union Pacific Corp.**  |  |  |
| 2.973% due 09/16/2062  | 800 | 518 |
| 3.550% due 08/15/2039  | 2800 | 2324 |
| 3.550% due 05/20/2061  | 22710 | 16654 |
| 3.750% due 02/05/2070  | 9600 | 7051 |
| 3.799% due 04/06/2071  | 12500 | 9280 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.950% due 08/15/2059  | 10 | 8 |
| **United Airlines Pass-Through Trust**  |  |  |
| 2.700% due 11/01/2033  | 3361 | 2721 |
| 3.100% due 01/07/2030  | 25251 | 22814 |
| 3.100% due 04/07/2030  | 3114 | 2522 |
| 3.450% due 06/01/2029  | 2126 | 1895 |
| 3.450% due 01/07/2030  | 783 | 660 |
| 3.500% due 09/01/2031  | 3884 | 3363 |
| 3.750% due 03/03/2028  | 5690 | 5244 |
| 4.000% due 10/11/2027  | 10419 | 9695 |
| 4.150% due 02/25/2033  | 8428 | 7478 |
| 4.300% due 02/15/2027  | 11001 | 10248 |
| 4.550% due 02/25/2033  | 13247 | 11170 |
| 5.875% due 04/15/2029  | 36832 | 36365 |
| **UnitedHealth Group, Inc.**  |  |  |
| 3.050% due 05/15/2041  | 27200 | 20551 |
| 3.250% due 05/15/2051  | 20200 | 14553 |
| 3.700% due 08/15/2049  | 5800 | 4619 |
| 3.750% due 10/15/2047  | 6160 | 4929 |
| 3.875% due 08/15/2059  | 700 | 552 |
| 4.200% due 01/15/2047  | 285 | 245 |
| 4.625% due 11/15/2041  | 14000 | 12977 |
| 4.750% due 07/15/2045  | 5099 | 4802 |
| 4.950% due 05/15/2062  | 5000 | 4712 |
| 5.950% due 02/15/2041  | 4700 | 4988 |
| 6.875% due 02/15/2038  | 150 | 177 |
| **Vale Overseas Ltd.**  |  |  |
| 3.750% due 07/08/2030  | 3800 | 3333 |
| 6.875% due 11/21/2036  | 22806 | 24115 |
| **Valero Energy Corp.** <br>3.650% due 12/01/2051 | 13500 | 9593 |
| **VeriSign, Inc.** <br>2.700% due 06/15/2031 | 9400 | 7679 |
| **Verisk Analytics, Inc.** <br>3.625% due 05/15/2050 | 11900 | 8264 |
| **VMware, Inc.**  |  |  |
| 1.800% due 08/15/2028  | 5600 | 4583 |
| 2.200% due 08/15/2031  | 7700 | 5862 |
| 3.900% due 08/21/2027  | 3200 | 2992 |
| 4.500% due 05/15/2025  | 2900 | 2846 |
| 4.700% due 05/15/2030  | 25900 | 24154 |
| **Volkswagen Group of America Finance LLC** <br>3.350% due 05/13/2025 | 1900 | 1816 |
| **Wabtec Transportation Netherlands BV** <br>1.250% due 12/03/2027 | 2450 | 2230 |
| **Walt Disney Co.**  |  |  |
| 2.750% due 09/01/2049  | $22900 | 15251 |
| 3.500% due 05/13/2040  | 10100 | 8172 |
| 3.600% due 01/13/2051  | 7900 | 6055 |
| 3.800% due 05/13/2060  | 43500 | 33376 |
| 4.750% due 09/15/2044  | 6000 | 5566 |
| **Warnermedia Holdings, Inc.**  |  |  |
| 5.050% due 03/15/2042  | 4240 | 3259 |
| 5.141% due 03/15/2052  | 13200 | 9647 |
| 5.391% due 03/15/2062  | 42174 | 30956 |
| **West Virginia United Health System Obligated Group** <br>3.129% due 06/01/2050 | 4400 | 2839 |
| **Western & Southern Life Insurance Co.**  |  |  |
| 3.750% due 04/28/2061  | 24300 | 16339 |
| 5.150% due 01/15/2049  | 16000 | 14407 |
| **Western Digital Corp.** <br>4.750% due 02/15/2026 | 2375 | 2242 |
| **Westinghouse Air Brake Technologies Corp.** <br>4.950% due 09/15/2028 | 4690 | 4512 |
| **Weyerhaeuser Co.** <br>7.700% due 02/15/2026 | 8555 | 9110 |
| **Whirlpool Corp.** <br>5.150% due 03/01/2043 | 14775 | 12863 |
| **Williams Cos., Inc.**  |  |  |
| 5.300% due 08/15/2052  | 11500 | 10343 |
| 8.750% due 03/15/2032  | 1710 | 2020 |
| **Woodside Finance Ltd.** <br>4.500% due 03/04/2029 | 6700 | 6295 |
| **Workday, Inc.** <br>3.800% due 04/01/2032 (j) | 34700 | 30728 |
| **Wynn Las Vegas LLC**  |  |  |
| 4.250% due 05/30/2023  | 2947 | 2909 |
| 5.500% due 03/01/2025  | 6635 | 6313 |
| **Yale University** <br>2.402% due 04/15/2050 | 6900 | 4412 |
| **Yara International ASA**  |  |  |
| 3.148% due 06/04/2030  | 4800 | 3857 |
| 4.750% due 06/01/2028  | 4400 | 4054 |
| **Zimmer Biomet Holdings, Inc.**  |  |  |
| 1.164% due 11/15/2027  | 3300 | 3077 |
| 4.250% due 08/15/2035  | $1681 | 1398 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.450% due 08/15/2045  | 2600 | 2056 |
| **Zoetis, Inc.**  |  |  |
| 3.950% due 09/12/2047  | 9000 | 7297 |
| 4.450% due 08/20/2048  | 7500 | 6493 |
| 4.700% due 02/01/2043  | 4069 | 3668 |
|  |  | 8732762 |
| **UTILITIES 14.6%**  |  |  |
| **AEP Texas, Inc.**  |  |  |
| 3.450% due 05/15/2051  | 10000 | 7103 |
| 4.150% due 05/01/2049  | 14400 | 11309 |
| **AES Corp.** <br>3.950% due 07/15/2030 | 7000 | 6206 |
| **Alabama Power Co.**  |  |  |
| 3.450% due 10/01/2049  | 3600 | 2610 |
| 3.700% due 12/01/2047  | 100 | 77 |
| 3.850% due 12/01/2042  | 2950 | 2389 |
| 3.940% due 09/01/2032  | 5500 | 5068 |
| 4.300% due 07/15/2048  | 8700 | 7280 |
| 5.200% due 06/01/2041  | 200 | 187 |
| **Alliant Energy Finance LLC** <br>3.600% due 03/01/2032 | 13500 | 11677 |
| **Ameren Illinois Co.**  |  |  |
| 2.900% due 06/15/2051  | 32500 | 21783 |
| 3.250% due 03/15/2050  | 2600 | 1875 |
| 3.700% due 12/01/2047  | 2200 | 1752 |
| 4.150% due 03/15/2046  | 5451 | 4663 |
| **American Electric Power Co., Inc.** <br>3.875% due 02/15/2062 •  | 9100 | 7101 |
| **American Transmission Systems, Inc.** <br>5.000% due 09/01/2044 | 13395 | 12233 |
| **American Water Capital Corp.**  |  |  |
| 3.750% due 09/01/2047  | 5000 | 3915 |
| 4.300% due 12/01/2042  | 8700 | 7592 |
| 6.593% due 10/15/2037  | 150 | 167 |
| **Appalachian Power Co.**  |  |  |
| 4.400% due 05/15/2044  | 6350 | 5261 |
| 4.500% due 08/01/2032  | 4400 | 4116 |
| 5.800% due 10/01/2035  | 2176 | 2131 |
| 6.375% due 04/01/2036  | 5146 | 5277 |
| 6.700% due 08/15/2037  | 3600 | 3761 |
| 7.000% due 04/01/2038  | 2978 | 3334 |
| **Arizona Public Service Co.**  |  |  |
| 3.350% due 05/15/2050  | 13650 | 9019 |
| 3.500% due 12/01/2049  | 7100 | 4851 |
| 4.500% due 04/01/2042  | 6104 | 5046 |
| **AT&T, Inc.**  |  |  |
| 3.150% due 09/04/2036  | 2800 | 2599 |
| 3.500% due 09/15/2053  | $68897 | 46811 |
| 3.550% due 09/15/2055  | 124782 | 83821 |
| 3.650% due 06/01/2051  | 13050 | 9250 |
| 3.650% due 09/15/2059  | 269441 | 181590 |
| 3.800% due 12/01/2057  | 201180 | 139734 |
| 3.850% due 06/01/2060  | 28820 | 20131 |
| **Atmos Energy Corp.** <br>4.300% due 10/01/2048 | 16400 | 13873 |
| **Avista Corp.** <br>4.000% due 04/01/2052 | 12800 | 10101 |
| **Berkshire Hathaway Energy Co.**  |  |  |
| 4.450% due 01/15/2049  | 24790 | 21416 |
| 4.500% due 02/01/2045  | 580 | 508 |
| 4.600% due 05/01/2053  | 15000 | 13108 |
| **BG Energy Capital PLC** <br>5.125% due 10/15/2041 | 30145 | 28302 |
| **Black Hills Corp.** <br>4.200% due 09/15/2046 | 4284 | 3277 |
| **Boston Gas Co.** <br>4.487% due 02/15/2042 | 7784 | 6554 |
| **British Telecommunications PLC** <br>9.625% due 12/15/2030 | 10075 | 12094 |
| **Brooklyn Union Gas Co.** <br>4.487% due 03/04/2049 | 7500 | 5764 |
| **CenterPoint Energy Houston Electric LLC**  |  |  |
| 2.900% due 07/01/2050  | 4400 | 2981 |
| 3.350% due 04/01/2051  | 13900 | 10303 |
| 3.600% due 03/01/2052  | 16270 | 12583 |
| **Cleco Corporate Holdings LLC** <br>4.973% due 05/01/2046 | 400 | 339 |
| **Cleco Power LLC** <br>6.000% due 12/01/2040 | 18175 | 17230 |
| **Cleveland Electric Illuminating Co.** <br>5.950% due 12/15/2036 | 7000 | 6975 |
| **CMS Energy Corp.** <br>4.700% due 03/31/2043 | 3837 | 3235 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Commonwealth** **Edison Co.**  |  |  |
| 3.000% due 03/01/2050  | 5200 | 3593 |
| 3.125% due 03/15/2051  | 17300 | 12019 |
| 3.850% due 03/15/2052  | 8400 | 6730 |
| **Connecticut Light & Power Co.**  |  |  |
| 2.050% due 07/01/2031  | 4845 | 3903 |
| 4.000% due 04/01/2048  | 1300 | 1092 |
| 4.300% due 04/15/2044  | 13009 | 11289 |
| **Consolidated Edison Co. of New York, Inc.**  |  |  |
| 3.000% due 12/01/2060  | 6480 | 4062 |
| 3.600% due 06/15/2061  | 22385 | 16070 |
| 4.125% due 05/15/2049  | 18110 | 14811 |
| 4.200% due 03/15/2042  | 5000 | 4206 |
| 4.500% due 05/15/2058  | 33831 | 28244 |
| 4.625% due 12/01/2054  | 2285 | 1950 |
| 5.700% due 06/15/2040  | 4900 | 4884 |
| **Constellation Energy Generation LLC**  |  |  |
| 5.600% due 06/15/2042  | 21664 | 20975 |
| 6.250% due 10/01/2039  | 13115 | 13435 |
| **Consumers Energy Co.**  |  |  |
| 4.050% due 05/15/2048  | 8100 | 6722 |
| 4.100% due 11/15/2045  | 2150 | 1723 |
| 4.350% due 04/15/2049  | 14000 | 12243 |
| **Dayton Power & Light Co.** <br>3.950% due 06/15/2049 | 11000 | 8566 |
| **Dominion Energy, Inc.**  |  |  |
| 2.250% due 08/15/2031  | 15600 | 12452 |
| 4.600% due 03/15/2049  | 4046 | 3423 |
| 4.850% due 08/15/2052  | 17000 | 14772 |
| 5.375% due 11/15/2032  | 6700 | 6662 |
| **DTE Electric Co.**  |  |  |
| 2.950% due 03/01/2050  | 4100 | 2800 |
| 3.250% due 04/01/2051  | 8400 | 6054 |
| 3.650% due 03/01/2052  | 5600 | 4359 |
| 3.950% due 06/15/2042  | 500 | 396 |
| 4.300% due 07/01/2044  | 9150 | 7911 |
| **Duke Energy Carolinas LLC**  |  |  |
| 2.850% due 03/15/2032  | 6400 | 5433 |
| 3.200% due 08/15/2049  | 16000 | 11288 |
| 3.450% due 04/15/2051  | 5600 | 4118 |
| 3.550% due 03/15/2052  | 8000 | 6015 |
| 3.700% due 12/01/2047  | 15355 | 11756 |
| 3.750% due 06/01/2045  | 4358 | 3402 |
| 3.875% due 03/15/2046  | 2034 | 1609 |
| 3.950% due 03/15/2048  | 9915 | 7981 |
| 4.000% due 09/30/2042  | 3500 | 2911 |
| 4.250% due 12/15/2041  | 16400 | 14228 |
| **Duke Energy Corp.**  |  |  |
| 3.300% due 06/15/2041  | 7450 | 5449 |
| 3.500% due 06/15/2051  | 4450 | 3110 |
| 3.750% due 09/01/2046  | 17850 | 13322 |
| 3.950% due 08/15/2047  | 4670 | 3547 |
| 4.200% due 06/15/2049  | 5000 | 3971 |
| **Duke Energy Florida LLC**  |  |  |
| 4.200% due 07/15/2048  | 7600 | 6409 |
| 5.650% due 04/01/2040  | 6000 | 6080 |
| **Duke Energy Indiana LLC** <br>4.900% due 07/15/2043 | 105 | 98 |
| **Duke Energy Progress LLC**  |  |  |
| 2.500% due 08/15/2050  | 25000 | 15112 |
| 3.600% due 09/15/2047  | 44900 | 33831 |
| 4.100% due 03/15/2043  | 6026 | 5075 |
| **Duquesne Light Holdings, Inc.** <br>2.532% due 10/01/2030 | 3700 | 2940 |
| **E.ON International Finance BV** <br>6.650% due 04/30/2038 | 1520 | 1540 |
| **Electricite de France SA**  |  |  |
| 4.950% due 10/13/2045  | 23555 | 19050 |
| 5.000% due 09/21/2048  | 12622 | 10256 |
| 6.000% due 01/22/2114  | 19398 | 17359 |
| **Emera U.S. Finance LP** <br>4.750% due 06/15/2046 | 11300 | 8765 |
| **Enel Finance America LLC** <br>2.875% due 07/12/2041 | 18100 | 10925 |
| **Enel Finance International NV**  |  |  |
| 4.750% due 05/25/2047  | 44580 | 35154 |
| 7.750% due 10/14/2052  | 13700 | 14709 |
| **Entergy Arkansas LLC**  |  |  |
| 3.350% due 06/15/2052  | 7400 | 5176 |
| 4.200% due 04/01/2049  | 5800 | 4776 |
| **Entergy Corp.** <br>3.750% due 06/15/2050 | 13000 | 9632 |
| **Entergy Mississippi LLC** <br>3.500% due 06/01/2051 | 1500 | 1081 |
| **Entergy Texas, Inc.**  |  |  |
| 4.500% due 03/30/2039  | 4000 | 3482 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.000% due 09/15/2052  | 11900 | 10954 |
| **Evergy Kansas Central, Inc.** <br>3.450% due 04/15/2050 | 8300 | 6046 |
| **Evergy Metro, Inc.**  |  |  |
| 4.125% due 04/01/2049  | 15431 | 12436 |
| 4.200% due 06/15/2047  | 1200 | 980 |
| **Eversource Energy** <br>3.350% due 03/15/2026 | 2838 | 2659 |
| **Exelon Corp.** <br>5.625% due 06/15/2035 | 7000 | 7121 |
| **Fells Point Funding Trust** <br>3.046% due 01/31/2027 | 20000 | 18230 |
| **FirstEnergy Corp.** <br>3.400% due 03/01/2050 | 8600 | 5690 |
| **FirstEnergy Transmission LLC**  |  |  |
| 2.866% due 09/15/2028  | 2600 | 2273 |
| 4.350% due 01/15/2025  | 10846 | 10577 |
| 4.550% due 04/01/2049  | 2969 | 2416 |
| 5.450% due 07/15/2044  | 10100 | 9449 |
| **Florida Power & Light Co.**  |  |  |
| 2.875% due 12/04/2051  | 13300 | 8984 |
| 3.700% due 12/01/2047  | 18800 | 15167 |
| 4.050% due 10/01/2044  | 4200 | 3577 |
| **Gazprom PJSC via Gaz Finance PLC**  |  |  |
| 1.500% due 02/17/2027  | 24900 | 18133 |
| 2.950% due 01/27/2029  | $47900 | 33291 |
| 3.250% due 02/25/2030  | 22500 | 16038 |
| **Georgia Power Co.**  |  |  |
| 3.250% due 03/15/2051  | 25300 | 17528 |
| 4.750% due 09/01/2040  | 1425 | 1293 |
| 5.125% due 05/15/2052  | 34800 | 32822 |
| 5.400% due 06/01/2040  | 9085 | 8487 |
| **Idaho Power Co.** <br>4.850% due 08/15/2040 | 8000 | 7154 |
| **Indiana Michigan Power Co.**  |  |  |
| 3.250% due 05/01/2051  | 14800 | 10139 |
| 4.250% due 08/15/2048  | 5000 | 4081 |
| 4.550% due 03/15/2046  | 500 | 421 |
| **Indianapolis Power & Light Co.** <br>5.650% due 12/01/2032 | 15000 | 15432 |
| **Interstate Power & Light Co.** <br>6.250% due 07/15/2039 | 5000 | 5161 |
| **IPALCO Enterprises, Inc.** <br>4.250% due 05/01/2030 | 14524 | 12937 |
| **Jersey Central Power & Light Co.**  |  |  |
| 2.750% due 03/01/2032  | 6000 | 4861 |
| 6.150% due 06/01/2037  | 8562 | 8403 |
| **Kentucky Utilities Co.**  |  |  |
| 3.300% due 06/01/2050  | 4910 | 3473 |
| 4.375% due 10/01/2045  | 7100 | 6040 |
| 5.125% due 11/01/2040  | 14500 | 13793 |
| **KeySpan Gas East Corp.** <br>3.586% due 01/18/2052 | 14200 | 9469 |
| **Louisville Gas & Electric Co.** <br>4.250% due 04/01/2049 | 1900 | 1586 |
| **Metropolitan Edison Co.**  |  |  |
| 3.500% due 03/15/2023  | 1900 | 1894 |
| 4.300% due 01/15/2029  | 3000 | 2823 |
| **MidAmerican Energy Co.**  |  |  |
| 3.650% due 08/01/2048  | 6000 | 4738 |
| 3.950% due 08/01/2047  | 8262 | 6770 |
| 4.250% due 07/15/2049  | 5300 | 4524 |
| 4.400% due 10/15/2044  | 500 | 444 |
| **Midwest Connector Capital Co. LLC** <br>4.625% due 04/01/2029 | 12200 | 11047 |
| **Mississippi Power Co.**  |  |  |
| 3.100% due 07/30/2051  | 18550 | 11895 |
| 4.250% due 03/15/2042  | 7400 | 6034 |
| **Monongahela Power Co.** <br>5.400% due 12/15/2043 | 9061 | 8773 |
| **National Grid PLC** <br>2.949% due 03/30/2030 | 9700 | 9550 |
| **National Rural Utilities Cooperative Finance Corp.** <br>4.400% due 11/01/2048 | $7000 | 5866 |
| **New York State Electric & Gas Corp.** <br>3.300% due 09/15/2049 | 8800 | 5957 |
| **NextEra Energy Capital Holdings, Inc.** <br>5.650% due 05/01/2079 •  | 5100 | 4642 |
| **NGPL PipeCo LLC**  |  |  |
| 3.250% due 07/15/2031  | 10000 | 8160 |
| 7.768% due 12/15/2037  | 1100 | 1150 |
| **Niagara Mohawk Power Corp.**  |  |  |
| 4.119% due 11/28/2042  | 3850 | 2997 |
| 5.783% due 09/16/2052  | 13550 | 13583 |
| **NiSource, Inc.**  |  |  |
| 3.950% due 03/30/2048  | 6830 | 5330 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.375% due 05/15/2047  | 14845 | 12485 |
| 5.650% due 02/01/2045  | 8640 | 8476 |
| 5.800% due 02/01/2042  | 6723 | 6312 |
| **Northern States Power Co.** <br>4.500% due 06/01/2052 | 6800 | 6201 |
| **Novatek OAO via Novatek Finance DAC**  |  |  |
| 4.422% due 12/31/2023  | 600 | 600 |
| 4.422% due 12/13/2049  | 21700 | 21700 |
| **NSTAR Electric Co.**  |  |  |
| 4.400% due 03/01/2044  | 1500 | 1321 |
| 4.550% due 06/01/2052  | 5900 | 5344 |
| 4.950% due 09/15/2052  | 9200 | 8944 |
| **Odebrecht Drilling Norbe Ltd. (6.350% Cash and 1.000% PIK)** <br>7.350% due 12/01/2026 ^(a) | 8129 | 4491 |
| **Odebrecht Offshore Drilling Finance Ltd. (6.720% Cash and 1.000% PIK)** <br>7.720% due 12/01/2026 ^(a) | 7612 | 2036 |
| **Oglethorpe Power Corp.**  |  |  |
| 3.750% due 08/01/2050  | 10600 | 7651 |
| 4.500% due 04/01/2047  | 35100 | 28035 |
| 5.050% due 10/01/2048  | 28500 | 24504 |
| 5.250% due 09/01/2050  | 25000 | 21510 |
| **Ohio Edison Co.**  |  |  |
| 5.500% due 01/15/2033  | 4000 | 3976 |
| 6.875% due 07/15/2036  | 3500 | 3792 |
| 8.250% due 10/15/2038  | 1000 | 1195 |
| **Ohio Power Co.** <br>2.900% due 10/01/2051 | 5600 | 3669 |
| **Oklahoma Gas & Electric Co.** <br>5.850% due 06/01/2040 | 4000 | 3925 |
| **Oncor Electric Delivery Co. LLC**  |  |  |
| 3.100% due 09/15/2049  | 6000 | 4275 |
| 4.100% due 11/15/2048  | 421 | 358 |
| 4.600% due 06/01/2052  | 3000 | 2761 |
| 4.950% due 09/15/2052  | 2100 | 2040 |
| 5.250% due 09/30/2040  | 15100 | 15044 |
| 5.300% due 06/01/2042  | 600 | 600 |
| 7.250% due 01/15/2033  | 1900 | 2213 |
| 7.500% due 09/01/2038  | 2590 | 3143 |
| **ONEOK, Inc.**  |  |  |
| 4.000% due 07/13/2027  | 2730 | 2573 |
| 4.950% due 07/13/2047  | 4900 | 3969 |
| 5.200% due 07/15/2048  | 67423 | 56466 |
| 7.150% due 01/15/2051  | 7000 | 7149 |
| **Pacific Gas & Electric Co.**  |  |  |
| 2.100% due 08/01/2027  | 4200 | 3593 |
| 2.500% due 02/01/2031  | 22900 | 17820 |
| 2.950% due 03/01/2026  | 300 | 275 |
| 3.000% due 06/15/2028  | 1000 | 866 |
| 3.150% due 01/01/2026  | 25532 | 23752 |
| 3.250% due 06/01/2031  | 9500 | 7745 |
| 3.300% due 03/15/2027  | 4910 | 4375 |
| 3.300% due 12/01/2027  | 8000 | 7073 |
| 3.300% due 08/01/2040  | 11300 | 7689 |
| 3.400% due 08/15/2024  | 1000 | 960 |
| 3.450% due 07/01/2025  | 7046 | 6677 |
| 3.500% due 08/01/2050  | 68788 | 42987 |
| 3.750% due 02/15/2024  | 1800 | 1764 |
| 3.750% due 07/01/2028  | 4564 | 4056 |
| 3.750% due 08/15/2042  | 18181 | 12261 |
| 3.950% due 12/01/2047  | 12183 | 8307 |
| 4.000% due 12/01/2046  | 22370 | 15059 |
| 4.200% due 06/01/2041  | 2000 | 1488 |
| 4.250% due 03/15/2046  | 26543 | 18564 |
| 4.300% due 03/15/2045  | 9100 | 6486 |
| 4.500% due 07/01/2040  | 25910 | 20345 |
| 4.500% due 12/15/2041  | 22000 | 15610 |
| 4.550% due 07/01/2030  | 10826 | 9838 |
| 4.600% due 06/15/2043  | 10454 | 7936 |
| 4.650% due 08/01/2028  | 17000 | 15662 |
| 4.750% due 02/15/2044  | 15157 | 11655 |
| 4.950% due 07/01/2050  | 37577 | 29277 |
| 5.250% due 03/01/2052  | 2000 | 1642 |
| **PacifiCorp**  |  |  |
| 2.900% due 06/15/2052  | 22703 | 14926 |
| 3.300% due 03/15/2051  | 16000 | 11568 |
| 4.125% due 01/15/2049  | 6400 | 5269 |
| 5.350% due 12/01/2053  | 2500 | 2490 |
| **PECO Energy Co.**  |  |  |
| 2.800% due 06/15/2050  | 6500 | 4282 |
| 4.150% due 10/01/2044  | 8900 | 7607 |
| 4.600% due 05/15/2052  | 9400 | 8505 |
| 4.800% due 10/15/2043  | 1185 | 1047 |
| **Pennsylvania Electric Co.** <br>6.150% due 10/01/2038 | 2409 | 2411 |
| **Perusahaan Perseroan Persero PT Perusahaan Listrik Negara**  |  |  |
| 4.000% due 06/30/2050  | 14100 | 10117 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.875% due 07/17/2049  | 11200 | 8864 |
| **PG&E Recovery Funding LLC**  |  |  |
| 5.256% due 01/15/2040  | 5000 | 4967 |
| 5.536% due 07/15/2049  | 8000 | 8145 |
| **Piedmont Natural Gas Co., Inc.**  |  |  |
| 3.350% due 06/01/2050  | 9095 | 6125 |
| 5.050% due 05/15/2052  | 5000 | 4539 |
| **Plains All American Pipeline LP**  |  |  |
| 4.500% due 12/15/2026  | 550 | 529 |
| 5.150% due 06/01/2042  | 300 | 244 |
| 6.700% due 05/15/2036  | 2533 | 2466 |
| **PPL Electric Utilities Corp.**  |  |  |
| 3.000% due 10/01/2049  | 16700 | 11337 |
| 5.200% due 07/15/2041  | 5500 | 5143 |
| **Progress Energy, Inc.**  |  |  |
| 6.000% due 12/01/2039  | 700 | 711 |
| 7.750% due 03/01/2031  | 12091 | 13733 |
| **Public Service Co. of Colorado**  |  |  |
| 3.200% due 03/01/2050  | 10500 | 7503 |
| 3.950% due 03/15/2043  | 1500 | 1205 |
| 4.100% due 06/15/2048  | 4000 | 3335 |
| 4.500% due 06/01/2052  | 4600 | 4155 |
| **Public Service Co. of New Hampshire** <br>3.600% due 07/01/2049 | 4700 | 3631 |
| **Public Service Co. of Oklahoma**  |  |  |
| 3.150% due 08/15/2051  | 2300 | 1536 |
| 6.625% due 11/15/2037  | 1135 | 1195 |
| **Public Service Electric & Gas Co.** <br>3.000% due 03/01/2051 | 2600 | 1783 |
| **Puget Energy, Inc.**  |  |  |
| 4.100% due 06/15/2030  | 6010 | 5381 |
| 4.224% due 03/15/2032 (h)  | 9500 | 8459 |
| **Puget Sound Energy, Inc.**  |  |  |
| 4.223% due 06/15/2048  | 3800 | 3097 |
| 5.764% due 07/15/2040  | 8200 | 8021 |
| **Rio Oil Finance Trust** <br>9.750% due 01/06/2027 | 12422 | 12923 |
| **San Diego Gas & Electric Co.**  |  |  |
| 2.950% due 08/15/2051  | 15400 | 10477 |
| 3.320% due 04/15/2050  | 10305 | 7414 |
| 3.700% due 03/15/2052  | 15130 | 11976 |
| 3.750% due 06/01/2047  | 7550 | 5901 |
| 3.950% due 11/15/2041  | 1968 | 1539 |
| 4.100% due 06/15/2049  | 14172 | 11613 |
| 4.150% due 05/15/2048  | 12140 | 10192 |
| 4.500% due 08/15/2040  | 2600 | 2351 |
| **Saudi Electricity Global Sukuk Co.**  |  |  |
| 5.060% due 04/08/2043  | 47700 | 46767 |
| 5.500% due 04/08/2044  | 37700 | 39168 |
| **Sempra Energy**  |  |  |
| 3.250% due 06/15/2027  | 3300 | 3058 |
| 3.400% due 02/01/2028  | 1000 | 930 |
| 4.000% due 02/01/2048  | 8424 | 6604 |
| 6.000% due 10/15/2039  | 15145 | 15373 |
| **Southern California Edison Co.**  |  |  |
| 2.750% due 02/01/2032  | 6800 | 5713 |
| 2.950% due 02/01/2051  | 13000 | 8385 |
| 3.450% due 02/01/2052  | 14000 | 10027 |
| 3.650% due 02/01/2050  | 12765 | 9382 |
| 3.650% due 06/01/2051  | 31200 | 22836 |
| 3.700% due 08/01/2025  | 5000 | 4842 |
| 3.900% due 12/01/2041  | 42994 | 32453 |
| 3.900% due 03/15/2043  | 6655 | 5155 |
| 4.000% due 04/01/2047  | 105850 | 83209 |
| 4.050% due 03/15/2042  | 3834 | 3067 |
| 4.125% due 03/01/2048  | 26468 | 21247 |
| 4.500% due 09/01/2040  | 445 | 382 |
| 4.650% due 10/01/2043  | 39850 | 34626 |
| 4.875% due 03/01/2049  | 8096 | 7161 |
| 5.450% due 06/01/2052  | 17600 | 16907 |
| 5.750% due 04/01/2035  | 8073 | 8068 |
| 6.000% due 01/15/2034  | 5900 | 6182 |
| 6.050% due 03/15/2039  | 17000 | 17339 |
| 6.650% due 04/01/2029  | 6995 | 7232 |
| **Southern California Gas Co.**  |  |  |
| 3.750% due 09/15/2042  | 4900 | 3855 |
| 3.950% due 02/15/2050  | 8127 | 6346 |
| 4.300% due 01/15/2049  | 1942 | 1608 |
| 5.125% due 11/15/2040  | 1300 | 1232 |
| **Southern Co. Gas Capital Corp.**  |  |  |
| 4.400% due 05/30/2047  | 11010 | 8775 |
| 5.875% due 03/15/2041  | 7500 | 7486 |
| **Southwest Gas Corp.** <br>4.050% due 03/15/2032 | 11400 | 10041 |
| **Southwestern Electric Power Co.**  |  |  |
| 2.750% due 10/01/2026  | 900 | 830 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.250% due 11/01/2051  | 550 | 364 |
| 3.850% due 02/01/2048  | 20000 | 14845 |
| 6.200% due 03/15/2040  | 14340 | 14623 |
| **Southwestern Public Service Co.**  |  |  |
| 3.150% due 05/01/2050  | 18050 | 12540 |
| 5.150% due 06/01/2052  | 13000 | 12019 |
| 6.000% due 10/01/2036  | 2000 | 1992 |
| **Tampa Electric Co.** <br>4.450% due 06/15/2049 | 18500 | 15367 |
| **Targa Resources Partners LP** <br>4.875% due 02/01/2031 | 6600 | 5968 |
| **Telefonica Europe BV** <br>8.250% due 09/15/2030 | 8650 | 9674 |
| **Toledo Edison Co.**  |  |  |
| 2.650% due 05/01/2028  | 16667 | 14592 |
| 6.150% due 05/15/2037  | 1900 | 1974 |
| **Union Electric Co.** <br>3.900% due 04/01/2052 | 31000 | 25141 |
| **Verizon Communications, Inc.**  |  |  |
| 2.987% due 10/30/2056  | 25810 | 15861 |
| 3.000% due 11/20/2060  | 500 | 300 |
| 3.400% due 03/22/2041  | 11100 | 8390 |
| 3.550% due 03/22/2051  | 400 | 287 |
| 3.700% due 03/22/2061  | 1800 | 1264 |
| 3.850% due 11/01/2042  | 14860 | 11843 |
| 3.875% due 03/01/2052  | 33300 | 25417 |
| 4.812% due 03/15/2039  | 1902 | 1750 |
| 4.862% due 08/21/2046  | 11526 | 10389 |
| **Virginia Electric & Power Co.**  |  |  |
| 3.800% due 09/15/2047  | 7900 | 6078 |
| 4.000% due 11/15/2046  | 10600 | 8367 |
| 4.600% due 12/01/2048  | 4744 | 4133 |
| 6.000% due 05/15/2037  | 400 | 416 |
| **Vodafone Group PLC**  |  |  |
| 4.375% due 02/19/2043  | 3300 | 2655 |
| 4.875% due 06/19/2049  | 30855 | 25929 |
| 5.125% due 06/19/2059  | 22200 | 19099 |
| 5.250% due 05/30/2048  | 21100 | 18686 |
| 6.250% due 11/30/2032  | 2650 | 2780 |
| 7.000% due 04/04/2079 •  | 5700 | 5739 |
| **Washington Gas Light Co.** <br>3.650% due 09/15/2049 | 1400 | 1023 |
| **Wisconsin Electric Power Co.**  |  |  |
| 4.300% due 10/15/2048  | 15000 | 12310 |
| 5.700% due 12/01/2036  | 220 | 221 |
| **Wisconsin Power & Light Co.** <br>3.950% due 09/01/2032 | 5000 | 4591 |
| **Wisconsin Public Service Corp.**  |  |  |
| 2.850% due 12/01/2051  | 21000 | 13527 |
| 3.300% due 09/01/2049  | 3100 | 2177 |
| **Xcel Energy, Inc.**  |  |  |
| 4.600% due 06/01/2032  | 10000 | 9580 |
| 6.500% due 07/01/2036  | 6900 | 7500 |
|  |  | 3463505 |
| Total Corporate Bonds & Notes (Cost $22,250,755) |  | 18407840 |
| **MUNICIPAL BONDS & NOTES 2.9%**  |  |  |
| **CALIFORNIA 1.1%**  |  |  |
| **Alameda County, California Joint Powers Authority Revenue Bonds, (BABs), Series 2010** <br>7.046% due 12/01/2044 | 7000 | 8438 |
| **Bay Area Toll Authority, California Revenue Bonds, (BABs), Series 2009** <br>6.263% due 04/01/2049 | 4800 | 5456 |
| **Bay Area Toll Authority, California Revenue Bonds, (BABs), Series 2010**  |  |  |
| 6.793% due 04/01/2030  | 540 | 568 |
| 6.907% due 10/01/2050  | 28895 | 35384 |
| 7.043% due 04/01/2050  | 15775 | 19442 |
| **Burbank, California Water Revenue Bonds, (BABs), Series 2010** <br>5.797% due 06/01/2040 | 2220 | 2334 |
| **California Infrastructure & Economic Development Bank Revenue Bonds, (BABs), Series 2010** <br>6.486% due 05/15/2049 | 4500 | 4918 |
| **California State General Obligation Bonds, (BABs), (AGM/CR Insured), Series 2010** <br>6.875% due 11/01/2026 | 2550 | 2741 |
| **California State General Obligation Bonds, (BABs), Series 2009**  |  |  |
| 7.500% due 04/01/2034  | 4840 | 5856 |
| 7.550% due 04/01/2039  | 12135 | 15219 |
| **California State General Obligation Bonds, (BABs), Series 2010** <br>7.625% due 03/01/2040 | 7575 | 9585 |
| **California State Public Works Board Revenue Bonds, (BABs), Series 2010** <br>7.804% due 03/01/2035 | 9010 | 10529 |
| **California State University Revenue Bonds, (BABs), Series 2010** <br>6.484% due 11/01/2041 | 2000 | 2229 |
| **Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2021**  |  |  |
| 3.000% due 06/01/2046  | 975 | 903 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.714% due 06/01/2041  | 13800 | 10371 |
| **Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2021** <br>1.850% due 06/01/2031 | 470 | 463 |
| **Irvine Ranch Water District, California Special Assessment Bonds, (BABs), Series 2010** <br>6.622% due 05/01/2040 | 10000 | 11196 |
| **Los Angeles Community College District, California General Obligation Bonds, Series 2020** <br>2.106% due 08/01/2032 | 6500 | 5206 |
| **Los Angeles County, California Public Works Financing Authority Revenue Bonds, (BABs), Series 2010**  |  |  |
| 7.488% due 08/01/2033  | 15400 | 17483 |
| 7.618% due 08/01/2040  | 5200 | 6395 |
| **Los Angeles Department of Water & Power, California Revenue Bonds, (BABs), Series 2010** <br>6.603% due 07/01/2050 | 400 | 474 |
| **Los Angeles Department of Water & Power, California Revenue Bonds, Series 2010** <br>5.516% due 07/01/2027 | 1800 | 1843 |
| **Los Angeles, California Wastewater System Revenue Bonds, (BABs), Series 2010** <br>5.713% due 06/01/2039 | 100 | 105 |
| **Napa Valley Unified School District, California General Obligation Bonds, (BABs), Series 2010** <br>6.507% due 08/01/2043 | 2000 | 2216 |
| **Newport Beach, California Certificates of Participation Bonds, (BABs), Series 2010** <br>7.168% due 07/01/2040 | 900 | 1041 |
| **Northern California Power Agency Revenue Bonds, (BABs), Series 2010** <br>7.311% due 06/01/2040 | 500 | 585 |
| **Pasadena Public Financing Authority, California Revenue Bonds, (BABs), Series 2010** <br>7.148% due 03/01/2043 | 10400 | 12230 |
| **Regents of the University of California Medical Center Pooled Revenue Bonds, (BABs), Series 2009** <br>6.583% due 05/15/2049 | 4305 | 4905 |
| **Regents of the University of California Medical Center Pooled Revenue Bonds, (BABs), Series 2010** <br>6.548% due 05/15/2048 | 25100 | 28596 |
| **Riverside County, California Revenue Bonds, Series 2020** <br>3.818% due 02/15/2038 | 2500 | 2180 |
| **San Diego County, California Water Authority Revenue Bonds, (BABs), Series 2010** <br>6.138% due 05/01/2049 | 1800 | 1995 |
| **University of California Revenue Bonds, Series 2012**  |  |  |
| 4.053% due 05/15/2041  | 4985 | 4142 |
| 4.858% due 05/15/2112  | 27844 | 23553 |
| **University of California Revenue Bonds, Series 2015** <br>4.767% due 05/15/2115 | 7803 | 6388 |
|  |  | 264969 |
| **FLORIDA 0.1%**  |  |  |
| **State Board of Administration Finance Corp., Florida Revenue Notes, Series 2020**  |  |  |
| 1.705% due 07/01/2027  | 3100 | 2701 |
| 2.154% due 07/01/2030  | 11700 | 9593 |
|  |  | 12294 |
| **GEORGIA 0.2%**  |  |  |
| **Municipal Electric Authority of Georgia Revenue Bonds, (BABs), Series 2010**  |  |  |
| 6.637% due 04/01/2057  | 2299 | 2465 |
| 6.655% due 04/01/2057  | 42333 | 45811 |
|  |  | 48276 |
| **ILLINOIS 0.2%**  |  |  |
| **Chicago Transit Authority, Illinois Revenue Bonds, (BABs), Series 2010** <br>6.200% due 12/01/2040 | 900 | 970 |
| **Chicago Transit Authority, Illinois Revenue Bonds, Series 2008** <br>6.899% due 12/01/2040 | 15955 | 17712 |
| **Chicago, Illinois General Obligation Bonds, Series 2015** <br>7.750% due 01/01/2042 | 5855 | 6124 |
| **Chicago, Illinois General Obligation Bonds, Series 2017** <br>7.045% due 01/01/2029 | 1455 | 1475 |
| **Illinois Municipal Electric Agency Revenue Bonds, (BABs), Series 2009** <br>6.832% due 02/01/2035 | 2800 | 3045 |
| **Wheaton College, Illinois Revenue Bonds, Series 2004** <br>6.090% due 10/01/2034 | 5000 | 5368 |
|  |  | 34694 |
| **INDIANA 0.0%**  |  |  |
| **Indiana Finance Authority Revenue Bonds, (BABs), Series 2009** <br>6.596% due 02/01/2039 | 1750 | 2043 |
| **MASSACHUSETTS 0.0%**  |  |  |
| **Massachusetts Port Authority Revenue Bonds, Series 2011** <br>6.202% due 07/01/2031 | 3240 | 3322 |
| **MICHIGAN 0.1%**  |  |  |
| **Michigan State University Revenue Bonds, Series 2022** <br>4.165% due 08/15/2122 | 16800 | 12425 |
| **University of Michigan Revenue Bonds, Series 2020**  |  |  |
| 2.437% due 04/01/2040  | 15000 | 10818 |
| 2.562% due 04/01/2050  | 7000 | 4547 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **University** **of Michigan Revenue Bonds, Series 2022** <br>4.454% due 04/01/2122 | 7400 | 6021 |
|  |  | 33811 |
| **NEVADA 0.0%**  |  |  |
| **Reno, Nevada Revenue Bonds, (NPFGC Insured), Series 2005** <br>0.000% due 06/01/2036 (d) | 6375 | 3078 |
| **NEW JERSEY 0.1%**  |  |  |
| **New Jersey Turnpike Authority Revenue Bonds, (BABs), Series 2010** <br>7.102% due 01/01/2041 | 8980 | 10850 |
| **NEW MEXICO 0.0%**  |  |  |
| **New Mexico Hospital Equipment Loan Council Revenue Bonds, Series 2017** <br>4.406% due 08/01/2046 | 6100 | 5115 |
| **NEW YORK 0.5%**  |  |  |
| **Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2010** <br>6.814% due 11/15/2040 | 18085 | 18948 |
| **New York City Transitional Finance Authority Future Tax Secured, New York Revenue Bonds, (BABs), Series 2010**  |  |  |
| 5.467% due 05/01/2040  | 6700 | 6570 |
| 5.508% due 08/01/2037  | 800 | 823 |
| 5.572% due 11/01/2038  | 9000 | 9248 |
| **New York City, New York Industrial Development Agency Revenue Bonds, (AGM Insured), Series 2006** <br>6.027% due 01/01/2046 | 490 | 476 |
| **New York State Dormitory Authority Revenue Bonds, (BABs), Series 2009** <br>5.427% due 03/15/2039 | 1200 | 1220 |
| **New York State Dormitory Authority Revenue Bonds, (BABs), Series 2010**  |  |  |
| 5.289% due 03/15/2033  | 500 | 505 |
| 5.389% due 03/15/2040  | 200 | 203 |
| **New York State Dormitory Authority Revenue Bonds, Series 2010** <br>5.051% due 09/15/2027 | 2735 | 2740 |
| **New York State Urban Development Corp. Revenue Bonds, (BABs), Series 2009** <br>5.770% due 03/15/2039 | 9410 | 9673 |
| **Port Authority of New York & New Jersey Revenue Bonds, Series 2010** <br>5.647% due 11/01/2040 | 500 | 523 |
| **Port Authority of New York & New Jersey Revenue Bonds, Series 2011** <br>4.926% due 10/01/2051 | 200 | 189 |
| **Port Authority of New York & New Jersey Revenue Bonds, Series 2012** <br>4.458% due 10/01/2062 | 84130 | 73244 |
| **Port Authority of New York & New Jersey Revenue Bonds, Series 2014** <br>5.310% due 08/01/2046 | 2800 | 2797 |
|  |  | 127159 |
| **OHIO 0.3%**  |  |  |
| **American Municipal Power, Inc., Ohio Revenue Bonds, (BABs), Series 2009** <br>6.449% due 02/15/2044 | 1000 | 1078 |
| **American Municipal Power, Inc., Ohio Revenue Bonds, (BABs), Series 2010** <br>8.084% due 02/15/2050 | 40725 | 52515 |
| **American Municipal Power, Inc., Ohio Revenue Bonds, Series 2010**  |  |  |
| 7.334% due 02/15/2028  | 1160 | 1238 |
| 7.734% due 02/15/2033  | 7325 | 8340 |
| **Ohio State University Revenue Bonds, Series 2011** <br>4.800% due 06/01/2111 | 67 | 55 |
|  |  | 63226 |
| **OREGON 0.0%**  |  |  |
| **Oregon Department of Transportation State Revenue Bonds, (BABs), Series 2010** <br>5.834% due 11/15/2034 | 9200 | 9893 |
| **PENNSYLVANIA 0.1%**  |  |  |
| **Pennsylvania Economic Development Financing Authority Revenue Bonds, (BABs), Series 2010** <br>6.532% due 06/15/2039 | 11500 | 12226 |
| **TEXAS 0.2%**  |  |  |
| **Dallas Convention Center Hotel Development Corp., Texas Revenue Bonds, (BABs), Series 2009** <br>7.088% due 01/01/2042 | 14000 | 15269 |
| **Dallas, Texas General Obligation Bonds, Series 2005**  |  |  |
| 0.000% due 02/15/2033 (d)  | 19795 | 11381 |
| 0.000% due 02/15/2035 (d)  | 8205 | 4183 |
| **Texas Transportation Commission State Highway Fund Revenue Bonds, (BABs), Series 2010** <br>5.178% due 04/01/2030 | 16000 | 16320 |

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------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **University** **of Texas System Revenue Bonds, Series 2020** <br>2.439% due 08/15/2049 | 8700 | 5483 |
|  |  | 52636 |
| **VIRGINIA 0.0%**  |  |  |
| **University of Virginia Revenue Bonds, (BABs), Series 2009** <br>6.200% due 09/01/2039 | 1245 | 1411 |
| **WISCONSIN 0.0%**  |  |  |
| **Milwaukee Redevelopment Authority, Wisconsin Revenue Bonds, (NPFGC Insured), Series 2003**  |  |  |
| 0.000% due 04/01/2036 (d)  | 1900 | 916 |
| 0.000% due 04/01/2037 (d)  | 2150 | 976 |
| 0.000% due 04/01/2038 (d)  | 2800 | 1194 |
| 0.000% due 04/01/2039 (d)  | 2500 | 1000 |
|  |  | 4086 |
| Total Municipal Bonds & Notes (Cost $713,898) |  | 689089 |
| **U.S. GOVERNMENT AGENCIES 5.3%**  |  |  |
| **Freddie Mac**  |  |  |
| 3.936% due 08/15/2032 ~ | 3 | 3 |
| 4.317% due 10/25/2052 ~ | 18738 | 17702 |
| **Ginnie Mae**  |  |  |
| 4.500% due 09/15/2033 | 6 | 6 |
| 8.500% due 09/15/2030 | 3 | 3 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.500% due 12/01/2042 - 04/01/2049 | 7681 | 7136 |
| 4.000% due 10/01/2040 - 08/01/2049 | 658 | 627 |
| 6.000% due 01/01/2023 - 08/01/2036 | 2 | 2 |
| 7.000% due 11/01/2026 | 2 | 2 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 3.000% due 02/01/2053  | 218700 | 192154 |
| 3.500% due 02/01/2049  | 61000 | 55426 |
| 3.500% due 02/01/2053 | 291164 | 264727 |
| 4.000% due 01/01/2053  | 14000 | 13132 |
| 4.000% due 02/01/2053 - 03/01/2053 | 471550 | 442439 |
| 4.500% due 02/01/2053 | 275000 | 264739 |
| Total U.S. Government Agencies (Cost $1,274,416) |  | 1258098 |
| **U.S. TREASURY OBLIGATIONS 25.4%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 1.125% due 05/15/2040 (l)(n) | 35339 | 22137 |
| 1.375% due 11/15/2040 (j)(l)(n) | 401150 | 261014 |
| 1.750% due 08/15/2041 (j)(l)(n) | 240300 | 164563 |
| 1.875% due 02/15/2041 (j) | 2013386 | 1424156 |
| 2.000% due 11/15/2041 (j)(l)(n) | 103500 | 73952 |
| 2.250% due 05/15/2041 (l)(n) | 86300 | 64924 |
| 2.250% due 02/15/2052 (j) | 660927 | 459861 |
| 2.375% due 02/15/2042 (j) | 693100 | 529531 |
| 2.500% due 02/15/2045 (l)(n) | 496718 | 374430 |
| 2.500% due 02/15/2046 (j)(l)(n) | 213985 | 160305 |
| 2.500% due 05/15/2046 (j)(l)(n) | 189000 | 141174 |
| 2.750% due 08/15/2047 (j)(l)(n) | 216500 | 169098 |
| 2.750% due 11/15/2047 (l)(n) | 100512 | 78490 |
| 2.875% due 08/15/2045 (j)(l)(n) | 183507 | 147924 |
| 2.875% due 05/15/2049 (j) | 597100 | 480782 |
| 2.875% due 05/15/2052 | 274613 | 220119 |
| 3.000% due 08/15/2048 (j)(l)(n) | 145464 | 119530 |
| 3.125% due 02/15/2043 (j)(l)(n) | 196900 | 168165 |
| 3.125% due 05/15/2048 (l)(n) | 91885 | 77270 |
| 3.250% due 05/15/2042 (j)(l)(n) | 368086 | 322880 |
| 3.375% due 08/15/2042 (j) | 173500 | 155120 |
| 4.000% due 11/15/2052 | 282000 | 282485 |
| **U.S. Treasury Inflation Protected Securities (e)** |  |  |
| 0.125% due 02/15/2051  | 101871 | 65708 |
| 0.250% due 02/15/2050  | 10780 | 7280 |
| 0.875% due 02/15/2047  | 10617 | 8714 |
| 1.000% due 02/15/2049  | 10303 | 8622 |
| Total U.S. Treasury Obligations (Cost $7,465,020) |  | 5988234 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.3%**  |  |  |
| **1166 Avenue of the Americas Commercial Mortgage Trust** <br>5.690% due 10/13/2037 | 20220 | 16971 |
| **BIG Commercial Mortgage Trust** <br>5.678% due 02/15/2039 •  | 5600 | 5386 |
| **Countrywide Home Loan Mortgage Pass-Through Trust** <br>5.049% due 02/25/2035 ~ | 9 | 8 |
| **HomeBanc Mortgage Trust** <br>5.049% due 07/25/2035 •  | 1151 | 1147 |
| **JP Morgan Chase Commercial Mortgage Securities Trust** <br>4.248% due 07/05/2033 | 6100 | 5707 |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Merrill** **Lynch Mortgage Investors Trust**  |  |  |
| 4.386% due 03/25/2028 •  | 7 | 6 |
| 5.905% due 01/25/2029 •  | 27 | 27 |
| **Natixis Commercial Mortgage Securities Trust** <br>3.821% due 02/15/2039 | 9900 | 8756 |
| **New Residential Mortgage Loan Trust** <br>2.750% due 11/25/2059 ~ | 11364 | 10411 |
| **One New York Plaza Trust** <br>5.268% due 01/15/2036 •  | 8000 | 7562 |
| **Structured Adjustable Rate Mortgage Loan Trust** <br>3.980% due 09/25/2034 ~ | 196 | 188 |
| **Towd Point Mortgage Funding** <br>4.071% (SONIO/N + 1.144%) due 10/20/2051 ~ | 5370 | 6454 |
| **Towd Point Mortgage Trust** <br>5.389% due 05/25/2058 ~ | $1626 | 1612 |
| Total Non-Agency Mortgage-Backed Securities (Cost $73,151) |  | 64235 |
| **ASSET-BACKED SECURITIES 0.5%**  |  |  |
| **AASET Trust** <br>3.844% due 01/16/2038 | 6474 | 3987 |
| **AIM Aviation Finance Ltd.** <br>6.213% due 02/15/2040 þ | 10031 | 6856 |
| **Finance America Mortgage Loan Trust** <br>5.259% due 11/25/2034 •  | 5660 | 5393 |
| **JP Morgan Mortgage Acquisition Corp.** <br>5.109% due 12/25/2035 ~ | 1335 | 1323 |
| **KDAC Aviation Finance Ltd.** <br>4.212% due 12/15/2042 | 5059 | 3895 |
| **Labrador Aviation Finance Ltd.** <br>4.300% due 01/15/2042 | 15208 | 12053 |
| **LoanCore Issuer Ltd.** <br>5.618% due 07/15/2036 •  | 2320 | 2235 |
| **MAPS Ltd.** <br>4.212% due 05/15/2043 | 5718 | 5112 |
| **METAL LLC** <br>4.581% due 10/15/2042 | 12414 | 6524 |
| **Morgan Stanley ABS Capital, Inc. Trust** <br>5.244% due 03/25/2034 •  | 4025 | 3919 |
| **RBSSP Resecuritization Trust** <br>4.176% due 11/26/2036 ~ | 299 | 292 |
| **Sapphire Aviation Finance Ltd.** <br>4.250% due 03/15/2040 | 8292 | 6443 |
| **SBA Tower Trust** <br>3.869% due 10/15/2049 þ | 11400 | 10902 |
| **Soundview Home Loan Trust** <br>4.849% due 06/25/2036 ~ | 6978 | 6665 |
| **Start Ltd.** <br>4.089% due 03/15/2044 | 3925 | 3355 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>5.389% due 08/25/2037 •  | 104 | 102 |
| **Venture CLO Ltd.** <br>5.373% due 04/20/2032 ~ | 8000 | 7800 |
| **Vertical Bridge Holdings LLC**  |  |  |
| 2.636% due 09/15/2050  | 25000 | 22333 |
| 3.706% due 02/15/2057  | 7100 | 5635 |
| Total Asset-Backed Securities (Cost $138,807) |  | 114824 |
| **SOVEREIGN ISSUES 2.3%**  |  |  |
| **Australia Government International Bond** <br>1.000% due 11/21/2031 | 64750 | 34205 |
| **Brazil Government International Bond** <br>5.000% due 01/27/2045 | $46630 | 34700 |
| **Chile Government International Bond** <br>4.000% due 01/31/2052 | 3200 | 2480 |
| **Colombia Government International Bond** <br>6.125% due 01/18/2041 | 200 | 160 |
| **Emirate of Abu Dhabi Government International Bond**  |  |  |
| 2.700% due 09/02/2070  | 37100 | 23220 |
| 3.125% due 04/16/2030  | 13700 | 12744 |
| 3.875% due 04/16/2050  | 12600 | 10720 |
| **Israel Government International Bond**  |  |  |
| 3.800% due 05/13/2060  | 2100 | 1652 |
| 3.875% due 07/03/2050  | 18000 | 15213 |
| 4.125% due 01/17/2048  | 13300 | 11695 |
| 4.500% due 04/03/2120  | 4600 | 4058 |
| **Mexico Government International Bond**  |  |  |
| 3.771% due 05/24/2061  | 59442 | 37762 |
| 4.280% due 08/14/2041  | 1500 | 1160 |
| **Peru Government International Bond**  |  |  |
| 5.350% due 08/12/2040  | 5250 | 1035 |
| 5.400% due 08/12/2034  | 8300 | 1756 |
| 5.940% due 02/12/2029  | 106393 | 25725 |
| 6.350% due 08/12/2028  | 194900 | 48845 |
| 6.900% due 08/12/2037  | 18128 | 4297 |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.950% due 08/12/2031  | 13100 | 3259 |
| 8.200% due 08/12/2026  | 224000 | 61790 |
| **Qatar Government International Bond**  |  |  |
| 4.000% due 03/14/2029  | $14500 | 14277 |
| 4.400% due 04/16/2050  | 6800 | 6241 |
| 4.817% due 03/14/2049  | 4000 | 3902 |
| 5.103% due 04/23/2048  | 28900 | 29114 |
| **Romania Government International Bond**  |  |  |
| 1.750% due 07/13/2030  | 9100 | 6807 |
| 2.875% due 04/13/2042  | 9100 | 5478 |
| 3.750% due 02/07/2034  | 2900 | 2324 |
| **Russia Government International Bond**  |  |  |
| 4.250% due 06/23/2027 ^(b)  | $6800 | 2380 |
| 4.750% due 05/27/2026 ^(b)  | 8600 | 3010 |
| 5.250% due 06/23/2047 ^(b)  | 13600 | 5032 |
| 5.625% due 04/04/2042 ^(b)  | 2400 | 1524 |
| 5.875% due 09/16/2043 ^(b)  | 800 | 478 |
| **Saudi Government International Bond**  |  |  |
| 3.450% due 02/02/2061  | 13100 | 9418 |
| 4.000% due 04/17/2025  | 500 | 494 |
| 4.500% due 10/26/2046  | 47700 | 42453 |
| 4.625% due 10/04/2047  | 14800 | 13285 |
| 5.000% due 04/17/2049  | 15000 | 14164 |
| **South Africa Government International Bond**  |  |  |
| 4.850% due 09/30/2029  | 7300 | 6534 |
| 5.750% due 09/30/2049  | 38900 | 28741 |
| **State Agency of Roads of Ukraine** <br>6.250% due 06/24/2030 | 1000 | 177 |
| Total Sovereign Issues (Cost $681,949) |  | 532309 |
|  | SHARES |  |
| **CONVERTIBLE PREFERRED SECURITIES 0.1%**  |  |  |
| **BANKING & FINANCE 0.1%**  |  |  |
| **Wells Fargo & Co.**<br>7.500% | 20200 | 23937 |
| Total Convertible Preferred Securities (Cost $24,500) |  | 23937 |
| **PREFERRED SECURITIES 4.3%**  |  |  |
| **BANKING & FINANCE 3.9%**  |  |  |
| **AgriBank FCB**<br>6.875% (US0003M + 4.225%) due 01/01/2024 ~(f) | 130000 | 12981 |
| **American Express Co.**<br>3.550% due 09/15/2026 •(f) | 13600000 | 11197 |
| **Bank of America Corp.**  |  |  |
| 5.125% due 06/20/2024 •(f) | 19798000 | 18486 |
| 5.875% due 03/15/2028 •(f) | 131854000 | 116925 |
| 6.125% due 04/27/2027 •(f) | 36800000 | 36025 |
| **Bank of New York Mellon Corp.**<br>4.700% due 09/20/2025 •(f) | 3700000 | 3558 |
| **Capital One Financial Corp.**<br>3.950% due 09/01/2026 •(f) | 16000000 | 12637 |
| **Charles Schwab Corp.**  |  |  |
| 4.000% due 06/01/2026 •(f) | 25500000 | 22137 |
| 4.000% due 12/01/2030 •(f) | 58800000 | 46868 |
| 5.000% due 06/01/2027 •(f) | 7200000 | 6657 |
| 5.000% due 12/01/2027 •(f) | 16550000 | 13844 |
| 5.375% due 06/01/2025 •(f) | 17369000 | 17048 |
| **Citigroup, Inc.**  |  |  |
| 3.875% due 02/18/2026 •(f) | 50500000 | 43234 |
| 4.000% due 12/10/2025 •(f) | 4000000 | 3496 |
| 4.700% due 01/30/2025 •(f) | 300000 | 251 |
| 5.950% due 05/15/2025 •(f) | 7100000 | 6499 |
| **CoBank ACB**  |  |  |
| 4.250% due 01/01/2027 •(f) | 12600000 | 10764 |
| 6.450% due 10/01/2027 •(f) | 15000000 | 14807 |
| **Depository Trust & Clearing Corp.**<br>3.375% due 06/20/2026 •(f) | 8500000 | 6820 |
| **Goldman Sachs Group, Inc.**<br>3.650% due 08/10/2026 •(f) | 21900000 | 17760 |
| **HSBC Bank Capital Funding Sterling LP**<br>5.844% due 11/05/2031 •(f) | 8956000 | 11081 |
| **HSBC Capital Funding LP**<br>10.176% due 06/30/2030 •(f) | 2200000 | 2651 |
| **JPMorgan Chase & Co.**  |  |  |
| 3.650% due 06/01/2026 •(f) | 44700000 | 38106 |
| 4.000% due 04/01/2025 •(f) | 20700000 | 17718 |
| 4.600% due 02/01/2025 •(f) | 37600000 | 33504 |
| 4.625% due 06/01/2026 (f) | 831000 | 15656 |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.000% due 08/01/2024 •(f) | 35100000 | 32351 |
| 6.000% due 08/01/2023 •(f) | 8410000 | 8263 |
| 6.100% due 10/01/2024 •(f) | 88700000 | 86453 |
| 6.125% due 04/30/2024 •(f) | 29650000 | 29038 |
| 6.750% due 02/01/2024 •(f) | 26742000 | 26601 |
| **MetLife Capital Trust**<br>7.875% due 12/15/2067 | 23640000 | 25593 |
| **Morgan Stanley**<br>6.500% due 10/15/2027 (f) | 618300 | 15612 |
| **Nationwide Building Society**<br>10.250% ~ | 9750 | 1476 |
| **PNC Financial Services Group, Inc.**<br>3.400% due 09/15/2026 •(f) | 10000000 | 7931 |
| **State Street Corp.**  |  |  |
| 5.625% due 12/15/2023 •(f)(j) | 4500000 | 4182 |
| 5.900% (US0003M + 3.108%) due 03/15/2024 ~(f) | 52750 | 1271 |
| **SVB Financial Group**<br>4.100% due 02/15/2031 •(f) | 12900000 | 7512 |
| **Truist Financial Corp.**<br>5.100% due 03/01/2030 •(f) | 17734000 | 16508 |
| **U.S. Bancorp**<br>5.300% due 04/15/2027 •(f) | 20300000 | 17713 |
| **Wells Fargo & Co.**  |  |  |
| 3.900% due 03/15/2026 •(f) | 43674000 | 38352 |
| 5.900% due 06/15/2024 •(f) | 80479000 | 73073 |
|  |  | 932639 |
| **INDUSTRIALS 0.2%**  |  |  |
| **General Electric Co.**<br>8.099% (US0003M + 3.330%) due 03/15/2023 ~(f)(j) | 44282000 | 43921 |
| **UTILITIES 0.2%**  |  |  |
| **CenterPoint Energy, Inc.**<br>6.125% due 09/01/2023 •(f) | 13900000 | 13085 |
| **Dominion Energy, Inc.**<br>4.350% due 01/15/2027 •(f) | 5000000 | 4224 |
| **Sempra Energy**<br>4.875% due 10/15/2025 •(f) | 28200000 | 26194 |
|  |  | 43503 |
| Total Preferred Securities (Cost $1,127,457) |  | 1020063 |
|  | PRINCIPAL<br>AMOUNT<br>(000s) |  |
| **SHORT-TERM INSTRUMENTS 0.2%**  |  |  |
| **REPURCHASE AGREEMENTS (i) 0.2%** |  | 58390 |
| **U.S. TREASURY BILLS 0.0%**  |  |  |
| 4.000% due 01/31/2023 - 03/02/2023 (c)(d)(n) | 1869 | 1859 |
| Total Short-Term Instruments (Cost $60,249) |  | 60249 |
| Total Investments in Securities (Cost $34,072,207) |  | 28413367 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 0.0%**  |  |  |
| **SHORT-TERM INSTRUMENTS 0.0%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 0.0%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 54546 | 530 |
| Total Short-Term Instruments (Cost $530) |  | 530 |
| Total Investments in Affiliates (Cost $530) |  | 530 |
| Total Investments 120.3% (Cost $34,072,737) |  | $28413897 |
| **Financial Derivative Instruments (k)(m) (0.2)**%(Cost or Premiums, net $150,828) |  | (51683) |
| Other Assets and Liabilities, net (20.1)% |  | (4736931) |
| Net Assets 100.0% |  | $23625283 |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(b)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(c)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(d)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(e)** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** |
| **(f)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(g)** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** |
| **(h)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Coupon | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Market<br>Value | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 2.561 | 05/01/2032 | 05/01/2032 | 04/27/2021 | 04/27/2021 | 12500 | 12500 | 9898 | 9898 | 9898 | 0.04 |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 2.572 | 06/03/2031 | 06/03/2031 | 05/26/2020 | 05/26/2020 | 4000 | 4000 | 3244 | 3244 | 3244 | 0.01 |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 3.057 | 01/25/2033 | 01/25/2033 | 10/19/2022 | 10/19/2022 | 5768 | 5768 | 6072 | 6072 | 6072 | 0.03 |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 3.785 | 03/17/2033 | 03/17/2033 | 03/10/2022 | 03/10/2022 | 18500 | 18500 | 15873 | 15873 | 15873 | 0.07 |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | 3.035 | 05/28/2032 | 05/28/2032 | 05/25/2021 - 06/16/2021 | 05/25/2021 - 06/16/2021 | 23754 | 23754 | 18024 | 18024 | 18024 | 0.08 |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | 3.729 | 01/14/2032 | 01/14/2032 | 02/02/2022 - 02/15/2022 | 02/02/2022 - 02/15/2022 | 27633 | 27633 | 21174 | 21174 | 21174 | 0.09 |
| Morgan Stanley | Morgan Stanley | Morgan Stanley | 0.000 | 04/02/2032 | 04/02/2032 | 02/11/2020 - 08/23/2021 | 02/11/2020 - 08/23/2021 | 53683 | 53683 | 35467 | 35467 | 35467 | 0.15 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 3.650 | 03/25/2041 | 03/25/2041 | 03/22/2021 | 03/22/2021 | 18383 | 18383 | 13726 | 13726 | 13726 | 0.06 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 3.950 | 03/25/2051 | 03/25/2051 | 03/22/2021 | 03/22/2021 | 7487 | 7487 | 5376 | 5376 | 5376 | 0.02 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 4.100 | 03/25/2061 | 03/25/2061 | 03/22/2021 - 10/28/2021 | 03/22/2021 - 10/28/2021 | 53160 | 53160 | 35251 | 35251 | 35251 | 0.15 |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 6.900 | 11/09/2052 | 11/09/2052 | 11/07/2022 | 11/07/2022 | 19987 | 19987 | 21513 | 21513 | 21513 | 0.09 |
| Pinnacol Assurance | Pinnacol Assurance | Pinnacol Assurance | 8.625 | 06/25/2034 | 06/25/2034 | 06/23/2014 | 06/23/2014 | 24000 | 24000 | 26780 | 26780 | 26780 | 0.11 |
| Puget Energy, Inc. | Puget Energy, Inc. | Puget Energy, Inc. | 4.224 | 03/15/2032 | 03/15/2032 | 03/14/2022 | 03/14/2022 | 9500 | 9500 | 8459 | 8459 | 8459 | 0.04 |
|  |  |  |  |  |  |  | $ | 278355 | $ | 220857 | 220857 | 0.94%  | 0.94%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(i)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 01/03/2023 | 58390 | 58390 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/01/2023 - 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/01/2023 - 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/01/2023 - 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/01/2023 - 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/01/2023 - 06/08/2023 | (59558) | $58390 | 58390 | $ | $58396 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | **(59558)** | $**58390** | **58390** | **$** | $**58396** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Settlement Date | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BOO | BOO | 4.360%  | 4.360%  | 4.360%  | 12/30/2022 | 12/30/2022 | 01/03/2023 | 01/03/2023 | (62415) | (62415) | $(62445) | (62445) | (62445) |
| BOS | BOS | 4.490  | 4.490  | 4.490  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (4190) | (4190) | (4199) | (4199) | (4199) |
|  |  | 4.510  | 4.510  | 4.510  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (8173) | (8173) | (8192) | (8192) | (8192) |
|  |  | 4.520  | 4.520  | 4.520  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (18288) | (18288) | (18330) | (18330) | (18330) |
| BRC | BRC | 4.200  | 4.200  | 4.200  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (8431) | (8431) | (8449) | (8449) | (8449) |
| BSN | BSN | 4.150  | 4.150  | 4.150  | 11/03/2022 | 11/03/2022 | 01/04/2023 | 01/04/2023 | (418980) | (418980) | (421927) | (421927) | (421927) |
| FBF | FBF | 3.700  | 3.700  | 3.700  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | (3510) | (3510) | (3517) | (3517) | (3517) |
| GRE | GRE | 4.430  | 4.430  | 4.430  | 12/15/2022 | 12/15/2022 | 01/05/2023 | 01/05/2023 | (49583) | (49583) | (49698) | (49698) | (49698) |
| JPS | JPS | 4.120  | 4.120  | 4.120  | 11/09/2022 | 11/09/2022 | 01/09/2023 | 01/09/2023 | (86250) | (86250) | (86793) | (86793) | (86793) |
|  |  | 4.150  | 4.150  | 4.150  | 12/16/2022 | 12/16/2022 | 02/03/2023 | 02/03/2023 | (26295) | (26295) | (26349) | (26349) | (26349) |

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------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

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| | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  |  |  |  |  | 4.180  | 4.180  | 4.180  | 12/16/2022 | 12/16/2022 | 02/03/2023 | 02/03/2023 | 02/03/2023 |  | (3131) | (3131) | (3131) |  | (3137) | (3137) |
|  |  |  |  |  |  |  | 4.300  | 4.300  | 4.300  | 12/16/2022 | 12/16/2022 | 02/03/2023 | 02/03/2023 | 02/03/2023 |  | (19847) | (19847) | (19847) |  | (19889) | (19889) |
|  |  |  |  |  |  |  | 4.350  | 4.350  | 4.350  | 12/16/2022 | 12/16/2022 | 02/03/2023 | 02/03/2023 | 02/03/2023 |  | (26296) | (26296) | (26296) |  | (26353) | (26353) |
| MEI | MEI | MEI | MEI | MEI | MEI | MEI | 4.290  | 4.290  | 4.290  | 12/16/2022 | 12/16/2022 | 01/06/2023 | 01/06/2023 | 01/06/2023 |  | (3828) | (3828) | (3828) |  | (3836) | (3836) |
| NOM | NOM | NOM | NOM | NOM | NOM | NOM | 2.250  | 2.250  | 2.250  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> |  | (1135) | (1135) | (1135) |  | (1136) | (1136) |
| NXN | NXN | NXN | NXN | NXN | NXN | NXN | 4.150  | 4.150  | 4.150  | 11/03/2022 | 11/03/2022 | 01/04/2023 | 01/04/2023 | 01/04/2023 |  | (886496) | (886496) | (886496) |  | (892730) | (892730) |
| RDR | RDR | RDR | RDR | RDR | RDR | RDR | 3.500  | 3.500  | 3.500  | 12/16/2022 | 12/16/2022 | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> | TBD<sup>(3)</sup> |  | (12921) | (12921) | (12921) |  | (12944) | (12944) |
| STR | STR | STR | STR | STR | STR | STR | 4.330  | 4.330  | 4.330  | 01/03/2023 | 01/03/2023 | 01/04/2023 | 01/04/2023 | 01/04/2023 |  | (2307961) | (2307961) | (2307961) |  | (2307961) | (2307961) |
|  |  |  |  |  |  |  | 4.370  | 4.370  | 4.370  | 12/30/2022 | 12/30/2022 | 01/03/2023 | 01/03/2023 | 01/03/2023 |  | (2207511) | (2207511) | (2207511) |  | (2208583) | (2208583) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  |  |  |  |  | **$** | $**(6166468)** | **(6166468)** |
| **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** |
| Counterparty | Counterparty | Counterparty | Counterparty | Counterparty | Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Borrowing Rate<sup>(2)</sup> | Borrowing Date | Borrowing Date | Maturity Date | Maturity Date | Maturity Date |  | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> |  | Payable for<br>Sale-Buyback<br>Transactions<sup>(4)</sup> | Payable for<br>Sale-Buyback<br>Transactions<sup>(4)</sup> |
| MSC | MSC | MSC | MSC | MSC | MSC | MSC | 4.220%  | 4.220%  | 4.220%  | 11/21/2022 | 11/21/2022 | 01/09/2023 | 01/09/2023 | 01/09/2023 | $ | (34080) | (34080) | (34080) | $ | $(34252) | (34252) |
| **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** |  |  |  |  |  |  |  |  |  |  |  |  | **$** | $**(34252)** | **(34252)** |
| **(j)** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,939,259 and cash of $327 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(3950118) at a weighted average interest rate of 2.233%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(3)</sup> | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. |
| <sup>(4)</sup> | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. | Payable for sale-buyback transactions includes $(24) of deferred price drop. |
| **(k)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset |  | Liability |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2024 | 03/2024 | 03/2024 | 10355 | 10355 | (2471480) | (2471480) | $48113 | 48113 | 48113 | 48113 | 1165 | 1165 | 1165 | $ | 0 |
| Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Call Options Strike @ EUR 146.000 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | 01/2023 | 01/2023 | 01/2023 | 313 | 313 | (3) | (3) | 251 | 251 | 251 | 251 | 0 | 0 | 0 |  | 0 |
| Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | Euro-Bund March Futures  | 03/2023 | 03/2023 | 03/2023 | 1315 | 1315 | (187118) | (187118) | 11857 | 11857 | 11857 | 11857 | 1492 | 1492 | 1492 |  | (662) |
| Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | Put Options Strike @ EUR 138.500 on Euro-Bund 10-Year Bond February 2023 Futures<sup>(1)</sup> | 01/2023 | 01/2023 | 01/2023 | 313 | 313 | (1913) | (1913) | (1605) | (1605) | (1605) | (1605) | 151 | 151 | 151 |  | (328) |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 03/2023 | 03/2023 | 312 | 312 | (36904) | (36904) | 253 | 253 | 253 | 253 | 19 | 19 | 19 |  | 0 |
| United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | 03/2023 | 03/2023 | 03/2023 | 9 | 9 | (1087) | (1087) | 71 | 71 | 71 | 71 | 3 | 3 | 3 |  | (1) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **58940** | **58940** | **58940** | **$** | **2830** | **2830** | **2830** | **$** | **(991)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - BUY PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>(Pay) Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> |  | Notional<br>Amount<sup>(5)</sup> | Notional<br>Amount<sup>(5)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(6)</sup> | Market<br>Value<sup>(6)</sup> | Market<br>Value<sup>(6)</sup> | Asset | Asset | Asset | Liability |
| Citigroup, Inc.  | Citigroup, Inc.  | (1.000)% | Quarterly | 12/20/2032 | 1.236 | 1.236 | 1.236 | $ | $7500 | 7500 | 305 | $ | (171) | $ | 134 | 134 | 134 | 0 | 0 | 0 | 0 |
| JPMorgan Chase & Co.  | JPMorgan Chase & Co.  | (1.000) | Quarterly | 12/20/2032 | 1.050 | 1.050 | 1.050 |  | 12500 | 12500 | 269 |  | (224) |  | 45 | 45 | 45 | 4 | 4 | 4 | 0 |
|  |  |  |  |  |  |  |  |  |  |  | $574 | $ | (395) | $ | $179 | 179 | 179 | $4 | 4 | 4 | $0 |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(3)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(4)</sup> |  | Notional<br>Amount<sup>(5)</sup> | Notional<br>Amount<sup>(5)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(6)</sup> | Market<br>Value<sup>(6)</sup> | Market<br>Value<sup>(6)</sup> | Asset | Asset | Asset | Liability |
| AES Corp.  | AES Corp.  | 5.000% | Quarterly | 12/20/2025 | 0.891 | 0.891 | 0.891 | $ | $11600 | 11600 | 2127 | $ | (786) | $ | 1341 | 1341 | 1341 | 3 | 3 | 3 | 0 |
| AES Corp.  | AES Corp.  | 5.000 | Quarterly | 06/20/2027 | 1.280 | 1.280 | 1.280 |  | 15000 | 15000 | 2072 |  | 182 |  | 2254 | 2254 | 2254 | 0 | 0 | 0 | (8) |
| Barclays Bank PLC  | Barclays Bank PLC  | 1.000 | Quarterly | 12/20/2023 | 0.746 | 0.746 | 0.746 | EUR | 3700 | 3700 | 5 |  | 6 |  | 11 | 11 | 11 | 1 | 1 | 1 | 0 |
| Berkshire Hathaway, Inc.  | Berkshire Hathaway, Inc.  | 1.000 | Quarterly | 06/20/2023 | 0.070 | 0.070 | 0.070 | $ | $7600 | 7600 | 123 |  | (87) |  | 36 | 36 | 36 | 1 | 1 | 1 | 0 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Berkshire Hathaway, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 0.094 | 2000 | 40 |  | (22) |  | 18 | 0 |  | 0 |
| Berkshire Hathaway, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2024 | 06/20/2024 | 0.115 | 17050 | 409 |  | (186) |  | 223 | 0 |  | (1) |
| Boeing Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2023 | 06/20/2023 | 0.709 | 1600 | 8 |  | (5) |  | 3 | 0 |  | 0 |
| Boeing Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 1.265 | 2200 | (16) |  | (1) |  | (17) | 0 |  | 0 |
| Boeing Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 1.297 | 1000 | (6) |  | (4) |  | (10) | 0 |  | 0 |
| Boeing Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 1.357 | 2200 | (49) |  | 19 |  | (30) | 0 |  | 0 |
| British Telecommunications PLC  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2025 | 12/20/2025 | 0.953 | 5600 | 86 |  | (76) |  | 10 | 1 |  | 0 |
| Ford Motor Co.  | 5.000 | 5.000 | Quarterly | Quarterly | 06/20/2023 | 06/20/2023 | 1.600 | $6410 | 442 |  | (328) |  | 114 | 3 |  | 0 |
| Ford Motor Co.  | 5.000 | 5.000 | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 2.257 | 5300 | 453 |  | (306) |  | 147 | 2 |  | 0 |
| General Electric Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 0.438 | 13200 | 192 |  | (116) |  | 76 | 2 |  | 0 |
| General Electric Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2024 | 06/20/2024 | 0.522 | 10700 | 169 |  | (92) |  | 77 | 0 |  | (4) |
| General Electric Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 0.564 | 59200 | 140 |  | 370 |  | 510 | 0 |  | 0 |
| General Electric Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 0.801 | 5200 | 62 |  | (27) |  | 35 | 0 |  | (3) |
| General Electric Co.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 0.870 | 5100 | 68 |  | (42) |  | 26 | 0 |  | 0 |
| International Lease Finance Corp.  | 5.000 | 5.000 | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 0.122 | 6800 | 744 |  | (413) |  | 331 | 3 |  | 0 |
| Lennar Corp.  | 5.000 | 5.000 | Quarterly | Quarterly | 12/20/2025 | 12/20/2025 | 0.999 | 4900 | 890 |  | (340) |  | 550 | 3 |  | 0 |
| NextEra Energy Capital Holdings, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 0.572 | 15900 | 469 |  | (244) |  | 225 | 6 |  | 0 |
| Prudential Financial, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 0.377 | 17700 | 390 |  | (174) |  | 216 | 1 |  | 0 |
| Rolls-Royce PLC  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2025 | 06/20/2025 | 2.473 | 31750 | (1210) |  | 65 |  | (1145) | 0 |  | (44) |
| Teck Resources Ltd.  | 5.000 | 5.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 1.156 | $10800 | 1877 |  | (538) |  | 1339 | 0 |  | (4) |
| Telefonica Emisiones SA  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 0.891 | 1000 | 23 |  | (19) |  | 4 | 0 |  | (1) |
| Telefonica Emisiones SAU  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2028 | 06/20/2028 | 1.311 | 4100 | 41 |  | (106) |  | (65) | 0 |  | (4) |
| Tesco PLC  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2028 | 06/20/2028 | 1.445 | 20500 | 219 |  | (685) |  | (466) | 0 |  | (17) |
| Verizon Communications, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 1.009 | $10000 | 240 |  | (239) |  | 1 | 0 |  | 0 |
| Verizon Communications, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 1.073 | 22300 | (109) |  | 53 |  | (56) | 0 |  | (8) |
| Verizon Communications, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2027 | 12/20/2027 | 1.123 | 900 | (10) |  | 6 |  | (4) | 0 |  | 0 |
| Vodafone Group PLC  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2024 | 06/20/2024 | 0.415 | 9600 | 227 |  | (136) |  | 91 | 0 |  | (5) |
| Volkswagen International Finance NV  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2028 | 06/20/2028 | 1.527 | 6900 | 91 |  | (276) |  | (185) | 0 |  | 0 |
| Williams Cos., Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 0.765 | $10900 | 78 |  | 19 |  | 97 | 4 |  | 0 |
|  |  |  |  |  |  |  |  |  | $10285 | 10285 | $(4528) | (4528) | 5757 | $30 | 30 | $(99) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(3)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(5)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Market<br>Value<sup>(6)</sup> | Asset |  | Liability |
| CDX.EM-29 5-Year Index  | CDX.EM-29 5-Year Index  | 1.000% | 1.000% | Quarterly | Quarterly | 06/20/2023 | 06/20/2023 | 45135 | 85 | $ | (33) | $ | 52 | 9 | $ | 0 |
| CDX.EM-30 5-Year Index  | CDX.EM-30 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 167875 | (89) |  | 21 |  | (68) | 0 |  | (22) |
| CDX.EM-31 5-Year Index  | CDX.EM-31 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2024 | 06/20/2024 | 34916 | (6) |  | (42) |  | (48) | 2 |  | 0 |
| CDX.EM-32 5-Year Index  | CDX.EM-32 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 5270 | (15) |  | (7) |  | (22) | 1 |  | 0 |
| CDX.EM-34 5-Year Index  | CDX.EM-34 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2025 | 12/20/2025 | 36892 | (1371) |  | (381) |  | (1752) | 23 |  | 0 |
| CDX.EM-35 5-Year Index  | CDX.EM-35 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 276 | (8) |  | (1) |  | (9) | 0 |  | 0 |
| CDX.EM-36 5-Year Index  | CDX.EM-36 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 48668 | (1737) |  | (146) |  | (1883) | 0 |  | (2) |
| CDX.IG-38 5-Year Index  | CDX.IG-38 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 949600 | 9910 |  | 423 |  | 10333 | 15 |  | 0 |
| CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 12/20/2027 | 12/20/2027 | 6345400 | 7835 |  | 45219 |  | 53054 | 249 |  | 0 |
| iTraxx Europe Main 37 5-Year Index  | iTraxx Europe Main 37 5-Year Index  | 1.000 | 1.000 | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 723200 | 1261 |  | 4043 |  | 5304 | 789 |  | 0 |
|  |  |  |  |  |  |  |  |  | 15865 | $ | 49096 | $ | 64961 | 1088 | $ | (24) |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** | **INTEREST** **RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive<sup>(7)</sup> | Receive<sup>(7)</sup> | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 2.000% | Annual | Annual | 03/15/2033 | 49940 | 9963 | 9963 | (1456) | $8507 | 8507 | $29 | 29 | $0 |
| Pay | Pay | 1-Day GBP-SONIO Compounded-OIS | 1-Day GBP-SONIO Compounded-OIS | 1.175 | Annual | Annual | 02/28/2052 | 11400 | (149) | (149) | (5554) | (5703) | (5703) | 0 | 0 | (19) |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.000 | Annual | Annual | 12/15/2023 | 3100000 | (39) | (39) | 58 | 19 | 19 | 0 | 0 | (7) |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.000 | Annual | Annual | 09/15/2024 | 23360600 | (157) | (157) | 779 | 622 | 622 | 0 | 0 | (78) |
| Receive | Receive | 1-Day JPY-MUTKCALM Compounded-OIS | 1-Day JPY-MUTKCALM Compounded-OIS | 0.300 | Semi-Annual | Semi-Annual | 03/20/2028 | 290200 | (55) | (55) | 96 | 41 | 41 | 4 | 4 | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | Annual | 12/15/2026 | 275000 | 1178 | 1178 | 27979 | 29157 | 29157 | 518 | 518 | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | Annual | 06/15/2027 | 1744400 | 92345 | 92345 | 123612 | 215957 | 215957 | 2922 | 2922 | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2027 | 584500 | 37865 | 37865 | 14308 | 52173 | 52173 | 1193 | 1193 | 0 |
|  |  |  |  |  |  |  |  | $ | 140951 | $ | 159822 | 300773 | $ | 4666 | $ | (104) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **167675** | **$** | **203995** | **371670** | **$** | **5788** | **$** | **(227)** |
| **(l)** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $434,184 and cash of $26,772 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. | Future styled option. |
| <sup>(2)</sup> | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(4)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(5)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(6)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(7)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(m)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 01/2023  | 01/2023  | $ | $11349 | 11349 | 9286 | 9286 | 9286 | 0 | 0 | 0 | (121) | (121) |
|  |  |  | 05/2023  | 05/2023  | 05/2023  | PEN | 139368 | 139368 | $35579 | 35579 | 35579 | 0 | 0 | 0 | (725) | (725) |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 01/2023  | 01/2023  | 01/2023  |  | 3123 | 3123 | 808 | 808 | 808 | 0 | 0 | 0 | (14) | (14) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $2814 | 2814 | 2640 | 2640 | 2640 | 13 | 13 | 13 | 0 | 0 |
|  |  |  | 03/2023  | 03/2023  | 03/2023  | PEN | 18167 | 18167 | $4673 | 4673 | 4673 | 0 | 0 | 0 | (80) | (80) |
|  |  |  | 03/2023  | 03/2023  | 03/2023  | $ | $808 | 808 | 3140 | 3140 | 3140 | 13 | 13 | 13 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 01/2023  | 01/2023  | 01/2023  | PEN | 22613 | 22613 | $5866 | 5866 | 5866 | 0 | 0 | 0 | (89) | (89) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | $ | $3922 | 3922 | 15108 | 15108 | 15108 | 49 | 49 | 49 | 0 | 0 |
|  |  |  | 02/2023  | 02/2023  | 02/2023  |  | 5849 | 5849 | 22613 | 22613 | 22613 | 86 | 86 | 86 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | 01/2023  | 01/2023  |  | 5003 | 5003 | 4703 | 4703 | 4703 | 33 | 33 | 33 | 0 | 0 |
|  |  |  | 01/2023  | 01/2023  | 01/2023  |  | 17257 | 17257 | 69195 | 69195 | 69195 | 927 | 927 | 927 | 0 | 0 |
|  |  |  | 02/2023  | 02/2023  | 02/2023  | PEN | 150523 | 150523 | $37668 | 37668 | 37668 | 0 | 0 | 0 | (1764) | (1764) |
|  |  |  | 03/2023  | 03/2023  | 03/2023  |  | 17894 | 17894 | 4451 | 4451 | 4451 | 0 | 0 | 0 | (236) | (236) |
|  |  |  | 03/2023  | 03/2023  | 03/2023  | $ | $840 | 840 | 3364 | 3364 | 3364 | 40 | 40 | 40 | 0 | 0 |
|  |  |  | 04/2023  | 04/2023  | 04/2023  | PEN | 80899 | 80899 | $20485 | 20485 | 20485 | 0 | 0 | 0 | (612) | (612) |
| &nbsp;&nbsp;&nbsp;&nbsp; CLY | &nbsp;&nbsp;&nbsp;&nbsp; CLY | &nbsp;&nbsp;&nbsp;&nbsp; CLY | 03/2023  | 03/2023  | 03/2023  | $ | $9816 | 9816 | 37761 | 37761 | 37761 | 63 | 63 | 63 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | 05/2023  | 05/2023  | 05/2023  | PEN | 356345 | 356345 | $88881 | 88881 | 88881 | 0 | 0 | 0 | (3982) | (3982) |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 01/2023  | 01/2023  | 01/2023  | GBP | 83029 | 83029 | 100260 | 100260 | 100260 | 0 | 0 | 0 | (134) | (134) |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 01/2023  | 01/2023  | AUD | 4375 | 4375 | 2965 | 2965 | 2965 | 0 | 0 | 0 | (15) | (15) |
|  |  |  | 01/2023  | 01/2023  | 01/2023  | EUR | 62672 | 62672 | 65674 | 65674 | 65674 | 0 | 0 | 0 | (1442) | (1442) |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | 01/2023  | 01/2023  | 8848 | 8848 | 8848 | 8848 |  | 2312 | 2312 | 2312 |  | 0 | 0 | 0 |  | (14) |
|  |  | 01/2023  | 01/2023  | $5809 | 5809 | 5809 | 5809 | EUR | 5475 | 5475 | 5475 |  | 54 | 54 | 54 |  | 0 |
|  |  | 02/2023  | 02/2023  | 2309 | 2309 | 2309 | 2309 | PEN | 8848 | 8848 | 8848 |  | 13 | 13 | 13 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | 01/2023  | 42678 | 42678 | 42678 | 42678 | $ | 28660 | 28660 | 28660 |  | 0 | 0 | 0 |  | (404) |
|  |  | 01/2023  | 01/2023  | 9385 | 9385 | 9385 | 9385 |  | 2452 | 2452 | 2452 |  | 0 | 0 | 0 |  | (14) |
|  |  | 02/2023  | 02/2023  | $2450 | 2450 | 2450 | 2450 | PEN | 9385 | 9385 | 9385 |  | 15 | 15 | 15 |  | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  | 13535 | 13535 | 13535 | 13535 |  | 51946 | 51946 | 51946 |  | 133 | 133 | 133 |  | 0 |
|  |  | 03/2023  | 03/2023  | 4449 | 4449 | 4449 | 4449 |  | 17118 | 17118 | 17118 |  | 33 | 33 | 33 |  | 0 |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**1472** | **1472** | **1472** | **$** | $**(9646)** | **(9646)** |
| **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Cost | Cost |  | Market<br>Value |
| BOA | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 0.495% | 0.495% | 0.495% | 09/18/2023 | 50000 | 50000 | 50000 | $0 | 0 | $ | $21289 |
| JPM | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 0.000 | 0.000 | 0.000 | 03/15/2023 | 37560 | 37560 | 37560 | 4148 | 4148 |  | 20409 |
| **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | $**4148** | **4148** | **$** | $**41698** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** | **CREDIT DEFAULT SWAPTIONS ON CREDIT INDICES** |
| Counterparty | Description | Description | Description | Description | Buy/Sell<br>Protection | Buy/Sell<br>Protection | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| GST | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Put - OTC iTraxx Europe 37 5-Year Index  | Sell | Sell | 3.000% | 3.000% | 3.000% | 03/15/2023 | 40500 | 40500 | 40500 | $(72) | (72) | $ | $(8) |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| BOA | Put - OTC 5-Year Interest Rate Swap  | Put - OTC 5-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 0.050% | 0.050% | 0.050% | 09/18/2023 | 285000 | 285000 | 285000 | $0 | 0 | $ | $(44937) |
|  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.870 | 2.870 | 2.870 | 01/23/2023 | 13300 | 13300 | 13300 | (98) | (98) |  | (39) |
|  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.320 | 3.320 | 3.320 | 01/23/2023 | 13300 | 13300 | 13300 | (98) | (98) |  | (166) |
| BPS | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.900 | 2.900 | 2.900 | 01/17/2023 | 25500 | 25500 | 25500 | (104) | (104) |  | (3) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.400 | 3.400 | 3.400 | 01/17/2023 | 25500 | 25500 | 25500 | (105) | (105) |  | (428) |
|  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.610 | 2.610 | 2.610 | 01/17/2023 | 14600 | 14600 | 14600 | (135) | (135) |  | (2) |
|  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.110 | 3.110 | 3.110 | 01/17/2023 | 14600 | 14600 | 14600 | (135) | (135) |  | (419) |
| GLM | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.000 | 3.000 | 3.000 | 01/12/2023 | 31900 | 31900 | 31900 | (178) | (178) |  | (4) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.550 | 3.550 | 3.550 | 01/12/2023 | 31900 | 31900 | 31900 | (178) | (178) |  | (267) |
|  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 2.547 | 2.547 | 2.547 | 03/07/2023 | 56500 | 56500 | 56500 | (1243) | (1243) |  | (127) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 2.547 | 2.547 | 2.547 | 03/07/2023 | 56500 | 56500 | 56500 | (1243) | (1243) |  | (3569) |
|  | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Receive | 2.067 | 2.067 | 2.067 | 06/09/2023 | 74900 | 74900 | 74900 | (878) | (878) |  | (192) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 3.140 | 3.140 | 3.140 | 06/09/2023 | 74900 | 74900 | 74900 | (1036) | (1036) |  | (2458) |
|  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.740 | 2.740 | 2.740 | 01/19/2023 | 15100 | 15100 | 15100 | (131) | (131) |  | (12) |
|  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.180 | 3.180 | 3.180 | 01/19/2023 | 15100 | 15100 | 15100 | (131) | (131) |  | (337) |
| JPM | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | 6-Month EUR-EURIBOR | Pay | 0.175 | 0.175 | 0.175 | 03/15/2023 | 112670 | 112670 | 112670 | (4075) | (4075) |  | (34731) |
| MYC | Call - OTC 10-Year Interest Rate Swap  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.070 | 3.070 | 3.070 | 01/23/2023 | 25000 | 25000 | 25000 | (122) | (122) |  | (21) |
|  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.520 | 3.520 | 3.520 | 01/23/2023 | 25000 | 25000 | 25000 | (122) | (122) |  | (296) |
|  | Call - OTC 30-Year Interest Rate Swap  | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 2.600 | 2.600 | 2.600 | 01/17/2023 | 12500 | 12500 | 12500 | (95) | (95) |  | (2) |
|  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.050 | 3.050 | 3.050 | 01/17/2023 | 12500 | 12500 | 12500 | (95) | (95) |  | (457) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | $(10202) | (10202) | $ | $(88467) |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** | **OPTIONS** **ON SECURITIES** |
| Counterparty | Counterparty | Description | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date |  | Notional<br>Amount<sup>(1)</sup> |  | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| BOA | BOA | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | $101.891 | 101.891 | 01/05/2023 |  | 18800 | $ | (56) | (56) | $0 | 0 |
| JPM | JPM | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.000 | 97.000 | 03/06/2023 |  | 17400 |  | (149) | (149) | (268) | (268) |
|  |  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.000 | 99.000 | 03/06/2023 |  | 22000 |  | (161) | (161) | (56) | (56) |
|  |  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.156 | 99.156 | 03/06/2023 |  | 16600 |  | (121) | (121) | (37) | (37) |
|  |  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 98.766 | 98.766 | 03/06/2023 |  | 13500 |  | (114) | (114) | (185) | (185) |
|  |  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 100.766 | 100.766 | 03/06/2023 |  | 13500 |  | (97) | (97) | (44) | (44) |
| SAL | SAL | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | 101.859 | 101.859 | 01/05/2023 |  | 22700 |  | (67) | (67) | 0 | 0 |
|  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.750 | 99.750 | 02/06/2023 |  | 26400 |  | (186) | (186) | (160) | (160) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 101.750 | 101.750 | 02/06/2023 |  | 26400 |  | (153) | (153) | (60) | (60) |
|  |  |  |  |  |  |  |  |  |  | $ | (1104) | (1104) | $(810) | (810) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(11378)** | **(11378)** | $**(89285)** | **(89285)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> |
| Counterparty | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| BOA | Colombia Government International Bond  | Colombia Government International Bond  | 1.000% | Quarterly | 12/20/2026 | 2.315% | 2.315% | $1400 | $(37) | (37) | $(27) | $0 | 0 | $(64) |
|  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 06/20/2025 | 0.806 | 0.806 | 44400 | (859) | (859) | 1077 | 218 | 218 | 0 |
|  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 1.115 | 1.115 | 43300 | 80 | 80 | (242) | 0 | 0 | (162) |
| BPS | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 1.153 | 1.153 | 1950 | (23) | (23) | 21 | 0 | 0 | (2) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 2.315 | 2.315 | 1100 | (30) | (30) | (20) | 0 | 0 | (50) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2027 | 2.715 | 2.715 | 700 | (62) | (62) | 11 | 0 | 0 | (51) |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.480 | 0.480 | 25050 | (478) | (478) | 612 | 134 | 134 | 0 |
|  | Tencent Holdings Ltd.  | Tencent Holdings Ltd.  | 1.000 | Quarterly | 12/20/2024 | 0.891 | 0.891 | 8800 | 98 | 98 | (77) | 21 | 21 | 0 |
| BRC | Alibaba Group Holding Ltd.  | Alibaba Group Holding Ltd.  | 1.000 | Quarterly | 12/20/2024 | 0.773 | 0.773 | 3000 | 46 | 46 | (32) | 14 | 14 | 0 |
|  | Baidu, Inc.  | Baidu, Inc.  | 1.000 | Quarterly | 12/20/2024 | 0.692 | 0.692 | 18900 | (79) | (79) | 196 | 117 | 117 | 0 |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2026 | 2.161 | 2.161 | 9300 | (243) | (243) | (91) | 0 | 0 | (334) |
|  | Huarong Finance Co. Ltd.  | Huarong Finance Co. Ltd.  | 1.000 | Quarterly | 12/20/2024 | 2.588 | 2.588 | 8800 | (319) | (319) | 67 | 0 | 0 | (252) |
|  | NextEra Energy Capital Holdings, Inc.  | NextEra Energy Capital Holdings, Inc.  | 1.000 | Quarterly | 12/20/2025 | 0.500 | 0.500 | 8400 | 183 | 183 | (63) | 120 | 120 | 0 |
|  | Pertamina Persero PT  | Pertamina Persero PT  | 1.000 | Quarterly | 12/20/2024 | 0.462 | 0.462 | 700 | (7) | (7) | 14 | 7 | 7 | 0 |
|  | Tencent Holdings Ltd.  | Tencent Holdings Ltd.  | 1.000 | Quarterly | 12/20/2024 | 0.891 | 0.891 | 1400 | 13 | 13 | (10) | 3 | 3 | 0 |
| CBK | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2024 | 1.397 | 1.397 | 400 | (4) | (4) | 2 | 0 | 0 | (2) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 1.517 | 1.517 | 1100 | 4 | 4 | (14) | 0 | 0 | (10) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 2.315 | 2.315 | 1100 | (29) | (29) | (21) | 0 | 0 | (50) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 | 2.538 | 300 | (11) | (11) | (7) | 0 | 0 | (18) |
|  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 06/20/2025 | 0.806 | 0.806 | 3800 | (92) | (92) | 111 | 19 | 19 | 0 |
|  | Italy Government International Bond  | Italy Government International Bond  | 1.000 | Quarterly | 12/20/2026 | 1.115 | 1.115 | 13100 | 9 | 9 | (58) | 0 | 0 | (49) |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2024 | 0.588 | 0.588 | 14800 | (239) | (239) | 332 | 93 | 93 | 0 |
| GST | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2026 | 2.161 | 2.161 | 9400 | (245) | (245) | (93) | 0 | 0 | (338) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 06/20/2027 | 2.538 | 2.538 | 12300 | (498) | (498) | (234) | 0 | 0 | (732) |
|  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | Quarterly | 12/20/2027 | 2.715 | 2.715 | 5700 | (508) | (508) | 95 | 0 | 0 | (413) |
|  | Equinix, Inc.  | Equinix, Inc.  | 5.000 | Quarterly | 06/20/2027 | 1.569 | 1.569 | 8800 | 1230 | 1230 | (16) | 1214 | 1214 | 0 |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 06/20/2023 | 0.336 | 0.336 | 7950 | (63) | (63) | 91 | 28 | 28 | 0 |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.480 | 0.480 | 50350 | (824) | (824) | 1093 | 269 | 269 | 0 |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 0.640 | 0.640 | 16900 | (141) | (141) | 262 | 121 | 121 | 0 |
|  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2027 | 1.305 | 1.305 | 16900 | (709) | (709) | 488 | 0 | 0 | (221) |
|  | South Africa Government International Bond  | South Africa Government International Bond  | 1.000 | Quarterly | 12/20/2024 | 1.304 | 1.304 | 12400 | (498) | (498) | 432 | 0 | 0 | (66) |
| HUS | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | Quarterly | 12/20/2023 | 0.480 | 0.480 | 54550 | (863) | (863) | 1155 | 292 | 292 | 0 |

---

------

<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| JPM | JPM | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 06/20/2027 | 2.538 |  | 200 | (8) |  | (4) |  | 0 |  | (12) |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2023 | 12/20/2023 | 12/20/2023 | 0.480 |  | 36950 | (732) |  | 930 |  | 198 |  | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 06/20/2026 | 0.961 |  | 9300 | (73) |  | 88 |  | 15 |  | 0 |
|  |  | NextEra Energy Capital Holdings, Inc.  | NextEra Energy Capital Holdings, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2024 | 06/20/2024 | 06/20/2024 | 0.352 |  | 19000 | 260 |  | (76) |  | 184 |  | 0 |
|  |  | NextEra Energy Capital Holdings, Inc.  | NextEra Energy Capital Holdings, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 12/20/2024 | 0.387 |  | 9400 | 130 |  | (17) |  | 113 |  | 0 |
|  |  | Nissan Motor Acceptance Co. LLC  | Nissan Motor Acceptance Co. LLC  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 12/20/2026 | 2.446 |  | 73600 | (936) |  | (2760) |  | 0 |  | (3696) |
| MYC | MYC | Brookfield Asset Management, Inc.  | Brookfield Asset Management, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2025 | 06/20/2025 | 06/20/2025 | 1.616 |  | 8300 | 0 |  | (115) |  | 0 |  | (115) |
|  |  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 06/20/2027 | 2.538 |  | 3400 | (192) |  | (10) |  | 0 |  | (202) |
|  |  | Colombia Government International Bond  | Colombia Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2027 | 12/20/2027 | 12/20/2027 | 2.715 |  | 4000 | (357) |  | 67 |  | 0 |  | (290) |
|  |  | Consolidated Edison Co. of New York, Inc.  | Consolidated Edison Co. of New York, Inc.  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 12/20/2024 | 0.189 |  | 18300 | 357 |  | (68) |  | 289 |  | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2024 | 12/20/2024 | 12/20/2024 | 0.640 |  | 14000 | (123) |  | 224 |  | 101 |  | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2025 | 12/20/2025 | 12/20/2025 | 0.846 |  | 1500 | (21) |  | 28 |  | 7 |  | 0 |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 12/20/2026 | 1.048 |  | 23100 | 65 |  | (96) |  | 0 |  | (31) |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 06/20/2027 | 1.191 |  | 16700 | (57) |  | (65) |  | 0 |  | (122) |
|  |  | Mexico Government International Bond  | Mexico Government International Bond  | 1.000 | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2027 | 12/20/2027 | 12/20/2027 | 1.305 |  | 34000 | (1180) |  | 735 |  | 0 |  | (445) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (8065) | $ | 3915 | $ | 3577 | $ | (7727) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> |
| Counterparty | Counterparty | Index/Tranches | Index/Tranches | Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount<sup>(4)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset |  | Liability |
| GST | GST | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500% | 0.500% | 0.500% | Monthly | Monthly | 11/17/2059 | 1800 | 1800 | (53) | $ | 49 | $ | 0 | $ | (4) |
|  |  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 09/17/2058 | 12022 | 12022 | (448) |  | 444 |  | 0 |  | (4) |
| MEI | MEI | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 05/11/2063 | 1 | 1 | 0 |  | 0 |  | 0 |  | 0 |
| MYC | MYC | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 7700 | 7700 | (228) |  | 211 |  | 0 |  | (17) |
|  |  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | CMBX.NA.AAA.9 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 09/17/2058 | 15301 | 15301 | (582) |  | 577 |  | 0 |  | (5) |
| SAL | SAL | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 4900 | 4900 | (140) |  | 129 |  | 0 |  | (11) |
|  |  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | CMBX.NA.AAA.12 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 08/17/2061 | 7500 | 7500 | (9) |  | (50) |  | 0 |  | (59) |
| UAG | UAG | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | CMBX.NA.AAA.10 Index  | 0.500 | 0.500 | 0.500 | Monthly | Monthly | 11/17/2059 | 3200 | 3200 | (92) |  | 85 |  | 0 |  | (7) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (1552) | $ | 1445 | $ | 0 | $ | (107) |
| **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | &nbsp;&nbsp; Counterparty | &nbsp;&nbsp; Counterparty | Underlying<br>Reference | Underlying<br>Reference | # of Shares | # of Shares | # of Shares | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| &nbsp;&nbsp; GST | &nbsp;&nbsp; GST | &nbsp;&nbsp; GST | iBoxx USD Investment Grade Corporate Bond ETF  | iBoxx USD Investment Grade Corporate Bond ETF  | 250000 | 250000 | 250000 | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | &nbsp;&nbsp; 4.580% (1-Month USD-LIBOR plus a specified spread) | Monthly | 01/11/2023 | $26358 | 26358 | $0 | 0 | $63 | 63 | $63 | 63 | $0 |
| &nbsp;&nbsp; JPM | &nbsp;&nbsp; JPM | &nbsp;&nbsp; JPM | iBoxx USD Investment Grade Corporate Bond ETF  | iBoxx USD Investment Grade Corporate Bond ETF  | 957216 | 957216 | 957216 | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | Monthly | 09/13/2023 | 100919 | 100919 | 0 | 0 | 340 | 340 | 340 | 340 | 0 |
|  |  |  | iBoxx USD Investment Grade Corporate Bond ETF  | iBoxx USD Investment Grade Corporate Bond ETF  | 1500000 | 1500000 | 1500000 | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | &nbsp;&nbsp; 3.930% (1-Month USD-LIBOR less a specified spread) | Monthly | 10/18/2023 | 158145 | 158145 | 0 | 0 | 532 | 532 | 532 | 532 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | $ | 935 | $ | 935 | $ | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(9617)** | **$** | **6295** | **$** | **4512** | **$** | **(7834)** |
| **(n)** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $54,379 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(4)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |

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<br> Schedule of Investments PIMCO Long Duration Credit Bond Portfolio (Cont.) December 31, 2022 (Unaudited)

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| <sup>(</sup><sup>5)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(6)</sup> | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. | Receive represents that the Portfolio receives payments for any positive net return on the underlying reference. The Portfolio makes payments for any negative net return on such underlying reference. Pay represents that the Portfolio receives payments for any negative net return on the underlying reference. The Portfolio makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | $0 | $194071 | $60418 | $254489 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 6184793 | 26780 | 6211573 |
| Industrials | Industrials | 0 | 8732762 | 0 | 8732762 |
| Utilities | Utilities | 0 | 3462905 | 600 | 3463505 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| California | California | 0 | 264969 | 0 | 264969 |
| Florida | Florida | 0 | 12294 | 0 | 12294 |
| Georgia | Georgia | 0 | 48276 | 0 | 48276 |
| Illinois | Illinois | 0 | 34694 | 0 | 34694 |
| Indiana | Indiana | 0 | 2043 | 0 | 2043 |
| Massachusetts | Massachusetts | 0 | 3322 | 0 | 3322 |
| Michigan | Michigan | 0 | 33811 | 0 | 33811 |
| Nevada | Nevada | 0 | 3078 | 0 | 3078 |
| New Jersey | New Jersey | 0 | 10850 | 0 | 10850 |
| New Mexico | New Mexico | 0 | 5115 | 0 | 5115 |
| New York | New York | 0 | 127159 | 0 | 127159 |
| Ohio | Ohio | 0 | 63226 | 0 | 63226 |
| Oregon | Oregon | 0 | 9893 | 0 | 9893 |
| Pennsylvania | Pennsylvania | 0 | 12226 | 0 | 12226 |
| Texas | Texas | 0 | 52636 | 0 | 52636 |
| Virginia | Virginia | 0 | 1411 | 0 | 1411 |
| Wisconsin | Wisconsin | 0 | 4086 | 0 | 4086 |
| U.S. Government Agencies | U.S. Government Agencies | 0 | 1258098 | 0 | 1258098 |
| U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 5988234 | 0 | 5988234 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 64235 | 0 | 64235 |
| Asset-Backed Securities | Asset-Backed Securities | 0 | 114824 | 0 | 114824 |
| Sovereign Issues | Sovereign Issues | 0 | 532309 | 0 | 532309 |
| Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities | Convertible Preferred Securities |
| Banking & Finance | Banking & Finance | 23937 | 0 | 0 | 23937 |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 32539 | 900100 | 0 | 932639 |
| Industrials | Industrials | 0 | 43921 | 0 | 43921 |
| Utilities | Utilities | 0 | 43503 | 0 | 43503 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | Repurchase Agreements | 0 | 58390 | 0 | 58390 |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 1859 | 0 | 1859 |
|  |  | $56476 | $28269093 | $87798 | $28413367 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $530 | $0 | $0 | $530 |
| Total Investments | Total Investments | $57006 | $28269093 | $87798 | $28413897 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 1646 | 6972 | 0 | 8618 |
| Over the counter | Over the counter | 0 | 47682 | 0 | 47682 |
|  |  | $1646 | $54654 | $0 | $56300 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | (991) | (227) | 0 | (1218) |
| Over the counter | Over the counter | 0 | (106765) | 0 | (106765) |
|  |  | $(991) | $(106992) | $0 | $(107983) |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | $655 | $(52338) | $0 | $(51683) |
| Totals | Totals | $57661 | $28216755 | $87798 | $28362214 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Low Duration Portfolio December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 103.5% ¤** |  |  |
| **CORPORATE BONDS & NOTES 17.9%**  |  |  |
| **BANKING & FINANCE 13.8%**  |  |  |
| **AerCap Ireland Capital DAC** <br>3.875% due 01/23/2028 | $500 | $450 |
| **American Express Co.**  |  |  |
| 2.250% due 03/04/2025  | 1000 | 945 |
| 2.550% due 03/04/2027  | 6250 | 5695 |
| 3.375% due 05/03/2024  | 3300 | 3235 |
| **American Tower Corp.** <br>1.300% due 09/15/2025 | 1000 | 904 |
| **Arch Capital Group Ltd.** <br>3.635% due 06/30/2050 | 600 | 417 |
| **Ares Finance Co. LLC** <br>3.650% due 02/01/2052 | 700 | 429 |
| **Aviation Capital Group LLC** <br>4.125% due 08/01/2025 | 800 | 747 |
| **Bank Leumi Le-Israel BM** <br>5.125% due 07/27/2027 | 2400 | 2387 |
| **Bank of America Corp.**  |  |  |
| 1.658% due 03/11/2027 •  | 6100 | 5404 |
| 1.734% due 07/22/2027 •  | 3000 | 2632 |
| 2.592% due 04/29/2031 •  | 7000 | 5716 |
| 3.093% due 10/01/2025 •  | 4900 | 4698 |
| 3.841% due 04/25/2025 •  | 1000 | 977 |
| 4.271% due 07/23/2029 •  | 2000 | 1869 |
| 4.827% due 07/22/2026 •  | 10000 | 9893 |
| 4.920% (SOFRRATE + 0.970%) due 07/22/2027 ~  | 700 | 678 |
| **Banque Federative du Credit Mutuel SA** <br>5.203% (US0003M + 0.960%) due 07/20/2023 ~ | 5600 | 5608 |
| **Barclays PLC**  |  |  |
| 4.338% due 05/16/2024 •  | 5000 | 4966 |
| 4.375% due 01/12/2026  | 7000 | 6782 |
| 4.972% due 05/16/2029 •  | 1800 | 1694 |
| **Blackstone Holdings Finance Co. LLC** <br>1.625% due 08/05/2028 | 2500 | 2039 |
| **BNP Paribas SA**  |  |  |
| 1.904% due 09/30/2028 •  | 10500 | 8759 |
| 3.375% due 01/09/2025  | 2350 | 2263 |
| **BOC Aviation Ltd.** <br>5.849% (US0003M + 1.125%) due 09/26/2023 ~ | 2800 | 2797 |
| **BPCE SA**  |  |  |
| 1.000% due 01/20/2026  | 1700 | 1492 |
| 4.000% due 09/12/2023  | 3000 | 2967 |
| 5.700% due 10/22/2023  | 750 | 745 |
| **Brixmor Operating Partnership LP** <br>3.650% due 06/15/2024 | 500 | 485 |
| **Brookfield Finance, Inc.** <br>4.250% due 06/02/2026 | 1070 | 1032 |
| **Citigroup, Inc.**  |  |  |
| 2.572% due 06/03/2031 •(a)  | 2500 | 2027 |
| 2.976% due 11/05/2030 •  | 450 | 379 |
| 3.668% due 07/24/2028 •  | 700 | 644 |
| 3.700% due 01/12/2026  | 600 | 578 |
| 5.850% (SOFRRATE + 1.528%) due 03/17/2026 ~(a)  | 12000 | 12035 |
| **Cooperatieve Rabobank UA** <br>4.655% due 08/22/2028 •  | 900 | 865 |
| **Corebridge Financial, Inc.** <br>3.850% due 04/05/2029 | 3900 | 3560 |
| **Corporate Office Properties LP** <br>2.900% due 12/01/2033 | 750 | 534 |
| **Credit Suisse AG** <br>0.520% due 08/09/2023 | 300 | 285 |
| **Credit Suisse Group AG**  |  |  |
| 2.193% due 06/05/2026 •  | 1000 | 855 |
| 2.593% due 09/11/2025 •  | 300 | 265 |
| 3.091% due 05/14/2032 •  | 3900 | 2702 |
| 3.869% due 01/12/2029 •  | 700 | 562 |
| 4.207% due 06/12/2024 •  | 750 | 731 |
| 4.550% due 04/17/2026  | 700 | 618 |
| 6.442% due 08/11/2028 •  | 5650 | 5154 |
| **Deutsche Bank AG**  |  |  |
| 2.311% due 11/16/2027 •  | 800 | 679 |

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<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.035% due 05/28/2032 •(a)  | 3400 | 2585 |
| 3.961% due 11/26/2025 •  | 3000 | 2869 |
| 5.966% (US0003M + 1.230%) due 02/27/2023 ~  | 500 | 500 |
| **Equinix, Inc.** <br>3.200% due 11/18/2029 | 600 | 524 |
| **Equitable Financial Life Global Funding** <br>0.500% due 04/06/2023 | 3000 | 2969 |
| **Essex Portfolio LP** <br>3.500% due 04/01/2025 | 850 | 820 |
| **Fairfax Financial Holdings Ltd.**  |  |  |
| 4.850% due 04/17/2028  | 600 | 568 |
| 5.625% due 08/16/2032  | 1500 | 1412 |
| **First American Financial Corp.** <br>4.300% due 02/01/2023 | 728 | 727 |
| **GA Global Funding Trust**  |  |  |
| 1.000% due 04/08/2024  | 4700 | 4405 |
| 1.950% due 09/15/2028  | 3600 | 2992 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 1.542% due 09/10/2027 •  | 100 | 86 |
| 2.640% due 02/24/2028 •  | 6125 | 5462 |
| 3.500% due 04/01/2025  | 1875 | 1805 |
| 3.691% due 06/05/2028 •  | 1000 | 931 |
| 6.162% (SOFRRATE + 1.850%) due 03/15/2028 ~  | 5000 | 4927 |
| 6.334% (US0003M + 1.600%) due 11/29/2023 ~  | 8000 | 8062 |
| **Guardian Life Global Funding** <br>1.100% due 06/23/2025 | 1400 | 1269 |
| **Healthpeak Properties, Inc.** <br>3.250% due 07/15/2026 | 1000 | 945 |
| **HSBC Holdings PLC**  |  |  |
| 3.803% due 03/11/2025 •  | 4900 | 4766 |
| 3.950% due 05/18/2024 •  | 1050 | 1042 |
| 3.973% due 05/22/2030 •  | 2600 | 2281 |
| 4.292% due 09/12/2026 •  | 1300 | 1245 |
| 4.755% due 06/09/2028 •  | 3350 | 3172 |
| **Invitation Homes Operating Partnership LP** <br>2.700% due 01/15/2034 | 400 | 293 |
| **JPMorgan Chase & Co.**  |  |  |
| 1.578% due 04/22/2027 •  | 4800 | 4223 |
| 3.540% due 05/01/2028 •  | 4300 | 3963 |
| 3.797% due 07/23/2024 •  | 1000 | 990 |
| 4.851% due 07/25/2028 •  | 10000 | 9764 |
| **Lazard Group LLC** <br>3.750% due 02/13/2025 | 500 | 483 |
| **Lloyds Banking Group PLC**  |  |  |
| 3.511% due 03/18/2026 •  | 2500 | 2377 |
| 3.574% due 11/07/2028 •  | 4100 | 3694 |
| 4.450% due 05/08/2025  | 1400 | 1374 |
| 4.582% due 12/10/2025  | 600 | 582 |
| **MassMutual Global Funding** <br>3.400% due 03/08/2026 | 400 | 382 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 2.801% due 07/18/2024  | 5000 | 4808 |
| 4.080% due 04/19/2028 •  | 1000 | 944 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 2.839% due 07/16/2025 •  | 300 | 286 |
| 5.387% (US0003M + 0.630%) due 05/25/2024 ~  | 4000 | 3979 |
| **Morgan Stanley**  |  |  |
| 0.985% due 12/10/2026 •  | 1700 | 1491 |
| 2.239% due 07/21/2032 •  | 4000 | 3078 |
| 3.125% due 07/27/2026  | 1000 | 934 |
| 3.737% due 04/24/2024 •  | 3900 | 3879 |
| **Nationwide Building Society** <br>4.363% due 08/01/2024 •  | 4085 | 4032 |
| **NatWest Group PLC**  |  |  |
| 1.642% due 06/14/2027 •  | 5500 | 4767 |
| 4.269% due 03/22/2025 •  | 900 | 881 |
| 6.274% (US0003M + 1.550%) due 06/25/2024 ~  | 1800 | 1801 |
| **New York Life Global Funding** <br>0.950% due 06/24/2025 | 1200 | 1088 |
| **Nomura Holdings, Inc.**  |  |  |
| 2.648% due 01/16/2025  | 3000 | 2835 |
| 2.999% due 01/22/2032  | 1000 | 787 |
| **Pacific Life Global Funding II** <br>1.375% due 04/14/2026 | 1200 | 1060 |
| **Physicians Realty LP** <br>4.300% due 03/15/2027 | 700 | 661 |
| **Principal Life Global Funding** <br>0.750% due 04/12/2024 | 8600 | 8127 |
| **Progressive Corp.** <br>2.500% due 03/15/2027 | 1900 | 1752 |
| **Protective Life Global Funding** <br>0.502% due 04/12/2023 | 3000 | 2963 |
| **Reinsurance Group of America, Inc.** <br>3.950% due 09/15/2026 | 300 | 290 |
| **Santander Holdings USA, Inc.**  |  |  |
| 2.490% due 01/06/2028 •  | 500 | 430 |

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<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.244% due 10/05/2026  | 1000 | 929 |
| 4.400% due 07/13/2027  | 300 | 287 |
| **Santander U.K. Group Holdings PLC**  |  |  |
| 1.089% due 03/15/2025 •  | 2900 | 2711 |
| 1.673% due 06/14/2027 •  | 1000 | 851 |
| 3.823% due 11/03/2028 •  | 300 | 269 |
| **Santander U.K. PLC** <br>5.000% due 11/07/2023 | 563 | 565 |
| **SMBC Aviation Capital Finance DAC** <br>4.125% due 07/15/2023 | 1300 | 1287 |
| **Societe Generale SA** <br>3.875% due 03/28/2024 | 1000 | 977 |
| **Spirit Realty LP** <br>3.400% due 01/15/2030 | 700 | 585 |
| **Standard Chartered PLC**  |  |  |
| 3.265% due 02/18/2036 •  | 800 | 593 |
| 3.785% due 05/21/2025 •  | 3000 | 2897 |
| 3.885% due 03/15/2024 •  | 4000 | 3981 |
| 6.063% (SOFRRATE + 1.740%) due 03/30/2026 ~  | 3000 | 2952 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 2.348% due 01/15/2025  | 3000 | 2841 |
| 2.448% due 09/27/2024  | 1700 | 1617 |
| 2.696% due 07/16/2024  | 3900 | 3742 |
| **SURA Asset Management SA** <br>4.375% due 04/11/2027 | 1000 | 930 |
| **SVB Financial Group** <br>3.500% due 01/29/2025 | 1600 | 1538 |
| **Svenska Handelsbanken AB** <br>1.418% due 06/11/2027 •  | 3400 | 2982 |
| **Synchrony Financial** <br>4.250% due 08/15/2024 | 500 | 489 |
| **Truist Financial Corp.** <br>1.950% due 06/05/2030 | 1000 | 806 |
| **UBS Group AG**  |  |  |
| 4.125% due 04/15/2026  | 3500 | 3361 |
| 4.703% due 08/05/2027 •  | 4100 | 3968 |
| **Wells Fargo & Co.**  |  |  |
| 3.550% due 09/29/2025  | 200 | 193 |
| 4.300% due 07/22/2027  | 4000 | 3856 |
| **Welltower, Inc.** <br>4.000% due 06/01/2025 | 4500 | 4387 |
| **WP Carey, Inc.**  |  |  |
| 4.000% due 02/01/2025  | 1000 | 975 |
| 4.250% due 10/01/2026  | 500 | 482 |
|  |  | 307591 |
| **INDUSTRIALS 2.8%**  |  |  |
| **7-Eleven, Inc.** <br>0.800% due 02/10/2024 | 6000 | 5712 |
| **Adventist Health System** <br>2.952% due 03/01/2029 | 2500 | 2145 |
| **Aker BP ASA** <br>2.000% due 07/15/2026 | 700 | 619 |
| **American Airlines Pass-Through Trust** <br>3.375% due 11/01/2028 | 1189 | 994 |
| **Arrow Electronics, Inc.**  |  |  |
| 3.875% due 01/12/2028  | 700 | 637 |
| 4.500% due 03/01/2023  | 1800 | 1796 |
| **BAT International Finance PLC** <br>3.950% due 06/15/2025 | 1000 | 961 |
| **Bayer U.S. Finance LLC** <br>3.875% due 12/15/2023 | 2000 | 1972 |
| **Continental Airlines Pass-Through Trust** <br>4.000% due 04/29/2026 | 607 | 580 |
| **Dell International LLC** <br>6.020% due 06/15/2026 | 3100 | 3166 |
| **Energy Transfer LP** <br>4.500% due 11/01/2023 | 5691 | 5651 |
| **FactSet Research Systems, Inc.** <br>3.450% due 03/01/2032 | 500 | 421 |
| **Flex Ltd.** <br>4.750% due 06/15/2025 | 1200 | 1180 |
| **Global Payments, Inc.** <br>2.900% due 11/15/2031 | 500 | 396 |
| **Harvest Operations Corp.** <br>1.000% due 04/26/2024 | 9800 | 9264 |
| **HCA, Inc.** <br>3.125% due 03/15/2027 | 4000 | 3643 |
| **Hyundai Capital America** <br>5.875% due 04/07/2025 | 500 | 502 |
| **JetBlue Pass-Through Trust** <br>2.750% due 11/15/2033 | 2165 | 1782 |
| **Marriott International, Inc.** <br>2.750% due 10/15/2033 | 900 | 689 |

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<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Nissan** **Motor Co. Ltd.**  |  |  |
| 4.345% due 09/17/2027  | 1500 | 1362 |
| 4.810% due 09/17/2030  | 300 | 255 |
| **Quanta Services, Inc.** <br>2.900% due 10/01/2030 | 750 | 618 |
| **Reliance Steel & Aluminum Co.** <br>2.150% due 08/15/2030 | 500 | 395 |
| **Starbucks Corp.** <br>4.548% (SOFRINDX + 0.420%) due 02/14/2024 ~ | 1300 | 1293 |
| **Sutter Health** <br>2.294% due 08/15/2030 | 2800 | 2271 |
| **Sydney Airport Finance Co. Pty. Ltd.** <br>3.900% due 03/22/2023 | 750 | 748 |
| **United Airlines Pass-Through Trust**  |  |  |
| 2.700% due 11/01/2033  | 354 | 286 |
| 2.900% due 11/01/2029  | 1318 | 1061 |
| 4.150% due 10/11/2025  | 779 | 755 |
| 4.550% due 02/25/2033  | 1316 | 1110 |
| 5.875% due 04/15/2029  | 2055 | 2029 |
| **Warnermedia Holdings, Inc.** <br>3.755% due 03/15/2027 | 6100 | 5502 |
| **Woodside Finance Ltd.** <br>3.700% due 03/15/2028 | 700 | 634 |
| **WRKCo, Inc.** <br>3.900% due 06/01/2028 | 800 | 737 |
| **Zimmer Biomet Holdings, Inc.** <br>3.550% due 04/01/2025 | 900 | 870 |
|  |  | 62036 |
| **UTILITIES 1.3%**  |  |  |
| **Avangrid, Inc.** <br>3.150% due 12/01/2024 | 2000 | 1913 |
| **Berkshire Hathaway Energy Co.** <br>3.700% due 07/15/2030 | 165 | 151 |
| **NBN Co. Ltd.** <br>1.450% due 05/05/2026 | 4300 | 3799 |
| **Pacific Gas & Electric Co.**  |  |  |
| 4.250% due 08/01/2023  | 1200 | 1194 |
| 4.400% due 03/01/2032  | 3000 | 2626 |
| 4.950% due 06/08/2025  | 1700 | 1675 |
| 5.450% due 06/15/2027  | 1600 | 1580 |
| **Plains All American Pipeline LP** <br>4.500% due 12/15/2026 | 700 | 673 |
| **Puget Energy, Inc.** <br>2.379% due 06/15/2028 | 1200 | 1023 |
| **Southern California Edison Co.** <br>4.963% (SOFRRATE + 0.640%) due 04/03/2023 ~ | 4100 | 4094 |
| **Texas Electric Market Stabilization Funding N LLC** <br>4.265% due 08/01/2036 | 11000 | 10464 |
| **Verizon Communications, Inc.** <br>4.016% due 12/03/2029 | 820 | 768 |
|  |  | 29960 |
| Total Corporate Bonds & Notes (Cost $427,675) |  | 399587 |
| **MUNICIPAL BONDS & NOTES 0.8%**  |  |  |
| **CALIFORNIA 0.1%**  |  |  |
| **Los Angeles Community College District, California General Obligation Bonds, Series 2020** <br>2.106% due 08/01/2032 | 1000 | 801 |
| **University of California Revenue Notes, Series 2020** <br>1.316% due 05/15/2027 | 2600 | 2244 |
|  |  | 3045 |
| **FLORIDA 0.1%**  |  |  |
| **Miami-Dade County, Florida Revenue Notes, Series 2021**  |  |  |
| 1.154% due 10/01/2025  | 2000 | 1808 |
| 1.471% due 10/01/2026  | 700 | 616 |
|  |  | 2424 |
| **IDAHO 0.1%**  |  |  |
| **Idaho Energy Resources Authority Revenue Notes, Series 2017** <br>2.297% due 09/01/2023 | 1200 | 1186 |
| **MASSACHUSETTS 0.0%**  |  |  |
| **University of Massachusetts Building Authority Revenue Bonds, (BABs), Series 2009** <br>6.423% due 05/01/2029 | 40 | 40 |

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<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **NEW YORK 0.1%**  |  |  |
| **New York State Urban Development Corp. Revenue Notes, Series 2020** <br>1.346% due 03/15/2026 | 2300 | 2065 |
| **OREGON 0.1%**  |  |  |
| **Oregon Department of Transportation State Revenue Notes, Series 2020** <br>1.084% due 11/15/2027 | 2000 | 1693 |
| **TEXAS 0.2%**  |  |  |
| **Houston Community College System, Texas General Obligation Notes, Series 2021** <br>5.000% due 02/15/2029 | 1800 | 1780 |
| **Williamson County, Texas General Obligation Notes, Series 2021** <br>0.640% due 02/15/2026 | 2500 | 2185 |
|  |  | 3965 |
| **WEST VIRGINIA 0.1%**  |  |  |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2020** <br>2.951% due 06/01/2031 | 300 | 243 |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Notes, Series 2020**  |  |  |
| 1.497% due 06/01/2024  | 2200 | 2087 |
| 1.820% due 06/01/2026  | 800 | 709 |
|  |  | 3039 |
| **WISCONSIN 0.0%**  |  |  |
| **Wisconsin State Revenue Notes, Series 2021** <br>1.486% due 05/01/2029 | 600 | 490 |
| Total Municipal Bonds & Notes (Cost $19,099) |  | 17947 |
| **U.S. GOVERNMENT AGENCIES 7.3%**  |  |  |
| **Fannie Mae**  |  |  |
| 0.750% due 11/25/2050 | 2562 | 1884 |
| 3.398% due 12/25/2046 •  | 623 | 608 |
| 3.457% due 01/25/2047 •  | 613 | 592 |
| 3.547% due 10/25/2046 •  | 749 | 730 |
| 3.671% due 07/01/2034 •  | 48 | 49 |
| 3.830% due 10/01/2037 •  | 62 | 63 |
| 4.629% due 06/25/2037 ~ | 46 | 45 |
| 4.839% due 07/25/2049 •  | 1631 | 1583 |
| 4.899% due 03/25/2041 ~ | 828 | 817 |
| **Federal Home Loan Bank**<br>1.050% due 08/13/2026 | 4800 | 4243 |
| **Freddie Mac**  |  |  |
| 0.650% due 10/27/2025 | 9200 | 8234 |
| 0.800% due 10/28/2026 | 9200 | 8021 |
| 1.000% due 12/15/2040 - 05/25/2047 | 3633 | 3292 |
| 2.500% due 09/25/2048 | 1820 | 1649 |
| 3.000% due 08/15/2046 | 672 | 634 |
| 3.218% due 06/01/2037 •  | 69 | 69 |
| 3.414% due 07/15/2041 ~ | 931 | 926 |
| 3.604% due 10/15/2037 ~ | 722 | 710 |
| 4.000% due 09/01/2048 - 10/01/2048 | 3057 | 2917 |
| 4.500% due 02/01/2049 | 2179 | 2140 |
| **Ginnie Mae**  |  |  |
| 1.500% due 10/20/2045 | 1775 | 1528 |
| 3.114% due 04/20/2066 •  | 2201 | 2169 |
| 3.494% due 12/20/2064 •  | 1368 | 1342 |
| 3.547% due 04/20/2066 ~ | 3083 | 3045 |
| 3.613% due 09/20/2065 •  | 829 | 822 |
| 3.672% due 01/20/2067 •  | 1250 | 1237 |
| 4.184% due 06/20/2065 •  | 633 | 623 |
| 4.192% due 08/20/2065 •  | 1327 | 1317 |
| 4.302% due 02/20/2067 •  | 1120 | 1112 |
| 4.362% due 10/20/2065 •  | 1475 | 1460 |
| 4.382% due 07/20/2063 ~ | 301 | 300 |
| 4.412% due 06/20/2065 •  | 982 | 969 |
| 4.442% due 03/20/2065 ~ | 1255 | 1239 |
| 4.492% due 11/20/2065 ~ | 501 | 499 |
| 4.612% due 02/20/2066 ~ | 8 | 8 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.000% due 01/01/2035 | 825 | 775 |
| 4.500% due 08/01/2048 - 01/01/2049 | 729 | 712 |
| 5.500% due 04/01/2034 - 04/01/2039 | 101 | 104 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 4.000% due 02/01/2053 | 1500 | 1407 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.500% due 02/01/2053 | 107400 | 103393 |
| Total U.S. Government Agencies (Cost $169,298) |  | 163267 |
| **U.S. TREASURY OBLIGATIONS 57.2%**  |  |  |
| **U.S. Treasury Notes**  |  |  |
| 0.375% due 07/15/2024 (d) | 24000 | 22486 |
| 2.625% due 04/15/2025 (d) | 14600 | 14055 |
| 2.750% due 05/15/2025 | 15200 | 14659 |
| 4.375% due 10/31/2024 | 500000 | 498613 |
| 4.500% due 11/30/2024 | 722900 | 722985 |
| Total U.S. Treasury Obligations (Cost $1,280,992) |  | 1272798 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 5.6%**  |  |  |
| **1211 Avenue of the Americas Trust** <br>3.901% due 08/10/2035 | 7000 | 6509 |
| **Atrium Hotel Portfolio Trust** <br>5.268% due 06/15/2035 ~ | 3400 | 3285 |
| **Banc of America Commercial Mortgage Trust** <br>3.441% due 09/15/2048 | 2456 | 2322 |
| **BANK**  |  |  |
| 2.808% due 10/17/2052  | 2500 | 2268 |
| 3.279% due 11/15/2054  | 786 | 722 |
| 3.623% due 04/15/2052  | 3000 | 2830 |
| **Barclays Commercial Mortgage Securities Trust** <br>3.488% due 02/15/2050 | 1261 | 1207 |
| **Benchmark Mortgage Trust** <br>3.615% due 03/15/2062 | 4100 | 3879 |
| **BX Commercial Mortgage Trust** <br>5.048% due 10/15/2036 •  | 969 | 932 |
| **BX Trust**  |  |  |
| 5.085% (TSFR1M + 0.749%) due 04/15/2039 ~  | 2000 | 1847 |
| 5.217% due 10/15/2036 ~  | 6300 | 6004 |
| **Citigroup Commercial Mortgage Trust**  |  |  |
| 3.268% due 09/15/2050  | 1301 | 1241 |
| 3.297% due 10/12/2050  | 4126 | 3926 |
| **Commercial Mortgage Trust**  |  |  |
| 3.178% due 02/10/2035  | 4900 | 4535 |
| 3.244% due 10/10/2029  | 2000 | 1869 |
| 3.550% due 02/10/2049  | 726 | 703 |
| 4.181% due 05/10/2051  | 1026 | 986 |
| **CSAIL Commercial Mortgage Trust** <br>3.314% due 11/15/2049 | 2793 | 2690 |
| **EQUS Mortgage Trust** <br>5.073% due 10/15/2038 •  | 6900 | 6651 |
| **GCT Commercial Mortgage Trust** <br>5.118% due 02/15/2038 •  | 5000 | 4650 |
| **GS Mortgage Securities Corp.** <br>7.736% due 08/15/2039 ~ | 2300 | 2321 |
| **GS Mortgage Securities Trust** <br>3.801% due 01/10/2047 | 709 | 698 |
| **Hawaii Hotel Trust** <br>5.468% due 05/15/2038 •  | 3400 | 3307 |
| **Hilton USA Trust** <br>3.719% due 11/05/2038 | 2000 | 1814 |
| **InTown Mortgage Trust** <br>6.825% due 08/15/2039 ~ | 4000 | 3984 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 4.248% due 07/05/2033  | 2800 | 2620 |
| 5.372% due 07/05/2033 •  | 2033 | 1913 |
| 5.618% due 03/15/2036 •  | 6800 | 6520 |
| **JPMDB Commercial Mortgage Securities Trust** <br>3.242% due 10/15/2050 | 1064 | 1012 |
| **LUXE Commercial Mortgage Trust** <br>5.368% due 10/15/2038 ~ | 588 | 564 |
| **MAD Mortgage Trust** <br>3.188% due 08/15/2034 ~ | 7100 | 6629 |
| **Morgan Stanley Capital Trust**  |  |  |
| 2.606% due 08/15/2049  | 427 | 405 |
| 2.860% due 11/15/2049  | 2367 | 2258 |
| 5.487% due 12/15/2023 •  | 4700 | 4507 |
| **Morgan Stanley Mortgage Capital Holdings Trust** <br>3.397% due 09/13/2039 | 3400 | 2989 |
| **New Orleans Hotel Trust** <br>5.307% due 04/15/2032 •  | 2700 | 2570 |
| **SFO Commercial Mortgage Trust** <br>5.468% due 05/15/2038 ~ | 2100 | 1930 |
| **SREIT Trust** <br>5.018% due 10/15/2038 ~ | 2400 | 2308 |
| **Starwood Mortgage Trust** <br>5.176% due 11/15/2036 ~ | 2550 | 2461 |
| **UBS Commercial Mortgage Trust**  |  |  |
| 3.215% due 08/15/2050  | 2527 | 2399 |
| 3.460% due 04/15/2052  | 3200 | 2977 |
| 3.903% due 02/15/2051  | 1500 | 1442 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.119% due 06/15/2051  | 2000 | 1922 |
| **Wells Fargo Commercial Mortgage Trust**  |  |  |
| 2.514% due 08/15/2049  | 912 | 869 |
| 2.911% due 06/15/2049  | 690 | 661 |
| 3.390% due 11/15/2050  | 1178 | 1128 |
| 4.147% due 06/15/2051  | 600 | 579 |
| 5.328% due 02/15/2037 •  | 4000 | 3852 |
| Total Non-Agency Mortgage-Backed Securities (Cost $129,753) |  | 125695 |
| **ASSET-BACKED SECURITIES 11.6%**  |  |  |
| **ACREC Ltd.** <br>5.476% due 10/16/2036 ~ | 1500 | 1446 |
| **American Express Credit Account Master Trust** <br>4.950% due 10/15/2027 | 3800 | 3831 |
| **Anchorage Capital CLO Ltd.** <br>5.219% due 07/15/2032 •  | 5000 | 4876 |
| **Apex Credit CLO Ltd.** <br>5.736% due 09/20/2029 ~ | 2057 | 2024 |
| **Apidos CLO** <br>5.159% due 04/15/2031 •  | 750 | 739 |
| **Apres Static CLO Ltd.** <br>5.149% due 10/15/2028 ~ | 960 | 949 |
| **Arbor Realty Commercial Real Estate Notes Ltd.** <br>5.668% due 11/15/2036 •  | 3000 | 2901 |
| **AREIT Trust**  |  |  |
| 5.076% due 01/16/2037 ~  | 3327 | 3180 |
| 5.419% due 11/17/2038 ~  | 6491 | 6215 |
| 5.710% due 09/14/2036 ~  | 141 | 138 |
| 6.567% due 06/17/2039 ~  | 7000 | 6949 |
| **Ares CLO Ltd.**  |  |  |
| 5.244% due 04/18/2031 •  | 3400 | 3340 |
| 5.375% due 04/22/2031 •  | 2000 | 1966 |
| **Atlas Senior Loan Fund Ltd.**  |  |  |
| 5.169% due 01/15/2031 ~  | 1473 | 1445 |
| 5.405% due 04/22/2031 •  | 1300 | 1266 |
| **Babson CLO Ltd.** <br>5.233% due 01/20/2031 •  | 2000 | 1969 |
| **BDS Ltd.**  |  |  |
| 5.689% due 12/16/2036 ~  | 4300 | 4172 |
| 6.121% due 03/19/2039 ~  | 5500 | 5354 |
| 6.461% due 08/19/2038 ~  | 2400 | 2366 |
| **BPCRE Holder LLC** <br>6.725% due 01/16/2037 •  | 7000 | 6908 |
| **BSPRT Issuer Ltd.** <br>6.632% due 07/15/2039 •  | 4500 | 4403 |
| **Capital One Multi-Asset Execution Trust** <br>4.950% due 10/15/2027 | 5200 | 5244 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>5.405% due 04/22/2032 ~ | 1800 | 1765 |
| **Cedar Funding CLO Ltd.** <br>5.243% due 01/20/2031 •  | 6050 | 5980 |
| **CLNC Ltd.** <br>5.689% due 08/20/2035 •  | 1804 | 1773 |
| **Crestline Denali CLO Ltd.** <br>5.465% due 10/23/2031 ~ | 4600 | 4514 |
| **Dell Equipment Finance Trust** <br>4.140% due 07/22/2027 | 2000 | 1959 |
| **DLLAD LLC** <br>0.640% due 09/21/2026 | 2800 | 2608 |
| **DLLST LLC**  |  |  |
| 3.400% due 01/21/2025  | 9750 | 9488 |
| 3.690% due 09/20/2028  | 1300 | 1249 |
| **ECMC Group Student Loan Trust**  |  |  |
| 5.139% due 02/27/2068 •  | 1338 | 1273 |
| 5.189% due 09/25/2068 ~  | 2202 | 2100 |
| 5.389% due 07/25/2069 •  | 3052 | 2987 |
| 5.389% due 01/27/2070 •  | 1505 | 1496 |
| 5.439% due 05/25/2067 ~  | 821 | 791 |
| **Fortress Credit Investments Ltd.** <br>5.761% due 02/23/2039 ~ | 3000 | 2889 |
| **FS Rialto Issuer LLC** <br>5.708% due 01/19/2039 •  | 6500 | 6344 |
| **Greystone Commercial Real Estate Notes Ltd.** <br>5.498% due 09/15/2037 •  | 1394 | 1373 |
| **HGI CRE CLO Ltd.** <br>5.508% due 04/20/2037 ~ | 3200 | 3150 |
| **LCCM Trust** <br>5.518% due 12/13/2038 ~ | 1960 | 1902 |
| **LCM Ltd.** <br>5.323% due 04/20/2031 ~ | 2000 | 1955 |
| **LMREC LLC** <br>5.436% due 04/22/2037 ~ | 1946 | 1928 |
| **LoanCore Issuer Ltd.**  |  |  |
| 5.358% due 01/17/2037 ~  | 2300 | 2231 |
| 5.618% due 11/15/2038 ~  | 4600 | 4399 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Louisiana** **Local Government Environmental Facilities & Community Development Authority** <br>4.275% due 02/01/2036 | 2200 | 2049 |
| **MF1 LLC** <br>6.956% due 09/17/2037 ~ | 3200 | 3188 |
| **MF1 Ltd.** <br>5.176% due 02/19/2037 ~ | 5000 | 4817 |
| **MF1 Multifamily Housing Mortgage Loan Trust** <br>5.300% due 07/15/2036 ~ | 2353 | 2297 |
| **MMAF Equipment Finance LLC** <br>5.570% due 09/09/2025 | 6600 | 6613 |
| **Navient Private Education Loan Trust** <br>5.768% due 07/16/2040 •  | 2599 | 2563 |
| **Navient Student Loan Trust** <br>5.539% due 07/26/2066 ~ | 5284 | 5200 |
| **Nelnet Student Loan Trust**  |  |  |
| 4.989% due 03/25/2030 •  | 112 | 111 |
| 5.383% due 04/20/2062 •  | 4800 | 4489 |
| **Newark BSL CLO Ltd.** <br>5.328% due 07/25/2030 ~ | 695 | 687 |
| **Oaktree CLO Ltd.** <br>5.435% due 04/22/2030 •  | 3000 | 2934 |
| **OSD CLO Ltd.** <br>4.949% due 04/17/2031 ~ | 2491 | 2450 |
| **OZLM Ltd.** <br>5.403% due 07/20/2032 ~ | 1800 | 1756 |
| **Palmer Square Loan Funding Ltd.** <br>4.879% due 10/15/2029 ~ | 1265 | 1246 |
| **Pawneee Equipment Receivables LLC** <br>4.840% due 02/15/2028 | 2700 | 2679 |
| **PFP Ltd.**  |  |  |
| 5.326% due 08/09/2037 •  | 2420 | 2317 |
| 6.600% due 08/19/2035 ~  | 4600 | 4519 |
| **Ready Capital Mortgage Financing LLC**  |  |  |
| 5.339% due 07/25/2036 •  | 2407 | 2282 |
| 5.389% due 04/25/2038 •  | 2634 | 2563 |
| 6.875% due 10/25/2039 •  | 2996 | 2991 |
| **Saranac CLO Ltd.** <br>5.873% due 08/13/2031 ~ | 4200 | 4070 |
| **Shelter Growth CRE Issuer Ltd.** <br>6.617% due 06/17/2037 ~ | 8600 | 8556 |
| **SLC Student Loan Trust**  |  |  |
| 4.666% due 05/15/2029 ~  | 483 | 467 |
| 5.574% due 11/25/2042 ~  | 168 | 167 |
| **SLM Private Education Loan Trust** <br>9.068% due 10/15/2041 •  | 2561 | 2750 |
| **SLM Student Loan Trust**  |  |  |
| 4.478% due 01/25/2027 •  | 31 | 31 |
| 4.498% due 10/25/2028 •  | 464 | 462 |
| **SMB Private Education Loan Trust**  |  |  |
| 3.630% due 11/15/2035  | 7462 | 7020 |
| 4.668% due 02/16/2055 •  | 1088 | 1056 |
| 5.048% due 01/15/2053 •  | 3349 | 3208 |
| **Starwood Commercial Mortgage Trust** <br>5.526% due 04/18/2038 ~ | 7000 | 6787 |
| **THL Credit Wind River CLO Ltd.** <br>5.159% due 04/15/2031 ~ | 3700 | 3601 |
| **TPG Real Estate Finance Issuer Ltd.**  |  |  |
| 5.458% due 02/15/2039 ~  | 4100 | 4005 |
| 5.590% due 10/15/2034 •  | 554 | 547 |
| **Venture CLO Ltd.**  |  |  |
| 5.233% due 07/20/2030 •  | 4000 | 3930 |
| 5.263% due 04/20/2029 ~  | 647 | 640 |
| 5.575% due 07/30/2032 •  | 2000 | 1939 |
| **Vibrant CLO Ltd.**  |  |  |
| 5.363% due 07/20/2032 •  | 3900 | 3837 |
| 5.696% due 06/20/2029 •  | 2563 | 2529 |
| **VMC Finance LLC** <br>5.439% due 06/16/2036 ~ | 495 | 465 |
| **Wellfleet CLO Ltd.**  |  |  |
| 5.133% due 04/20/2029 •  | 2461 | 2432 |
| 5.133% due 07/20/2029 •  | 3641 | 3594 |
| 5.303% due 10/20/2029 •  | 1536 | 1520 |
| Total Asset-Backed Securities (Cost $261,309) |  | 257199 |
| **SOVEREIGN ISSUES 0.5%**  |  |  |
| **Province of Ontario** <br>3.050% due 01/29/2024 | 5000 | 4906 |
| **Province of Quebec**  |  |  |
| 2.500% due 04/20/2026  | 2200 | 2071 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 2.625% due 02/13/2023  | 4500 | 4491 |
| Total Sovereign Issues (Cost $11,704) |  | 11468 |
| **SHORT-TERM INSTRUMENTS 2.6%**  |  |  |
| **REPURCHASE AGREEMENTS (b) 2.6%** |  | 57436 |
| Total Short-Term Instruments (Cost $57,436) |  | 57436 |
| Total Investments in Securities (Cost $2,357,266) |  | 2305397 |
| Total Investments 103.5% (Cost $2,357,266) |  | $2305397 |
| **Financial Derivative Instruments (c)(f) (0.0)**%(Cost or Premiums, net $130) |  | (48) |
| Other Assets and Liabilities, net (3.5)% |  | (78665) |
| Net Assets 100.0% |  | $2226684 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Issuer Description | Issuer Description | Issuer Description | Issuer Description | Coupon | Coupon | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Cost | Cost |  | Market<br>Value | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 2.572 | 2.572 | 06/03/2031 | 06/03/2031 | 05/26/2020 | 05/26/2020 | 2500 | 2500 | 2500 | 2500 | $ | 2027 | 2027 | 2027 | 0.09 | % |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 5.850 | 5.850 | 03/17/2026 | 03/17/2026 | 03/10/2022 | 03/10/2022 | 12000 | 12000 | 12000 | 12000 |  | 12035 | 12035 | 12035 | 0.54 |  |
| Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | Deutsche Bank AG | 3.035 | 3.035 | 05/28/2032 | 05/28/2032 | 08/05/2021 - 04/27/2022 | 08/05/2021 - 04/27/2022 | 3171 | 3171 | 3171 | 3171 |  | 2585 | 2585 | 2585 | 0.12 |  |
|  |  |  |  |  |  |  |  |  |  |  |  | $ | 17671 | 17671 | 17671 | $ | $ | 16647 | 16647 | 0.75%  | 0.75%  | 0.75%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(b)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | FICC | 1.900%  | 12/30/2022 | 01/03/2023 | 01/03/2023 | $836 | 836 | 836 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | $(853) | (853) | (853) | (853) | $836 | 836 | $ | $836 | 836 |
|  |  | 4.280  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 56600 | 56600 | 56600 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 07/15/2032 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 07/15/2032 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 07/15/2032 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 07/15/2032 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.625% due 07/15/2032 | (57732) | (57732) | (57732) | (57732) | 56600 | 56600 |  | 56627 | 56627 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | $**(58585)** | **(58585)** | **(58585)** | **(58585)** | $**57436** | **57436** | **$** | $**57463** | **57463** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **(c)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Asset |  | Liability | Liability |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 03/2023 | 03/2023 | 894 | 894 | 183340 | 183340 | 98 | 98 | 98 | 98 | $ | 0 | 0 | 0 | $ | (140) | (140) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Asset |  | Liability | Liability |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 03/2023 | 540 | 540 | (58282) | (58282) | (9) | (9) | (9) | (9) | $ | 46 | 46 | 46 | $ | 0 | 0 |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 03/2023 | 701 | 701 | (82915) | (82915) | 1027 | 1027 | 1027 | 1027 |  | 44 | 44 | 44 |  | 0 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | 1018 | 1018 | 1018 | $ | $ | 90 | 90 | $ | $ | 0 | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **1116** | **1116** | **1116** | **$** | **$** | **90** | **90** | **$** | **$** | **(140)** | **(140)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset | Asset |  | Liability | Liability |
| AT&T, Inc.  | AT&T, Inc.  | 1.000% | 1.000% | 06/20/2023 | 0.674 | 0.674 | 0.674 | $2400 | 2400 | $2 | 2 | 3 | 3 | 5 | 5 | 5 | 5 | 0 | 0 | $ | $0 | 0 |
| AT&T, Inc.  | AT&T, Inc.  | 1.000 | 1.000 | 12/20/2023 | 0.867 | 0.867 | 0.867 | 5400 | 5400 | 68 | 68 | (59) | (59) | 9 | 9 | 9 | 9 | 1 | 1 |  | 0 | 0 |
| AT&T, Inc.  | AT&T, Inc.  | 1.000 | 1.000 | 06/20/2024 | 0.901 | 0.901 | 0.901 | 2100 | 2100 | 1 | 1 | 3 | 3 | 4 | 4 | 4 | 4 | 0 | 0 |  | 0 | 0 |
| Boeing Co.  | Boeing Co.  | 1.000 | 1.000 | 06/20/2026 | 1.265 | 1.265 | 1.265 | 1200 | 1200 | (6) | (6) | (4) | (4) | (10) | (10) | (10) | (10) | 0 | 0 |  | 0 | 0 |
| General Electric Co.  | General Electric Co.  | 1.000 | 1.000 | 12/20/2024 | 0.564 | 0.564 | 0.564 | 2000 | 2000 | 33 | 33 | (16) | (16) | 17 | 17 | 17 | 17 | 0 | 0 |  | 1 | 1 |

---

------

<br> Schedule of Investments PIMCO Low Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| General Electric Co.  | General Electric Co.  | 1.000 | Quarterly | 06/20/2026 | 0.801 |  | 1300 | 1300 |  | 17 | 17 | (8) | (8) | 9 | 9 | 0 |  | (1) |
| General Electric Co.  | General Electric Co.  | 1.000 | Quarterly | 12/20/2026 | 0.870 |  | 200 | 200 |  | 2 | 2 | (1) | (1) | 1 | 1 | 0 |  | 0 |
| Verizon Communications, Inc.  | Verizon Communications, Inc.  | 1.000 | Quarterly | 06/20/2027 | 1.073 |  | 1900 | 1900 |  | (2) | (2) | (3) | (3) | (5) | (5) | 0 |  | (1) |
|  |  |  |  |  |  |  |  |  |  | $115 | 115 | $(85) | (85) | $30 | 30 | 1 | 1 | $(1) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> |  | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset |  | Liability |
| CDX.IG-39 5-Year Index  | CDX.IG-39 5-Year Index  | 1.000% | Quarterly | 12/20/2027 | 12/20/2027 | $48500 | 48500 | 48500 | $ | 15 | 15 | 391 | 391 | 406 | 406 | 2 | $ | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **130** | **130** | **306** | **306** | **436** | **436** | **3** | **$** | **(1)** |
| **(d)** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $6,559 and cash of $15,137 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | 0 | $ | 307591 | $ | 0 | $ | $307591 | 307591 |  |
| Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 0 |  | 62036 |  | 0 |  | 62036 | 62036 |  |
| Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | 0 | 0 | 0 |  | 29960 |  | 0 |  | 29960 | 29960 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| California | California | California | California | California | California | California | California | 0 | 0 | 0 |  | 3045 |  | 0 |  | 3045 | 3045 |  |
| Florida | Florida | Florida | Florida | Florida | Florida | Florida | Florida | 0 | 0 | 0 |  | 2424 |  | 0 |  | 2424 | 2424 |  |
| Idaho | Idaho | Idaho | Idaho | Idaho | Idaho | Idaho | Idaho | 0 | 0 | 0 |  | 1186 |  | 0 |  | 1186 | 1186 |  |
| Massachusetts | Massachusetts | Massachusetts | Massachusetts | Massachusetts | Massachusetts | Massachusetts | Massachusetts | 0 | 0 | 0 |  | 40 |  | 0 |  | 40 | 40 |  |
| New York | New York | New York | New York | New York | New York | New York | New York | 0 | 0 | 0 |  | 2065 |  | 0 |  | 2065 | 2065 |  |
| Oregon | Oregon | Oregon | Oregon | Oregon | Oregon | Oregon | Oregon | 0 | 0 | 0 |  | 1693 |  | 0 |  | 1693 | 1693 |  |
| Texas | Texas | Texas | Texas | Texas | Texas | Texas | Texas | 0 | 0 | 0 |  | 3965 |  | 0 |  | 3965 | 3965 |  |
| West Virginia | West Virginia | West Virginia | West Virginia | West Virginia | West Virginia | West Virginia | West Virginia | 0 | 0 | 0 |  | 3039 |  | 0 |  | 3039 | 3039 |  |
| Wisconsin | Wisconsin | Wisconsin | Wisconsin | Wisconsin | Wisconsin | Wisconsin | Wisconsin | 0 | 0 | 0 |  | 490 |  | 0 |  | 490 | 490 |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 | 0 |  | 163267 |  | 0 |  | 163267 | 163267 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 | 0 |  | 1272798 |  | 0 |  | 1272798 | 1272798 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 0 |  | 125695 |  | 0 |  | 125695 | 125695 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 0 |  | 257199 |  | 0 |  | 257199 | 257199 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 | 0 |  | 11468 |  | 0 |  | 11468 | 11468 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 0 |  | 57436 |  | 0 |  | 57436 | 57436 |  |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $0 | 0 | 0 | $ | 2305397 | $ | 0 | $ | $2305397 | 2305397 |  |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | $0 | 0 | 0 | $ | 93 | $ | 0 | $ | $93 | 93 |  |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | $0 | 0 | 0 | $ | (141) | $ | 0 | $ | $(141) | (141) |  |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | 0 | 0 | $ | (48) | $ | 0 | $ | $(48) | (48) |  |
| Totals | Totals | Totals | Totals | Totals | Totals | Totals | Totals | $0 | 0 | 0 | $ | 2305349 | $ | 0 | $ | $2305349 | 2305349 |  |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Moderate Duration Portfolio December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 151.9% ¤** |  |  |
| **CORPORATE BONDS & NOTES 23.2%**  |  |  |
| **BANKING & FINANCE 18.2%**  |  |  |
| **AIA Group Ltd.**  |  |  |
| 3.125% due 03/13/2023  | $1600 | $1594 |
| 3.375% due 04/07/2030  | 7500 | 6607 |
| **American Tower Corp.** <br>2.750% due 01/15/2027 | 6200 | 5629 |
| **Andrew W Mellon Foundation** <br>0.947% due 08/01/2027 | 10000 | 8537 |
| **Aviation Capital Group LLC** <br>4.125% due 08/01/2025 | 600 | 560 |
| **Banco Santander SA** <br>1.849% due 03/25/2026 | 2000 | 1768 |
| **Bank of America Corp.**  |  |  |
| 1.319% due 06/19/2026 •  | 6500 | 5859 |
| 1.658% due 03/11/2027 •  | 11900 | 10541 |
| 1.734% due 07/22/2027 •  | 7200 | 6317 |
| 1.922% due 10/24/2031 •  | 2900 | 2222 |
| 3.093% due 10/01/2025 •  | 11000 | 10546 |
| 3.194% due 07/23/2030 •  | 100 | 86 |
| 3.419% due 12/20/2028 •  | 5842 | 5300 |
| 3.593% due 07/21/2028 •  | 2500 | 2305 |
| 4.920% (SOFRRATE + 0.970%) due 07/22/2027 ~  | 3300 | 3195 |
| **Barclays PLC**  |  |  |
| 2.667% due 03/10/2032 •  | 1400 | 1071 |
| 2.852% due 05/07/2026 •  | 6000 | 5581 |
| 2.894% due 11/24/2032 •  | 8000 | 6112 |
| 4.337% due 01/10/2028  | 10800 | 10053 |
| 4.375% due 01/12/2026  | 2350 | 2277 |
| **BNP Paribas SA**  |  |  |
| 1.323% due 01/13/2027 •  | 4100 | 3588 |
| 1.904% due 09/30/2028 •  | 15000 | 12513 |
| 2.871% due 04/19/2032 •  | 7050 | 5529 |
| 3.052% due 01/13/2031 •  | 4400 | 3615 |
| 3.500% due 11/16/2027  | 1700 | 1565 |
| **BOC Aviation Ltd.** <br>5.849% (US0003M + 1.125%) due 09/26/2023 ~ | 5000 | 4994 |
| **BPCE SA**  |  |  |
| 1.000% due 01/20/2026  | 4200 | 3686 |
| 2.375% due 01/14/2025  | 6900 | 6441 |
| 4.500% due 03/15/2025  | 5000 | 4807 |
| 4.625% due 07/11/2024  | 350 | 341 |
| 5.700% due 10/22/2023  | 500 | 496 |
| **Brighthouse Financial Global Funding** <br>1.550% due 05/24/2026 | 2100 | 1847 |
| **Brookfield Finance, Inc.** <br>4.350% due 04/15/2030 | 550 | 501 |
| **Citigroup, Inc.**  |  |  |
| 2.572% due 06/03/2031 •(b)  | 6600 | 5353 |
| 2.976% due 11/05/2030 •  | 3628 | 3058 |
| 3.980% due 03/20/2030 •  | 2000 | 1808 |
| 5.850% (SOFRRATE + 1.528%) due 03/17/2026 ~(b)  | 5000 | 5015 |
| 6.004% (US0003M + 1.250%) due 07/01/2026 ~  | 8000 | 7970 |
| **Cooperatieve Rabobank UA** <br>1.339% due 06/24/2026 •  | 6000 | 5400 |
| **Credit Agricole SA** <br>3.250% due 10/04/2024 | 5000 | 4816 |
| **Credit Suisse AG** <br>3.625% due 09/09/2024 | 800 | 746 |
| **Credit Suisse Group AG**  |  |  |
| 2.193% due 06/05/2026 •  | 8850 | 7566 |
| 3.091% due 05/14/2032 •  | 6600 | 4573 |
| 3.800% due 06/09/2023  | 6300 | 6136 |
| 4.550% due 04/17/2026  | 4500 | 3974 |
| 6.373% due 07/15/2026 •  | 8000 | 7518 |
| **Crown Castle, Inc.** <br>3.800% due 02/15/2028 | 1500 | 1397 |
| **Deutsche Bank AG**  |  |  |
| 2.222% due 09/18/2024 •  | 5700 | 5507 |
| 3.961% due 11/26/2025 •  | 200 | 191 |
| 4.100% due 01/13/2026  | 100 | 96 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Discover** **Bank** <br>3.450% due 07/27/2026 | 800 | 738 |
| **First American Financial Corp.** <br>2.400% due 08/15/2031 | 2100 | 1540 |
| **GA Global Funding Trust**  |  |  |
| 1.000% due 04/08/2024  | 12500 | 11716 |
| 1.625% due 01/15/2026  | 1600 | 1422 |
| **General Motors Financial Co., Inc.** <br>5.250% due 03/01/2026 | 5000 | 4928 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 1.431% due 03/09/2027 •  | 14100 | 12380 |
| 1.542% due 09/10/2027 •  | 14800 | 12786 |
| 2.640% due 02/24/2028 •  | 1475 | 1315 |
| 3.615% due 03/15/2028 •  | 500 | 466 |
| 3.691% due 06/05/2028 •  | 7175 | 6678 |
| 4.223% due 05/01/2029 •  | 4000 | 3734 |
| 6.162% (SOFRRATE + 1.850%) due 03/15/2028 ~  | 2500 | 2464 |
| **HSBC Holdings PLC**  |  |  |
| 1.645% due 04/18/2026 •  | 10000 | 9034 |
| 2.848% due 06/04/2031 •  | 1550 | 1240 |
| 3.803% due 03/11/2025 •  | 5200 | 5057 |
| 3.950% due 05/18/2024 •  | 6600 | 6549 |
| 3.973% due 05/22/2030 •  | 8400 | 7369 |
| 4.180% due 12/09/2025 •  | 2000 | 1944 |
| 4.292% due 09/12/2026 •  | 1500 | 1436 |
| **ING Groep NV**  |  |  |
| 4.625% due 01/06/2026  | 6900 | 6746 |
| 5.334% (SOFRRATE + 1.010%) due 04/01/2027 ~  | 7500 | 7242 |
| **Invitation Homes Operating Partnership LP** <br>2.000% due 08/15/2031 | 1800 | 1334 |
| **JPMorgan Chase & Co.**  |  |  |
| 1.578% due 04/22/2027 •  | 12100 | 10646 |
| 1.953% due 02/04/2032 •  | 13900 | 10665 |
| 2.739% due 10/15/2030 •  | 2700 | 2270 |
| 3.540% due 05/01/2028 •  | 1000 | 922 |
| 3.782% due 02/01/2028 •  | 2400 | 2246 |
| 4.565% due 06/14/2030 •  | 3125 | 2947 |
| **Kimco Realty Corp.** <br>3.800% due 04/01/2027 | 2000 | 1871 |
| **KKR Group Finance Co. LLC** <br>3.750% due 07/01/2029 | 1600 | 1442 |
| **LeasePlan Corp. NV** <br>2.875% due 10/24/2024 | 2000 | 1878 |
| **Lloyds Banking Group PLC**  |  |  |
| 3.574% due 11/07/2028 •  | 7800 | 7027 |
| 4.450% due 05/08/2025  | 8000 | 7854 |
| 4.550% due 08/16/2028  | 2000 | 1886 |
| **LSEGA Financing PLC** <br>2.000% due 04/06/2028 | 1400 | 1195 |
| **Metropolitan Life Global Funding** <br>1.875% due 01/11/2027 | 5500 | 4873 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 1.412% due 07/17/2025  | 12000 | 10908 |
| 2.048% due 07/17/2030  | 6000 | 4746 |
| 2.757% due 09/13/2026  | 2450 | 2242 |
| 2.801% due 07/18/2024  | 1400 | 1346 |
| 3.850% due 03/01/2026  | 300 | 287 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 1.979% due 09/08/2031 •  | 2000 | 1534 |
| 2.172% due 05/22/2032 •  | 15450 | 11782 |
| 3.477% due 04/12/2026  | 7000 | 6574 |
| **Morgan Stanley**  |  |  |
| 2.239% due 07/21/2032 •  | 1100 | 847 |
| 2.475% due 01/21/2028 •  | 27150 | 24162 |
| 3.591% due 07/22/2028 •  | 3000 | 2756 |
| **Nationwide Building Society** <br>4.363% due 08/01/2024 •  | 5800 | 5725 |
| **NatWest Group PLC**  |  |  |
| 1.642% due 06/14/2027 •  | 10000 | 8666 |
| 4.269% due 03/22/2025 •  | 6000 | 5870 |
| 4.800% due 04/05/2026  | 9000 | 8812 |
| **Nomura Holdings, Inc.** <br>2.648% due 01/16/2025 | 2000 | 1890 |
| **Protective Life Global Funding** <br>1.618% due 04/15/2026 | 3000 | 2697 |
| **RGA Global Funding** <br>2.700% due 01/18/2029 | 2500 | 2123 |
| **Santander U.K. Group Holdings PLC**  |  |  |
| 1.532% due 08/21/2026 •  | 5000 | 4409 |
| 1.673% due 06/14/2027 •  | 3200 | 2725 |
| 2.469% due 01/11/2028 •  | 2700 | 2309 |
| 3.373% due 01/05/2024 •  | 2000 | 2000 |
| 3.823% due 11/03/2028 •  | 4000 | 3581 |
| 4.796% due 11/15/2024 •  | 3250 | 3197 |
| **Santander U.K. PLC** <br>5.000% due 11/07/2023 | 312 | 313 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **SBA** **Tower Trust** <br>1.884% due 07/15/2050 | 8000 | 7046 |
| **Societe Generale SA**  |  |  |
| 2.625% due 01/22/2025  | 3200 | 3011 |
| 4.000% due 01/12/2027  | 2000 | 1855 |
| **Standard Chartered PLC**  |  |  |
| 0.991% due 01/12/2025 •  | 1000 | 945 |
| 2.678% due 06/29/2032 •  | 2900 | 2194 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 2.632% due 07/14/2026  | 3300 | 3026 |
| 2.696% due 07/16/2024  | 6000 | 5758 |
| 3.040% due 07/16/2029  | 7500 | 6501 |
| **Svenska Handelsbanken AB** <br>1.418% due 06/11/2027 •  | 11100 | 9735 |
| **UBS Group AG**  |  |  |
| 2.095% due 02/11/2032 •  | 12000 | 9062 |
| 4.703% due 08/05/2027 •  | 7400 | 7162 |
| **Ventas Realty LP** <br>4.125% due 01/15/2026 | 4000 | 3884 |
| **Wells Fargo & Co.**  |  |  |
| 2.393% due 06/02/2028 •  | 2800 | 2475 |
| 3.000% due 10/23/2026  | 2600 | 2407 |
| 3.550% due 09/29/2025  | 1200 | 1155 |
| 3.584% due 05/22/2028 •  | 1930 | 1795 |
| 4.478% due 04/04/2031 •  | 10000 | 9398 |
| **Welltower, Inc.** <br>4.250% due 04/01/2026 | 1000 | 968 |
|  |  | 582925 |
| **INDUSTRIALS 3.0%**  |  |  |
| **Adventist Health System** <br>2.952% due 03/01/2029 | 4299 | 3689 |
| **Air Canada Pass-Through Trust** <br>3.750% due 06/15/2029 | 378 | 330 |
| **American Airlines Pass-Through Trust**  |  |  |
| 2.875% due 01/11/2036  | 1600 | 1292 |
| 3.375% due 11/01/2028  | 3777 | 3157 |
| 3.650% due 08/15/2030  | 2275 | 2029 |
| 4.000% due 01/15/2027  | 1397 | 1213 |
| **BAT International Finance PLC** <br>3.950% due 06/15/2025 | 5000 | 4807 |
| **Bon Secours Mercy Health, Inc.** <br>3.464% due 06/01/2030 | 12000 | 10752 |
| **British Airways Pass-Through Trust**  |  |  |
| 2.900% due 09/15/2036  | 689 | 563 |
| 4.625% due 12/20/2025  | 111 | 108 |
| **Broadcom, Inc.** <br>4.110% due 09/15/2028 | 4078 | 3800 |
| **CHRISTUS Health** <br>4.341% due 07/01/2028 | 3000 | 2856 |
| **CommonSpirit Health** <br>2.782% due 10/01/2030 | 4700 | 3888 |
| **Continental Airlines Pass-Through Trust** <br>4.000% due 04/29/2026 | 331 | 316 |
| **CVS Health Corp.**  |  |  |
| 3.750% due 04/01/2030  | 5700 | 5181 |
| 4.300% due 03/25/2028  | 438 | 425 |
| **CVS Pass-Through Trust** <br>7.507% due 01/10/2032 | 1040 | 1083 |
| **Georgetown University** <br>2.247% due 04/01/2030 | 4500 | 3671 |
| **Hyundai Capital America** <br>0.800% due 04/03/2023 | 4100 | 4053 |
| **Imperial Brands Finance PLC** <br>3.125% due 07/26/2024 | 5500 | 5261 |
| **JetBlue Pass-Through Trust** <br>2.750% due 11/15/2033 | 6927 | 5702 |
| **Owens Corning** <br>3.400% due 08/15/2026 | 600 | 561 |
| **PeaceHealth Obligated Group** <br>1.375% due 11/15/2025 | 3100 | 2782 |
| **Reliance Steel & Aluminum Co.** <br>1.300% due 08/15/2025 | 4400 | 3980 |
| **Sabine Pass Liquefaction LLC** <br>5.625% due 03/01/2025 | 2000 | 2004 |
| **Sutter Health**  |  |  |
| 2.294% due 08/15/2030  | 7700 | 6245 |
| 3.695% due 08/15/2028  | 4300 | 3965 |
| **United Airlines Pass-Through Trust**  |  |  |
| 2.700% due 11/01/2033  | 1769 | 1432 |
| 3.100% due 01/07/2030  | 883 | 798 |
| 3.450% due 01/07/2030  | 663 | 559 |
| 4.550% due 02/25/2033  | 3716 | 3133 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.875% due 04/15/2029  | 7272 | 7179 |
|  |  | 96814 |
| **UTILITIES 2.0%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.920% (US0003M + 0.480%) due 11/01/2023 ~ | 5600 | 5575 |
| **AT&T, Inc.** <br>4.300% due 02/15/2030 | 5699 | 5380 |
| **Black Hills Corp.** <br>1.037% due 08/23/2024 | 7600 | 7092 |
| **Israel Electric Corp. Ltd.** <br>3.750% due 02/22/2032 | 2300 | 2021 |
| **National Rural Utilities Cooperative Finance Corp.** <br>2.700% due 02/15/2023 | 5000 | 4990 |
| **NBN Co. Ltd.** <br>1.450% due 05/05/2026 | 9000 | 7951 |
| **Pacific Gas & Electric Co.**  |  |  |
| 3.000% due 06/15/2028  | 2400 | 2079 |
| 3.300% due 03/15/2027  | 3000 | 2673 |
| 4.950% due 06/08/2025  | 2000 | 1971 |
| 5.450% due 06/15/2027  | 3500 | 3457 |
| **Sempra Energy** <br>3.400% due 02/01/2028 | 2000 | 1860 |
| **Southern California Gas Co.** <br>5.103% (US0003M + 0.350%) due 09/14/2023 ~ | 2000 | 1995 |
| **Texas Electric Market Stabilization Funding N LLC**  |  |  |
| 4.265% due 08/01/2036  | 10900 | 10369 |
| 4.966% due 02/01/2044  | 4600 | 4371 |
|  |  | 61784 |
| Total Corporate Bonds & Notes (Cost $838,383) |  | 741523 |
| **MUNICIPAL BONDS & NOTES 4.7%**  |  |  |
| **ALABAMA 0.0%**  |  |  |
| **Alabama Economic Settlement Authority Revenue Bonds, Series 2016** <br>4.263% due 09/15/2032 | 1545 | 1438 |
| **CALIFORNIA 1.5%**  |  |  |
| **Bay Area Toll Authority, California Revenue Bonds, Series 2019** <br>2.574% due 04/01/2031 | 8500 | 7455 |
| **California State University Revenue Notes, Series 2020**  |  |  |
| 1.338% due 11/01/2027  | 1000 | 846 |
| 1.490% due 11/01/2028  | 5400 | 4455 |
| 1.690% due 11/01/2029  | 4400 | 3563 |
| 1.740% due 11/01/2030  | 2600 | 2051 |
| **Fresno County, California Revenue Bonds, (NPFGC Insured), Series 2004** <br>0.000% due 08/15/2030 (a) | 4200 | 2766 |
| **Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2021**  |  |  |
| 1.711% due 06/01/2024  | 3300 | 3142 |
| 2.332% due 06/01/2027  | 8000 | 7006 |
| **Los Angeles County, California Redevelopment Refunding Authority Redev Agency Successor Agy Tax Allocation Notes, Series 2016** <br>2.000% due 09/01/2023 | 400 | 392 |
| **Marin County, California Revenue Bonds, (NPFGC Insured), Series 2003** <br>5.410% due 08/01/2026 | 2495 | 2516 |
| **Monterey Park, California Revenue Notes, Series 2021**  |  |  |
| 1.630% due 06/01/2028  | 250 | 209 |
| 1.893% due 06/01/2030  | 300 | 240 |
| **Riverside, California Electric Revenue Bonds, (BABs), Series 2010** <br>7.605% due 10/01/2040 | 500 | 606 |
| **San Francisco, California Public Utilities Commission Water Revenue Bonds, (BABs), Series 2010** <br>5.500% due 11/01/2025 | 3975 | 4030 |
| **University of California Revenue Notes, Series 2017**  |  |  |
| 2.719% due 05/15/2024  | 500 | 487 |
| 3.063% due 07/01/2025  | 5200 | 5003 |
| **University of California Revenue Notes, Series 2020**  |  |  |
| 1.316% due 05/15/2027  | 1200 | 1036 |
| 1.366% due 05/15/2027  | 3000 | 2595 |
|  |  | 48398 |
| **FLORIDA 0.0%**  |  |  |
| **Miami-Dade County, Florida Aviation Revenue Notes, Series 2018** <br>3.405% due 10/01/2024 | 300 | 293 |
| **Miami-Dade County, Florida Revenue Notes, Series 2021** <br>1.936% due 10/01/2028 | 1000 | 840 |
|  |  | 1133 |
| **HAWAII 0.4%**  |  |  |
| **Hawaii State General Obligation Notes, Series 2020**  |  |  |
| 0.802% due 10/01/2024  | 10670 | 10005 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0.852% due 10/01/2025  | 3850 | 3487 |
|  |  | 13492 |
| **IDAHO 0.2%**  |  |  |
| **Idaho Energy Resources Authority Revenue Notes, Series 2017**  |  |  |
| 2.297% due 09/01/2023  | 2100 | 2075 |
| 2.447% due 09/01/2024  | 4400 | 4266 |
|  |  | 6341 |
| **KANSAS 0.1%**  |  |  |
| **Wyandotte County-Kansas City Unified Government Utility System, Kansas Revenue Notes, Series 2020**  |  |  |
| 1.861% due 09/01/2028  | 2000 | 1709 |
| 1.961% due 09/01/2029  | 600 | 502 |
|  |  | 2211 |
| **MICHIGAN 0.1%**  |  |  |
| **Michigan Finance Authority Revenue Notes, Series 2019**  |  |  |
| 2.466% due 12/01/2025  | 1100 | 1030 |
| 2.596% due 12/01/2026  | 1400 | 1286 |
|  |  | 2316 |
| **NEW JERSEY 0.1%**  |  |  |
| **New Jersey Economic Development Authority Revenue Bonds, (AGM Insured), Series 1997** <br>0.000% due 02/15/2024 (a) | 4300 | 4073 |
| **NEW YORK 1.1%**  |  |  |
| **Metropolitan Transportation Authority, New York Revenue Bonds, (BABs), Series 2010**  |  |  |
| 5.355% due 11/15/2023  | 600 | 603 |
| 6.814% due 11/15/2040  | 500 | 524 |
| **New York City Transitional Finance Authority Future Tax Secured, New York Revenue Bonds, Series 2010** <br>5.008% due 08/01/2027 | 900 | 899 |
| **New York City Transitional Finance Authority Future Tax Secured, New York Revenue Notes, Series 2018** <br>3.250% due 08/01/2023 | 805 | 799 |
| **New York City Transitional Finance Authority Future Tax Secured, New York Revenue Notes, Series 2019**  |  |  |
| 2.010% due 05/01/2025  | 3000 | 2805 |
| 2.980% due 11/01/2027  | 7000 | 6340 |
| **New York State Dormitory Authority Revenue Notes, Series 2020** <br>2.727% due 02/15/2029 | 2145 | 1857 |
| **New York State Thruway Authority Revenue Bonds, Series 2019** <br>2.900% due 01/01/2035 | 2100 | 1726 |
| **New York State Urban Development Corp. Revenue Notes, Series 2019** <br>2.150% due 03/15/2025 | 5600 | 5295 |
| **New York State Urban Development Corp. Revenue Notes, Series 2020**  |  |  |
| 1.496% due 03/15/2027  | 9400 | 8194 |
| 1.777% due 03/15/2028  | 4000 | 3431 |
| **Port Authority of New York & New Jersey Revenue Bonds, Series 2009** <br>5.859% due 12/01/2024 | 2500 | 2530 |
|  |  | 35003 |
| **OHIO 0.2%**  |  |  |
| **JobsOhio Beverage System Revenue Bonds, Series 2013** <br>3.985% due 01/01/2029 | 6035 | 5855 |
| **SOUTH DAKOTA 0.1%**  |  |  |
| **Educational Enhancement Funding Corp., South Dakota Revenue Notes, Series 2021**  |  |  |
| 1.245% due 06/01/2025  | 1800 | 1644 |
| 1.495% due 06/01/2026  | 2500 | 2210 |
|  |  | 3854 |
| **TEXAS 0.3%**  |  |  |
| **Houston Community College System, Texas General Obligation Notes, Series 2021** <br>5.000% due 02/15/2029 | 2000 | 1978 |
| **North Texas Tollway Authority Revenue Notes, Series 2020** <br>1.464% due 01/01/2027 | 2750 | 2398 |
| **Texas Transportation Commission State Highway Fund Revenue Bonds, (BABs), Series 2010** <br>5.028% due 04/01/2026 | 2205 | 2220 |
| **Texas Transportation Commission State Highway Fund Revenue Bonds, Series 2020** <br>4.000% due 10/01/2033 | 2500 | 2277 |
|  |  | 8873 |
| **UTAH 0.1%**  |  |  |
| **Utah Municipal Power Agency Revenue Bonds, Series 2016** <br>3.237% due 07/01/2028 | 2000 | 1829 |
| **Utah State General Obligation Bonds, (BABs), Series 2009** <br>4.554% due 07/01/2024 | 260 | 259 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Utah** **State General Obligation Bonds, (BABs), Series 2010** <br>3.539% due 07/01/2025 | 367 | 360 |
|  |  | 2448 |
| **WEST VIRGINIA 0.3%**  |  |  |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Notes, Series 2020**  |  |  |
| 1.820% due 06/01/2026  | 3300 | 2926 |
| 2.020% due 06/01/2027  | 4400 | 3796 |
| 2.351% due 06/01/2028  | 3000 | 2546 |
|  |  | 9268 |
| **WISCONSIN 0.2%**  |  |  |
| **Wisconsin State Revenue Notes, Series 2020**  |  |  |
| 2.196% due 05/01/2027  | 3300 | 2964 |
| 2.299% due 05/01/2028  | 2100 | 1850 |
|  |  | 4814 |
| Total Municipal Bonds & Notes (Cost $167,082) |  | 149517 |
| **U.S. GOVERNMENT AGENCIES 39.6%**  |  |  |
| **Fannie Mae**  |  |  |
| 0.750% due 11/25/2050 | 15854 | 11658 |
| 3.190% due 03/25/2036 •  | 340 | 330 |
| 3.289% due 11/25/2046 •  | 2202 | 2142 |
| 3.308% due 11/25/2046 •  | 238 | 231 |
| 3.333% due 12/25/2056 ~ | 1548 | 1502 |
| 3.398% due 12/25/2046 •  | 2726 | 2661 |
| 3.448% due 11/25/2046 ~ | 215 | 209 |
| 3.457% due 01/25/2047 •  | 2454 | 2369 |
| 3.489% due 07/25/2046 •  | 113 | 110 |
| 3.547% due 10/25/2046 •  | 3753 | 3657 |
| 3.671% due 07/01/2034 •  | 137 | 139 |
| 3.830% due 10/01/2037 •  | 185 | 189 |
| 4.266% due 11/25/2045 •  | 418 | 406 |
| 4.629% due 06/25/2037 ~ | 162 | 158 |
| 4.689% due 12/25/2045 ~ | 260 | 254 |
| 4.739% due 03/25/2035 - 03/25/2046 •  | 504 | 492 |
| 5.119% due 06/25/2040 •  | 170 | 168 |
| **Freddie Mac**  |  |  |
| 1.000% due 12/15/2040 - 05/25/2047 | 28877 | 25387 |
| 1.250% due 12/15/2044 | 1710 | 1381 |
| 2.491% due 12/25/2028 | 4948 | 4634 |
| 2.500% due 09/25/2048 | 4685 | 4245 |
| 3.000% due 10/01/2046 - 05/01/2048 | 15062 | 13429 |
| 3.106% due 08/15/2040 ~ | 1313 | 1277 |
| 3.210% due 07/15/2040 •  | 2232 | 2222 |
| 3.258% due 10/15/2040 ~ | 1203 | 1172 |
| 3.414% due 07/15/2041 ~ | 3723 | 3704 |
| 3.500% due 06/01/2044 - 10/01/2048 | 1046 | 974 |
| 3.604% due 10/15/2037 ~ | 3657 | 3596 |
| 3.665% due 03/15/2042 •  | 2565 | 2565 |
| 4.000% due 09/01/2048 - 05/01/2049 | 9850 | 9407 |
| 4.500% due 10/01/2048 - 02/01/2049 | 3843 | 3771 |
| 4.618% due 09/15/2035 ~ | 9 | 9 |
| 4.718% due 02/15/2041 ~ | 193 | 189 |
| 4.768% due 04/15/2041 •  | 58 | 57 |
| 4.788% due 11/15/2036 •  | 53 | 52 |
| 4.868% due 04/15/2041 ~ | 234 | 230 |
| 4.868% due 04/15/2041 •  | 234 | 230 |
| **Ginnie Mae**  |  |  |
| 1.500% due 10/20/2045 | 6116 | 5265 |
| 3.000% due 01/20/2067 | 5278 | 5064 |
| 3.114% due 04/20/2066 •  | 5732 | 5648 |
| 3.430% due 03/20/2066 ~ | 2233 | 2207 |
| 3.494% due 12/20/2064 •  | 3497 | 3428 |
| 3.500% due 09/20/2045 | 1574 | 1468 |
| 3.547% due 04/20/2066 ~ | 6039 | 5966 |
| 3.613% due 09/20/2065 •  | 3318 | 3289 |
| 3.672% due 01/20/2067 •  | 4700 | 4653 |
| 4.292% due 08/20/2066 •  | 1 | 1 |
| 4.382% due 07/20/2063 ~ | 1149 | 1142 |
| 4.393% due 12/20/2066 •  | 4746 | 4714 |
| 4.412% due 06/20/2065 •  | 7561 | 7460 |
| 4.417% due 07/20/2065 •  | 234 | 232 |
| 4.442% due 03/20/2065 ~ | 3404 | 3361 |
| 4.492% due 11/20/2065 - 06/20/2066 ~ | 5603 | 5580 |
| 4.511% due 09/20/2065 •  | 288 | 284 |
| 4.522% due 08/20/2061 ~ | 1 | 1 |
| 4.572% due 09/20/2063 •  | 113 | 113 |
| 4.592% due 10/20/2063 ~ | 165 | 164 |
| 4.612% due 02/20/2066 ~ | 26 | 26 |
| 4.642% due 05/20/2066 •  | 3217 | 3177 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Ginnie** **Mae, TBA**<br>2.500% due 01/01/2053 - 02/01/2053 | 120300 | 104364 |
| **Tennessee Valley Authority STRIPS**<br>7.125% due 05/01/2030 | 10000 | 11593 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.000% due 01/01/2035 - 03/01/2050 | 20186 | 18101 |
| 3.500% due 03/01/2024 - 07/01/2048 | 8582 | 8166 |
| 4.000% due 05/01/2047 - 09/01/2048 | 5391 | 5148 |
| 4.500% due 08/01/2048 | 4580 | 4476 |
| 5.000% due 04/01/2023 - 11/01/2044 | 2001 | 2025 |
| 5.500% due 04/01/2023 - 02/01/2042 | 878 | 905 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 2.500% due 02/01/2053 | 158300 | 134220 |
| 3.000% due 02/01/2052 - 02/01/2053  | 556500 | 488939 |
| 3.500% due 02/01/2053 | 205500 | 186841 |
| 4.000% due 03/01/2053 | 32200 | 30218 |
| 4.500% due 02/01/2053 | 108400 | 104355 |
| Total U.S. Government Agencies (Cost $1,301,234) |  | 1267800 |
| **U.S. TREASURY OBLIGATIONS 16.9%**  |  |  |
| **U.S. Treasury Notes**  |  |  |
| 0.750% due 01/31/2028 | 50000 | 42527 |
| 1.125% due 02/29/2028 | 42800 | 37067 |
| 1.250% due 04/30/2028 (e) | 21500 | 18658 |
| 2.500% due 03/31/2027 | 231200 | 217003 |
| 2.625% due 07/31/2029 | 60000 | 55262 |
| 2.875% due 04/30/2029 | 60000 | 56202 |
| 3.875% due 11/30/2027 | 35700 | 35510 |
| 4.500% due 11/30/2024 | 80000 | 80010 |
| Total U.S. Treasury Obligations (Cost $579,552) |  | 542239 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 7.9%**  |  |  |
| **225 Liberty Street Trust** <br>3.597% due 02/10/2036 | 1200 | 1095 |
| **Banc of America Commercial Mortgage Trust** <br>3.441% due 09/15/2048 | 4174 | 3947 |
| **BANK**  |  |  |
| 1.805% due 11/15/2053  | 6000 | 5075 |
| 2.808% due 10/17/2052  | 1600 | 1452 |
| 2.897% due 11/15/2062  | 3728 | 3413 |
| 2.933% due 09/15/2062  | 10300 | 9336 |
| 3.432% due 05/15/2062  | 2000 | 1865 |
| 3.623% due 04/15/2052  | 2500 | 2358 |
| **Benchmark Mortgage Trust**  |  |  |
| 2.615% due 12/15/2054  | 1626 | 1411 |
| 2.888% due 08/15/2057  | 4319 | 3932 |
| 2.957% due 12/15/2062  | 6100 | 5598 |
| 3.780% due 02/15/2051 ~  | 1100 | 1058 |
| 4.232% due 01/15/2052  | 5700 | 5444 |
| **BX Commercial Mortgage Trust** <br>5.048% due 10/15/2036 •  | 1192 | 1147 |
| **Cantor Commercial Real Estate Lending** <br>2.817% due 11/15/2052 | 8300 | 7522 |
| **Commercial Mortgage Trust**  |  |  |
| 2.873% due 08/15/2057  | 1700 | 1542 |
| 3.091% due 10/10/2049  | 3700 | 3399 |
| 3.432% due 08/10/2048  | 954 | 909 |
| 3.497% due 05/10/2048  | 1500 | 1426 |
| 3.510% due 09/10/2050  | 4200 | 3863 |
| 3.694% due 08/10/2047  | 2200 | 2128 |
| 3.796% due 08/10/2047  | 3250 | 3145 |
| 3.902% due 07/10/2050  | 2200 | 2109 |
| 4.228% due 05/10/2051  | 3800 | 3586 |
| **Credit Suisse Commercial Mortgage Trust** <br>5.285% due 06/15/2034 •  | 135 | 128 |
| **Credit Suisse Mortgage Capital Trust** <br>5.668% due 10/15/2037 •  | 5300 | 5175 |
| **CSAIL Commercial Mortgage Trust**  |  |  |
| 2.957% due 09/15/2052  | 9031 | 8277 |
| 3.808% due 11/15/2048  | 5600 | 5337 |
| **DBUBS Mortgage Trust** <br>3.452% due 10/10/2034 | 6100 | 5740 |
| **Extended Stay America Trust** <br>5.398% due 07/15/2038 ~ | 25283 | 24593 |
| **GS Mortgage Securities Corp.** <br>7.736% due 08/15/2039 ~ | 1700 | 1716 |
| **GS Mortgage Securities Corp. Trust** <br>3.419% due 10/10/2032 | 1410 | 1374 |
| **GS Mortgage Securities Trust**  |  |  |
| 3.396% due 02/10/2048  | 2600 | 2492 |
| 3.801% due 01/10/2047  | 2246 | 2210 |
| 3.871% due 07/10/2046 ~  | 7000 | 6957 |
| **HPLY Trust** <br>5.318% due 11/15/2036 •  | 4211 | 4110 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Independence** **Plaza Trust** <br>3.763% due 07/10/2035 | 3300 | 3095 |
| **JP Morgan Chase Commercial Mortgage Securities Trust** <br>5.418% due 12/15/2036 •  | 6000 | 5568 |
| **JPMBB Commercial Mortgage Securities Trust**  |  |  |
| 3.144% due 06/15/2049  | 2900 | 2687 |
| 3.611% due 05/15/2048  | 2000 | 1905 |
| 3.639% due 11/15/2047  | 3000 | 2885 |
| 3.670% due 09/15/2047  | 1690 | 1635 |
| 3.801% due 08/15/2048  | 1302 | 1239 |
| **JPMDB Commercial Mortgage Securities Trust**  |  |  |
| 2.982% due 11/13/2052  | 3200 | 2904 |
| 2.994% due 12/15/2049  | 238 | 226 |
| **LUXE Commercial Mortgage Trust** <br>5.368% due 10/15/2038 ~ | 1038 | 995 |
| **Morgan Stanley Bank of America Merrill Lynch Trust** <br>3.306% due 04/15/2048 | 2000 | 1897 |
| **Morgan Stanley Capital Trust**  |  |  |
| 2.606% due 08/15/2049  | 995 | 944 |
| 3.067% due 11/15/2052  | 6200 | 5660 |
| 3.587% due 12/15/2050  | 700 | 647 |
| 3.809% due 12/15/2048  | 2000 | 1892 |
| 5.487% due 12/15/2023 •  | 8300 | 7960 |
| **NYO Commercial Mortgage Trust** <br>5.413% due 11/15/2038 ~ | 18000 | 16369 |
| **SFO Commercial Mortgage Trust** <br>5.468% due 05/15/2038 ~ | 7100 | 6527 |
| **SREIT Trust** <br>5.018% due 10/15/2038 ~ | 3500 | 3366 |
| **UBS Commercial Mortgage Trust**  |  |  |
| 2.866% due 10/15/2052  | 7069 | 6406 |
| 2.987% due 12/15/2052  | 930 | 845 |
| 3.366% due 10/15/2050  | 2559 | 2431 |
| 3.504% due 12/15/2050  | 8252 | 7895 |
| 3.903% due 02/15/2051  | 3500 | 3366 |
| 4.195% due 08/15/2051  | 1200 | 1153 |
| **Wells Fargo Commercial Mortgage Trust**  |  |  |
| 2.651% due 02/15/2053  | 1400 | 1254 |
| 2.652% due 08/15/2049  | 1600 | 1448 |
| 2.788% due 07/15/2048  | 168 | 161 |
| 3.306% due 05/15/2048  | 124 | 120 |
| 3.311% due 06/15/2052  | 4750 | 4231 |
| 3.461% due 07/15/2058  | 448 | 436 |
| 3.540% due 05/15/2048  | 1500 | 1429 |
| 4.147% due 06/15/2051  | 1400 | 1352 |
| 5.328% due 02/15/2037 •  | 6700 | 6451 |
| Total Non-Agency Mortgage-Backed Securities (Cost $275,719) |  | 252248 |
| **ASSET-BACKED SECURITIES 9.9%**  |  |  |
| **ACREC Ltd.** <br>5.476% due 10/16/2036 ~ | 4400 | 4242 |
| **American Express Credit Account Master Trust** <br>4.950% due 10/15/2027 | 2500 | 2521 |
| **Anchorage Capital CLO Ltd.**  |  |  |
| 5.219% due 07/15/2032 •  | 15500 | 15116 |
| 5.465% due 07/22/2032 ~  | 4000 | 3914 |
| **Apex Credit CLO Ltd.** <br>5.736% due 09/20/2029 ~ | 3291 | 3238 |
| **Apidos CLO** <br>5.094% due 07/18/2029 •  | 900 | 889 |
| **Apres Static CLO Ltd.** <br>5.149% due 10/15/2028 ~ | 4712 | 4657 |
| **Arbor Realty Commercial Real Estate Notes Ltd.** <br>5.668% due 11/15/2036 •  | 8900 | 8606 |
| **AREIT Trust**  |  |  |
| 5.076% due 01/16/2037 ~  | 5704 | 5451 |
| 5.419% due 11/17/2038 ~  | 3638 | 3483 |
| 5.710% due 09/14/2036 ~  | 117 | 115 |
| 6.567% due 06/17/2039 ~  | 3200 | 3177 |
| **Ares CLO Ltd.**  |  |  |
| 5.244% due 04/18/2031 •  | 10200 | 10021 |
| 5.375% due 04/22/2031 •  | 6000 | 5899 |
| **BDS Ltd.**  |  |  |
| 5.689% due 12/16/2036 ~  | 4000 | 3881 |
| 6.461% due 08/19/2038 ~  | 3300 | 3253 |
| **Birch Grove CLO Ltd.** <br>5.899% due 06/15/2031 ~ | 1200 | 1181 |
| **BXMT Ltd.** <br>5.322% due 11/15/2037 ~ | 8000 | 7877 |
| **Carlyle U.S. CLO Ltd.** <br>5.243% due 04/20/2031 •  | 4500 | 4428 |
| **Carrington Mortgage Loan Trust** <br>5.363% due 10/20/2029 •  | 3291 | 3252 |
| **Catamaran CLO Ltd.** <br>5.425% due 04/22/2030 •  | 14724 | 14514 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **CLNC** **Ltd.** <br>5.689% due 08/20/2035 •  | 3609 | 3547 |
| **ECMC Group Student Loan Trust**  |  |  |
| 5.139% due 02/27/2068 •  | 3853 | 3667 |
| 5.189% due 09/25/2068 ~  | 5178 | 4937 |
| 5.389% due 01/27/2070 •  | 7656 | 7608 |
| 5.439% due 05/25/2067 ~  | 3119 | 3007 |
| **Gallatin CLO Ltd.** <br>5.169% due 07/15/2031 ~ | 3180 | 3125 |
| **GPMT Ltd.**  |  |  |
| 5.589% due 07/16/2035 •  | 6001 | 5889 |
| 5.711% due 12/15/2036 •  | 1500 | 1451 |
| **KKR CLO Ltd.** <br>5.134% due 07/18/2030 ~ | 1792 | 1775 |
| **LCCM Trust** <br>5.518% due 12/13/2038 ~ | 1000 | 970 |
| **LoanCore Issuer Ltd.** <br>5.618% due 11/15/2038 ~ | 6100 | 5833 |
| **MF1 LLC** <br>6.956% due 09/17/2037 ~ | 2900 | 2889 |
| **MF1 Ltd.** <br>6.150% due 11/15/2035 ~ | 5648 | 5576 |
| **MF1 Multifamily Housing Mortgage Loan Trust** <br>5.300% due 07/15/2036 ~ | 10213 | 9969 |
| **MMAF Equipment Finance LLC** <br>5.610% due 07/10/2028 | 8800 | 8911 |
| **Mountain View CLO LLC** <br>5.169% due 10/16/2029 •  | 1868 | 1848 |
| **Navient Private Education Loan Trust** <br>5.768% due 07/16/2040 •  | 3869 | 3815 |
| **Navient Private Education Refi Loan Trust**  |  |  |
| 5.218% due 01/15/2043 ~  | 1094 | 1078 |
| 5.318% due 04/15/2069 ~  | 2217 | 2158 |
| **Navient Student Loan Trust** <br>5.189% due 07/26/2066 ~ | 2785 | 2716 |
| **Nelnet Student Loan Trust** <br>4.989% due 03/25/2030 •  | 414 | 413 |
| **Oaktree CLO Ltd.** <br>5.363% due 10/20/2032 ~ | 1500 | 1455 |
| **OCP CLO Ltd.** <br>5.363% due 07/20/2029 ~ | 3940 | 3904 |
| **OSD CLO Ltd.** <br>4.949% due 04/17/2031 ~ | 7372 | 7253 |
| **OZLM Ltd.** <br>5.403% due 07/20/2032 ~ | 5200 | 5074 |
| **Palmer Square Loan Funding Ltd.** <br>5.043% due 07/20/2029 ~ | 6452 | 6377 |
| **Pawneee Equipment Receivables LLC** <br>5.170% due 02/15/2028 | 2700 | 2659 |
| **PFP Ltd.**  |  |  |
| 5.326% due 08/09/2037 •  | 7010 | 6710 |
| 6.600% due 08/19/2035 ~  | 3000 | 2947 |
| **Rad CLO Ltd.** <br>5.445% due 07/24/2032 ~ | 2800 | 2733 |
| **Ready Capital Mortgage Financing LLC** <br>5.389% due 04/25/2038 •  | 3292 | 3204 |
| **Romark CLO Ltd.** <br>5.355% due 10/23/2030 ~ | 4000 | 3929 |
| **Saranac CLO Ltd.** <br>5.873% due 08/13/2031 ~ | 2000 | 1938 |
| **SBA Tower Trust** <br>3.869% due 10/15/2049 þ | 1700 | 1626 |
| **Shackleton CLO Ltd.** <br>5.163% due 10/20/2027 •  | 1030 | 1025 |
| **SLC Student Loan Trust**  |  |  |
| 4.666% due 05/15/2029 ~  | 1619 | 1565 |
| 5.574% due 11/25/2042 ~  | 514 | 510 |
| **SLM Private Education Loan Trust** <br>9.068% due 10/15/2041 •  | 3671 | 3942 |
| **SLM Student Loan Trust**  |  |  |
| 4.478% due 01/25/2027 •  | 113 | 113 |
| 4.498% due 10/25/2028 •  | 1409 | 1402 |
| 4.958% due 10/25/2029 ~  | 1655 | 1643 |
| **SMB Private Education Loan Trust** <br>5.048% due 01/15/2053 •  | 4067 | 3896 |
| **Starwood Commercial Mortgage Trust** <br>5.526% due 04/18/2038 ~ | 10000 | 9696 |
| **TICP CLO Ltd.** <br>5.083% due 04/20/2028 ~ | 1214 | 1210 |
| **TPG Real Estate Finance Issuer Ltd.**  |  |  |
| 5.458% due 02/15/2039 ~  | 5000 | 4884 |
| 5.590% due 10/15/2034 •  | 1693 | 1672 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 07/15/2027 •  | 201 | 202 |
| 5.233% due 07/20/2030 •  | 10700 | 10512 |
| 5.263% due 04/20/2029 ~  | 2310 | 2287 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.293% due 07/20/2030 ~  | 4097 | 4003 |
| 5.575% due 07/30/2032 •  | 3000 | 2908 |
| **Vibrant CLO Ltd.** <br>5.363% due 07/20/2032 •  | 10300 | 10133 |
| **VMC Finance LLC** <br>5.439% due 06/16/2036 ~ | 2427 | 2278 |
| **Voya CLO Ltd.** <br>5.029% due 04/17/2030 •  | 7467 | 7375 |
| **Wellfleet CLO Ltd.** <br>5.133% due 04/20/2029 •  | 4247 | 4196 |
| Total Asset-Backed Securities (Cost $322,555) |  | 316158 |
| **SOVEREIGN ISSUES 0.2%**  |  |  |
| **Export-Import Bank of Korea** <br>1.875% due 02/12/2025 | 6400 | 6018 |
| Total Sovereign Issues (Cost $6,392) |  | 6018 |
| **SHORT-TERM INSTRUMENTS 49.5%**  |  |  |
| **REPURCHASE AGREEMENTS (c) 44.5%** |  | 1424636 |
| **SHORT-TERM NOTES 5.0%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.310% due 01/03/2023 - 01/04/2023 •  | 63600 | 63600 |
| 4.320% due 01/06/2023 - 01/24/2023 •  | 64400 | 64400 |
| 4.325% due 02/06/2023 •  | 32200 | 32201 |
|  |  | 160201 |
| Total Short-Term Instruments (Cost $1,584,836) |  | 1584837 |
| Total Investments in Securities (Cost $5,075,753) |  | 4860340 |
| Total Investments 151.9% (Cost $5,075,753) |  | $4860340 |
| **Financial Derivative Instruments (d)(g) (0.0)**%(Cost or Premiums, net $(58)) |  | (206) |
| Other Assets and Liabilities, net (51.9)% |  | (1660986) |
| Net Assets 100.0% |  | $3199148 |

---

------

<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(b)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Issuer Description | Issuer Description | Coupon | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Cost | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 2.572 | 06/03/2031 | 06/03/2031 | 06/03/2031 | 05/26/2020 | 05/26/2020 | 6600 | 6600 | 6600 | 6600 | $ | 5353 | 5353 | 0.17 | % |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 5.850 | 03/17/2026 | 03/17/2026 | 03/17/2026 | 03/10/2022 | 03/10/2022 | 5000 | 5000 | 5000 | 5000 |  | 5015 | 5015 | 0.15 |  |
|  |  |  |  |  |  |  |  |  |  | $ | 11600 | 11600 | 11600 | $ | $ | 10368 | 0.32%  | 0.32%  | 0.32%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(c)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BPS | BPS | 4.150%  | 12/30/2022 | 01/03/2023 | 608400 | 608400 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 02/28/2027 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 02/28/2027 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 02/28/2027 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 02/28/2027 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 02/28/2027 | $(619889) | (619889) | (619889) | (619889) | 608400 | $ | $608680 | 608680 |
| BRC | BRC | 4.260  | 01/03/2023 | 01/04/2023 | 633500 | 633500 | &nbsp;&nbsp; U.S. Treasury Bonds 3.125% - 4.750% due 02/15/2041 - 05/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.125% - 4.750% due 02/15/2041 - 05/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.125% - 4.750% due 02/15/2041 - 05/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.125% - 4.750% due 02/15/2041 - 05/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.125% - 4.750% due 02/15/2041 - 05/15/2048 | (643507) | (643507) | (643507) | (643507) | 633500 |  | 633500 | 633500 |
| FICC | FICC | 1.900  | 12/30/2022 | 01/03/2023 | 336 | 336 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | (343) | (343) | (343) | (343) | 336 |  | 336 | 336 |
|  |  | 4.280  | 12/30/2022 | 01/03/2023 | 104200 | 104200 | &nbsp;&nbsp; U.S. Treasury Notes 3.250% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.250% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.250% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.250% due 06/30/2029 | &nbsp;&nbsp; U.S. Treasury Notes 3.250% due 06/30/2029 | (106284) | (106284) | (106284) | (106284) | 104200 |  | 104250 | 104250 |
| MBC | MBC | 4.310  | 12/28/2022 | 01/04/2023 | 78200 | 78200 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.750% due 02/15/2042 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.750% due 02/15/2042 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.750% due 02/15/2042 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.750% due 02/15/2042 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.750% due 02/15/2042 | (80464) | (80464) | (80464) | (80464) | 78200 |  | 78256 | 78256 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | $**(1450487)** | **(1450487)** | **(1450487)** | **(1450487)** | **1424636** | **$** | $**1425022** | **1425022** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **(d)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description | # of<br>Contracts | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 748 | 748 | 748 | $153398 | 153398 | 101 | 101 | 101 | 101 | $ | $0 | 0 | $ | (117) | (117) |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 1070 | 1070 | 1070 | 115485 | 115485 | (171) | (171) | (171) | (171) |  | 0 | 0 |  | (92) | (92) |
|  |  |  |  |  |  |  |  |  |  | (70) | (70) | (70) | $ | $ | 0 | $ | $ | (209) | (209) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description | # of<br>Contracts | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 8 | 8 | 8 | $(946) | (946) | 5 | 5 | 5 | 5 | $ | $1 | 1 | $ | 0 | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(65)** | **(65)** | **(65)** | **$** | **$** | **1** | **$** | **$** | **(209)** | **(209)** |

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<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset | Liability |
| AT&T, Inc.  | 06/20/2024 | 0.901 | $7600 | 7600 | 0 | 0 | 14 | 14 | 14 | 14 | 0 | 0 |
| AT&T, Inc.  | 06/20/2025 | 0.947 | 3900 | 3900 | (147) | (147) | 153 | 153 | 6 | 6 | 0 | (1) |
| AT&T, Inc.  | 12/20/2025 | 0.967 | 900 | 900 | 12 | 12 | (11) | (11) | 1 | 1 | 0 | 1 |
| AT&T, Inc.  | 06/20/2026 | 0.998 | 3800 | 3800 | 58 | 58 | (56) | (56) | 2 | 2 | 0 | (1) |
| AT&T, Inc.  | 12/20/2026 | 1.022 | 900 | 900 | 8 | 8 | (8) | (8) | 0 | 0 | 0 | 0 |
| Boeing Co.  | 12/20/2026 | 1.297 | 3500 | 3500 | (22) | (22) | (14) | (14) | (36) | (36) | 2 | 0 |
| General Electric Co.  | 12/20/2026 | 0.870 | 1800 | 1800 | 24 | 24 | (15) | (15) | 9 | 9 | 0 | 0 |
|  |  |  |  |  | $(67) | (67) | $63 | 63 | $(4) | (4) | 2 | $(1) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset | Liability |
| CDX.IG-39 5-Year Index  | 12/20/2027 | 12/20/2027 | 32500 | 32500 | 9 | 9 | 263 | 263 | 272 | 272 | 1 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(58)** | **(58)** | **326** | **326** | **268** | **268** | **3** | **(1)** |
| **(e)** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $4,389 and cash of $15,466 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | $ | 582925 | $ | 0 | $ | $582925 |  |
| Industrials | Industrials | Industrials | Industrials | 0 | 0 |  | 96814 |  | 0 |  | 96814 |  |
| Utilities | Utilities | Utilities | Utilities | 0 | 0 |  | 61784 |  | 0 |  | 61784 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| Alabama | Alabama | Alabama | Alabama | 0 | 0 |  | 1438 |  | 0 |  | 1438 |  |
| California | California | California | California | 0 | 0 |  | 48398 |  | 0 |  | 48398 |  |
| Florida | Florida | Florida | Florida | 0 | 0 |  | 1133 |  | 0 |  | 1133 |  |
| Hawaii | Hawaii | Hawaii | Hawaii | 0 | 0 |  | 13492 |  | 0 |  | 13492 |  |
| Idaho | Idaho | Idaho | Idaho | 0 | 0 |  | 6341 |  | 0 |  | 6341 |  |
| Kansas | Kansas | Kansas | Kansas | 0 | 0 |  | 2211 |  | 0 |  | 2211 |  |
| Michigan | Michigan | Michigan | Michigan | 0 | 0 |  | 2316 |  | 0 |  | 2316 |  |
| New Jersey | New Jersey | New Jersey | New Jersey | 0 | 0 |  | 4073 |  | 0 |  | 4073 |  |
| New York | New York | New York | New York | 0 | 0 |  | 35003 |  | 0 |  | 35003 |  |
| Ohio | Ohio | Ohio | Ohio | 0 | 0 |  | 5855 |  | 0 |  | 5855 |  |
| South Dakota | South Dakota | South Dakota | South Dakota | 0 | 0 |  | 3854 |  | 0 |  | 3854 |  |
| Texas | Texas | Texas | Texas | 0 | 0 |  | 8873 |  | 0 |  | 8873 |  |
| Utah | Utah | Utah | Utah | 0 | 0 |  | 2448 |  | 0 |  | 2448 |  |
| West Virginia | West Virginia | West Virginia | West Virginia | 0 | 0 |  | 9268 |  | 0 |  | 9268 |  |
| Wisconsin | Wisconsin | Wisconsin | Wisconsin | 0 | 0 |  | 4814 |  | 0 |  | 4814 |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 |  | 1267800 |  | 0 |  | 1267800 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 |  | 542239 |  | 0 |  | 542239 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 |  | 252248 |  | 0 |  | 252248 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 |  | 316158 |  | 0 |  | 316158 |  |
| Sovereign Issues | Sovereign Issues | Sovereign Issues | Sovereign Issues | 0 | 0 |  | 6018 |  | 0 |  | 6018 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 |  | 1424636 |  | 0 |  | 1424636 |  |

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<br> Schedule of Investments PIMCO Moderate Duration Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Short-Term Notes | 0 | 160201 | 0 | 160201 |
| Total Investments | $0 | $4860340 | $0 | $4860340 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | $0 | $4 | $0 | $4 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | $0 | $(210) | $0 | $(210) |
| Total Financial Derivative Instruments | $0 | $(206) | $0 | $(206) |
| Totals | $0 | $4860134 | $0 | $4860134 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 333.7% ¤** |  |  |
| **CORPORATE BONDS & NOTES 0.1%**  |  |  |
| **BANKING & FINANCE 0.0%**  |  |  |
| **Ambac Assurance Corp.** <br>5.100% due 12/31/2099 (e) | $38 | $53 |
| **INDUSTRIALS 0.1%**  |  |  |
| **CVS Pass-Through Trust** <br>6.036% due 12/10/2028 | 815 | 802 |
| Total Corporate Bonds & Notes (Cost $864) |  | 855 |
| **MUNICIPAL BONDS & NOTES 0.3%**  |  |  |
| **TEXAS 0.3%**  |  |  |
| **Ennis Economic Development Corp., Texas Revenue Bonds, (NPFGC Insured), Series 1999** <br>0.000% due 08/01/2034 (d) | 7990 | 3783 |
| Total Municipal Bonds & Notes (Cost $5,440) |  | 3783 |
| **U.S. GOVERNMENT AGENCIES 293.5%**  |  |  |
| **Fannie Mae**  |  |  |
| 0.009% due 10/25/2042 ~ | 337 | 207 |
| 0.012% due 07/25/2044 ~(a) | 569 | 18 |
| 0.023% due 10/25/2046 ~(a) | 285 | 11 |
| 0.060% due 08/25/2044 ~(a) | 420 | 16 |
| 0.078% due 04/25/2046 ~(a) | 509 | 27 |
| 0.091% due 03/25/2045 ~(a) | 1048 | 45 |
| 0.101% due 08/25/2055 ~(a) | 525 | 16 |
| 0.118% due 01/25/2045 ~(a) | 526 | 25 |
| 0.126% due 07/25/2045 ~(a) | 2362 | 106 |
| 0.200% due 02/25/2043 ~(a) | 2094 | 15 |
| 0.310% due 04/25/2055 ~(a) | 879 | 32 |
| 0.340% due 07/25/2044 ~(a) | 778 | 35 |
| 0.396% due 08/25/2054 ~(a) | 1024 | 40 |
| 0.453% due 07/25/2052 ~(a) | 539 | 19 |
| 0.542% due 10/25/2045 •  | 891 | 514 |
| 1.611% due 11/25/2049 •(a) | 2375 | 321 |
| 1.761% due 07/25/2042 •(a) | 3671 | 490 |
| 1.761% due 08/25/2042 ~(a) | 3444 | 202 |
| 1.886% due 03/01/2035 •  | 43 | 41 |
| 2.022% due 01/01/2035 •  | 23 | 22 |
| 2.175% due 02/01/2035 •  | 14 | 14 |
| 2.180% due 03/01/2035 •  | 3 | 3 |
| 2.202% due 02/01/2027 •  | 4 | 4 |
| 2.241% due 01/25/2031 ~(a) | 6681 | 640 |
| 2.287% due 02/01/2036 •  | 14 | 14 |
| 2.301% due 02/01/2034 •  | 19 | 19 |
| 2.355% due 10/01/2023 •  | 1 | 1 |
| 2.475% due 01/01/2030 •  | 36 | 35 |
| 2.485% due 05/01/2035 •  | 14 | 14 |
| 2.496% due 03/01/2024 •  | 1 | 1 |
| 2.545% due 06/01/2023 •  | 1 | 1 |
| 2.597% due 10/01/2031 •  | 15 | 14 |
| 2.625% due 12/01/2023 •  | 1 | 1 |
| 2.640% due 06/25/2042 ~ | 379 | 298 |
| 2.655% due 05/01/2027 •  | 2 | 2 |
| 2.709% due 03/01/2035 •  | 15 | 15 |
| 2.716% due 05/01/2030 •  | 12 | 12 |
| 2.750% due 04/01/2033 •  | 61 | 60 |
| 2.889% due 08/01/2042 - 10/01/2044 •  | 751 | 716 |
| 2.906% due 06/01/2035 •  | 22 | 22 |
| 2.943% due 07/01/2027 •  | 1 | 1 |
| 3.000% due 11/01/2042 - 05/01/2058 | 11864 | 10492 |
| 3.000% due 11/25/2043 - 12/25/2048 (a) | 9346 | 1292 |
| 3.020% due 09/26/2033 •  | 7 | 7 |
| 3.031% due 12/01/2027 •  | 6 | 6 |
| 3.089% due 10/01/2030 - 09/01/2040 •  | 142 | 139 |
| 3.143% due 06/01/2030 •  | 31 | 30 |
| 3.257% due 05/25/2035 ~ | 55 | 55 |
| 3.259% due 12/01/2031 •  | 2 | 2 |
| 3.285% due 05/01/2036 •  | 2 | 2 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.300% due 11/01/2035 •  | 241 | 240 |
| 3.324% due 01/01/2049 •  | 1950 | 1917 |
| 3.345% due 06/01/2035 •  | 66 | 66 |
| 3.389% due 11/01/2035 •  | 60 | 58 |
| 3.395% due 09/01/2030 - 04/01/2032 •  | 5 | 5 |
| 3.425% due 11/01/2048 •  | 967 | 961 |
| 3.500% due 08/01/2026 •  | 1 | 1 |
| 3.500% due 04/25/2046 (a) | 274 | 21 |
| 3.500% due 06/01/2056 - 01/01/2059 (g) | 19758 | 18120 |
| 3.500% due 01/01/2057 | 7546 | 6932 |
| 3.509% due 11/01/2028 •  | 18 | 17 |
| 3.522% due 11/01/2035 •  | 4 | 4 |
| 3.564% due 08/01/2029 •  | 1 | 1 |
| 3.575% due 02/01/2026 (g) | 9000 | 8689 |
| 3.600% due 01/01/2026 •  | 25 | 25 |
| 3.635% due 05/01/2036 •  | 86 | 84 |
| 3.644% due 12/25/2036 ~ | 812 | 798 |
| 3.645% due 06/01/2029 •  | 9 | 9 |
| 3.652% due 12/01/2048 •  | 1885 | 1883 |
| 3.720% due 02/01/2024 •  | 13 | 12 |
| 3.780% due 02/01/2031 •  | 8 | 8 |
| 3.789% due 08/01/2035 •  | 30 | 30 |
| 3.805% due 07/01/2035 •  | 6 | 6 |
| 3.806% due 06/01/2032 •  | 16 | 16 |
| 3.807% due 05/01/2036 •  | 2 | 2 |
| 3.817% due 07/01/2035 •  | 28 | 27 |
| 3.819% due 11/01/2025 •  | 9 | 9 |
| 3.820% due 05/01/2035 •  | 32 | 32 |
| 3.821% due 07/25/2037 •  | 276 | 270 |
| 3.868% due 12/01/2035 •  | 22 | 21 |
| 3.875% due 06/01/2026 •  | 2 | 2 |
| 3.906% due 09/01/2035 •  | 73 | 72 |
| 3.915% due 07/01/2034 •  | 76 | 75 |
| 3.941% due 09/01/2035 •  | 78 | 79 |
| 3.945% due 02/01/2025 •  | 6 | 6 |
| 3.955% due 11/01/2031 •  | 9 | 9 |
| 3.956% due 09/01/2035 •  | 3 | 3 |
| 3.972% due 11/01/2028 •  | 14 | 14 |
| 4.000% due 09/01/2043 - 10/01/2043 | 249 | 238 |
| 4.000% due 06/25/2044 (a) | 88 | 10 |
| 4.030% due 11/01/2035 •  | 4 | 4 |
| 4.038% due 08/01/2029 •  | 8 | 8 |
| 4.060% due 09/01/2034 •  | 49 | 50 |
| 4.107% due 09/01/2031 •  | 5 | 5 |
| 4.135% due 05/01/2036 •  | 24 | 24 |
| 4.145% due 05/01/2036 •  | 2 | 2 |
| 4.152% due 07/01/2032 •  | 14 | 13 |
| 4.168% due 08/01/2028 •  | 16 | 16 |
| 4.200% due 11/01/2026 •  | 28 | 28 |
| 4.277% due 09/01/2030 •  | 3 | 3 |
| 4.350% due 05/01/2026 •  | 1 | 1 |
| 4.376% due 02/25/2033 ~ | 9 | 9 |
| 4.408% due 02/01/2026 •  | 4 | 4 |
| 4.481% due 01/01/2028 •  | 1 | 1 |
| 4.500% due 02/01/2038 - 05/01/2041 | 59 | 57 |
| 4.500% due 04/01/2059 (g) | 11338 | 11061 |
| 4.514% due 02/01/2028 •  | 13 | 12 |
| 4.519% due 06/25/2032 •  | 1 | 1 |
| 4.609% due 07/25/2032 ~ | 73 | 72 |
| 4.739% due 04/18/2028 - 12/18/2032 ~ | 19 | 19 |
| 4.789% due 06/25/2029 - 04/25/2032 •  | 33 | 33 |
| 4.789% due 10/18/2030 ~ | 9 | 9 |
| 4.828% due 02/01/2030 •  | 32 | 32 |
| 4.838% due 09/01/2034 •  | 2 | 2 |
| 4.839% due 09/18/2027 - 06/25/2046 •  | 922 | 896 |
| 4.889% due 06/25/2030 ~ | 32 | 31 |
| 4.889% due 11/25/2059 •  | 12393 | 12047 |
| 5.000% due 04/25/2023 - 11/01/2039 | 202 | 200 |
| 5.089% due 10/25/2037 •  | 1843 | 1829 |
| 5.094% due 01/01/2029 •  | 4 | 4 |
| 5.095% due 02/01/2031 •  | 25 | 25 |
| 5.289% due 04/25/2032 •  | 7 | 7 |
| 5.289% due 04/25/2032 ~ | 4 | 4 |
| 5.500% due 12/01/2035 - 11/01/2039 | 1241 | 1231 |
| 5.536% due 02/01/2031 •  | 15 | 15 |
| 5.727% due 12/01/2030 •  | 29 | 29 |
| 6.000% due 04/25/2031 - 02/01/2037 | 253 | 259 |
| 6.089% due 10/25/2031 þ | 1 | 1 |
| 6.300% due 06/25/2031 ~ | 52 | 51 |
| 6.300% due 10/17/2038 | 8 | 7 |
| 6.500% due 02/25/2024 - 10/25/2031 | 416 | 425 |
| 6.500% due 04/25/2038 (a) | 133 | 40 |
| 6.850% due 12/18/2027 | 65 | 66 |
| 7.000% due 09/25/2023 - 09/01/2032 | 50 | 50 |
| 7.500% due 03/25/2023 - 07/25/2041 | 160 | 162 |
| 7.721% due 06/25/2026 ~ | 1 | 1 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Farmer** **Mac**<br>8.850% due 04/25/2030 «~ | 40 | 39 |
| **Freddie Mac**  |  |  |
| 0.000% due 08/15/2056 - 10/15/2058 (b)(d) | 39638 | 27989 |
| 0.029% due 10/15/2041 ~(a) | 275 | 11 |
| 0.073% due 11/15/2038 ~(a) | 507 | 20 |
| 0.121% due 08/15/2041 ~(a) | 158 | 6 |
| 0.180% due 06/15/2038 ~(a) | 385 | 20 |
| 0.188% due 10/15/2037 ~(a) | 70 | 2 |
| 0.197% due 02/15/2038 ~(a) | 343 | 13 |
| 0.200% due 11/15/2036 ~(a) | 505 | 29 |
| 0.416% due 05/15/2041 •  | 4005 | 3359 |
| 0.439% due 08/15/2036 ~(a) | 222 | 6 |
| 0.487% due 10/15/2037 ~(a) | 176 | 6 |
| 0.573% due 05/15/2037 ~(a) | 118 | 5 |
| 0.575% due 03/15/2037 ~(a) | 182 | 9 |
| 0.929% due 01/15/2035 ~ | 4191 | 3265 |
| 1.280% due 05/15/2035 •  | 3316 | 2909 |
| 2.099% due 07/01/2030 •  | 59 | 57 |
| 2.125% due 03/01/2033 •  | 22 | 22 |
| 2.292% due 03/01/2033 •  | 41 | 41 |
| 2.500% due 12/15/2027 (a) | 1569 | 69 |
| 2.518% due 02/01/2027 •  | 23 | 23 |
| 2.531% due 12/15/2043 •  | 1531 | 1372 |
| 2.543% due 08/01/2027 •  | 2 | 2 |
| 2.575% due 09/01/2027 •  | 5 | 5 |
| 2.624% due 03/01/2032 •  | 4 | 4 |
| 2.625% due 03/01/2027 - 11/01/2027 •  | 2 | 2 |
| 2.734% due 03/01/2029 •  | 5 | 5 |
| 2.998% due 07/01/2024 •  | 2 | 2 |
| 3.000% due 08/15/2032 - 08/01/2046 | 5847 | 5331 |
| 3.000% due 02/15/2033 - 09/15/2048 (a) | 3516 | 333 |
| 3.106% due 08/15/2040 ~ | 3536 | 3438 |
| 3.125% due 10/01/2023 •  | 8 | 8 |
| 3.175% due 07/01/2028 •  | 60 | 59 |
| 3.258% due 10/15/2040 ~ | 3509 | 3417 |
| 3.332% due 10/01/2036 •  | 36 | 36 |
| 3.370% due 02/01/2031 •  | 1 | 1 |
| 3.459% due 12/15/2046 ~ | 586 | 582 |
| 3.500% due 08/15/2026 - 08/15/2045 (a) | 12152 | 1870 |
| 3.500% due 09/01/2032 | 1582 | 1536 |
| 3.513% due 11/01/2029 •  | 102 | 101 |
| 3.540% due 09/01/2024 •  | 1 | 1 |
| 3.543% due 06/01/2028 •  | 2 | 2 |
| 3.552% due 05/01/2032 •  | 60 | 59 |
| 3.571% due 02/01/2029 •  | 2 | 2 |
| 3.592% due 11/01/2027 •  | 27 | 26 |
| 3.600% due 05/01/2032 •  | 91 | 89 |
| 3.604% due 10/15/2037 ~ | 815 | 802 |
| 3.687% due 01/01/2028 •  | 9 | 9 |
| 3.722% due 09/01/2028 •  | 3 | 2 |
| 3.729% due 08/01/2035 •  | 7 | 7 |
| 3.733% due 12/01/2035 •  | 251 | 253 |
| 3.875% due 10/01/2035 •  | 36 | 36 |
| 3.876% due 07/01/2030 •  | 2 | 2 |
| 3.922% due 07/01/2035 •  | 108 | 109 |
| 3.926% due 07/01/2027 •  | 3 | 3 |
| 3.936% due 08/15/2032 ~ | 11 | 11 |
| 4.000% due 06/01/2029 - 12/01/2048 | 9147 | 8772 |
| 4.000% due 01/15/2046 (a) | 4101 | 688 |
| 4.011% due 10/01/2027 - 11/01/2034 •  | 30 | 30 |
| 4.125% due 08/01/2029 •  | 1 | 1 |
| 4.136% due 07/25/2031 •  | 35 | 35 |
| 4.152% due 10/01/2027 •  | 2 | 2 |
| 4.163% due 04/01/2029 •  | 1 | 1 |
| 4.250% due 10/01/2024 •  | 3 | 3 |
| 4.265% due 05/01/2032 •  | 5 | 5 |
| 4.348% due 12/01/2032 •  | 6 | 6 |
| 4.365% due 10/01/2023 •  | 1 | 1 |
| 4.455% due 08/01/2030 •  | 1 | 1 |
| 4.460% due 12/01/2026 •  | 3 | 3 |
| 4.500% due 03/01/2029 - 06/01/2048 | 6478 | 6428 |
| 4.518% due 03/15/2031 •  | 12 | 12 |
| 4.568% due 07/15/2034 ~ | 2 | 2 |
| 4.615% due 02/01/2027 •  | 7 | 7 |
| 4.618% due 06/15/2048 - 12/15/2048 ~ | 3483 | 3376 |
| 4.639% due 05/25/2031 ~ | 82 | 81 |
| 4.650% due 12/01/2029 •  | 7 | 7 |
| 4.651% due 10/01/2024 •  | 2 | 2 |
| 4.668% due 12/15/2029 ~ | 27 | 27 |
| 4.669% due 09/25/2031 •  | 46 | 46 |
| 4.768% due 03/15/2024 - 12/15/2031 •  | 32 | 32 |
| 4.768% due 08/15/2029 ~ | 1 | 1 |
| 4.818% due 02/15/2028 •  | 5 | 5 |
| 4.868% due 03/15/2032 - 03/15/2044 ~ | 1093 | 1071 |
| 4.918% due 08/15/2035 ~ | 276 | 274 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| 4.939% due 01/25/2050 •  | 1717 | 1672 |
| 5.000% due 05/01/2023 - 07/01/2041 | 6191 | 6293 |
| 5.268% due 04/15/2031 •  | 250 | 251 |
| 5.318% due 06/15/2031 •  | 19 | 19 |
| 5.500% due 11/01/2030 - 06/01/2041 | 13961 | 14425 |
| 5.518% due 07/15/2027 •  | 102 | 103 |
| 6.000% due 09/15/2026 - 05/01/2040 | 2022 | 2095 |
| 6.250% due 12/15/2028 | 68 | 69 |
| 6.500% due 01/15/2024 - 10/25/2043 | 955 | 986 |
| 7.000% due 04/15/2023 - 12/01/2032 | 19 | 18 |
| 7.000% due 10/25/2023 (a) | 1 | 0 |
| 7.500% due 08/15/2029 (a) | 1 | 0 |
| 7.500% due 01/15/2030 | 36 | 38 |
| 7.645% due 05/01/2025 | 204 | 206 |
| 8.000% due 06/01/2030 - 09/01/2030 | 1 | 1 |
| 8.500% due 08/01/2024 - 08/01/2027 | 11 | 11 |
| **Ginnie Mae**  |  |  |
| 0.000% due 03/20/2035 (b)(d) | 195 | 176 |
| 0.011% due 06/20/2042 ~(a) | 653 | 13 |
| 0.059% due 06/20/2043 ~(a) | 641 | 17 |
| 0.088% due 12/20/2045 ~(a) | 546 | 14 |
| 0.152% due 06/20/2042 ~(a) | 707 | 19 |
| 0.196% due 11/20/2045 ~(a) | 764 | 14 |
| 0.447% due 09/20/2045 ~(a) | 944 | 15 |
| 0.463% due 08/20/2045 ~(a) | 308 | 5 |
| 0.542% due 09/20/2045 •  | 1736 | 1050 |
| 1.092% due 03/16/2051 ~(a) | 686 | 2 |
| 1.750% due 11/20/2028 - 12/20/2032 •  | 480 | 464 |
| 2.500% (H15T1Y + 1.500%) due 10/20/2025 ~ | 3 | 3 |
| 2.500% due 03/20/2027 - 10/15/2046 | 1644 | 1535 |
| 2.625% (H15T1Y + 1.500%) due 01/20/2023 - 09/20/2026 ~ | 140 | 137 |
| 2.625% due 01/20/2027 - 07/20/2035 •  | 2769 | 2695 |
| 2.875% (H15T1Y + 1.500%) due 04/20/2023 - 06/20/2026 ~ | 111 | 111 |
| 2.875% due 04/20/2027 - 04/20/2033 •  | 1514 | 1490 |
| 3.000% (H15T1Y + 1.500%) due 06/20/2024 - 09/20/2026 ~ | 21 | 20 |
| 3.000% due 07/20/2027 - 08/20/2030 •  | 359 | 352 |
| 3.000% due 12/15/2042 - 11/20/2067 | 21956 | 19961 |
| 3.000% due 06/20/2046 (a) | 221 | 28 |
| 3.125% due 01/20/2034 •  | 1154 | 1152 |
| 3.306% due 07/20/2070 ~ | 7878 | 7806 |
| 3.388% due 10/20/2070 ~ | 8677 | 8652 |
| 3.500% (H15T1Y + 1.500%) due 05/20/2025 ~ | 3 | 3 |
| 3.500% due 07/20/2030 - 09/20/2030 •  | 30 | 30 |
| 3.500% due 11/15/2041 - 02/15/2050 | 51655 | 48149 |
| 3.500% due 08/20/2042 - 09/20/2046 (a) | 6632 | 775 |
| 3.500% due 03/20/2047 - 02/20/2052 (g) | 37365 | 34530 |
| 4.000% due 09/15/2040 - 03/15/2052 | 23855 | 22946 |
| 4.387% due 08/20/2070 •  | 8091 | 8065 |
| 4.500% due 06/15/2035 - 01/20/2049 | 16285 | 16076 |
| 4.500% due 08/20/2048 (g) | 6059 | 5959 |
| 5.000% due 03/15/2033 - 12/20/2048 | 11551 | 11746 |
| 5.141% due 10/20/2058 •  | 216 | 216 |
| 5.183% due 01/20/2059 •  | 223 | 223 |
| 5.326% due 09/20/2071 •  | 23997 | 24604 |
| 5.500% due 09/15/2031 - 07/15/2041 | 5394 | 5587 |
| 6.000% due 09/15/2036 - 12/15/2040 | 901 | 934 |
| 6.500% due 10/15/2023 - 07/15/2039 | 1151 | 1188 |
| 7.000% due 09/15/2025 - 09/20/2028 | 7 | 7 |
| 7.500% due 06/15/2027 - 10/15/2031 | 23 | 24 |
| 8.000% due 06/15/2024 - 09/15/2031 | 30 | 32 |
| 8.500% due 06/15/2027 - 01/20/2031 | 181 | 184 |
| 9.000% due 06/15/2030 - 09/15/2030 | 19 | 20 |
| **Ginnie Mae, TBA**  |  |  |
| 2.000% due 02/01/2053 | 67500 | 56638 |
| 2.500% due 01/01/2053 - 02/01/2053 | 115150 | 99825 |
| 3.000% due 01/01/2053 - 02/01/2053 | 107350 | 95621 |
| 3.500% due 01/01/2053 | 28382 | 26081 |
| 4.000% due 01/01/2053 | 1650 | 1562 |
| 4.500% due 01/01/2053 | 24400 | 23674 |
| 5.000% due 01/01/2053 | 30300 | 30029 |
| **U.S. Small Business Administration**  |  |  |
| 5.370% due 04/01/2028 | 619 | 614 |
| 5.490% due 05/01/2028 | 656 | 649 |
| 5.870% due 05/01/2026 - 07/01/2028 | 458 | 453 |
| 6.220% due 12/01/2028 | 91 | 93 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 1.500% due 12/01/2050 - 06/01/2051 | 338 | 261 |
| 2.000% due 11/01/2026 - 03/01/2033 | 1872 | 1695 |
| 2.000% due 04/01/2036 (g) | 9929 | 8868 |
| 2.500% due 01/01/2032 - 04/01/2052 | 43970 | 37795 |
| 2.500% due 04/01/2051 - 01/01/2052 (g) | 16878 | 14357 |
| 3.000% due 10/01/2026 - 07/01/2052 | 214916 | 191261 |
| 3.000% due 02/01/2050 - 04/01/2051 (g) | 30783 | 27190 |
| 3.500% due 09/01/2025 - 01/01/2052 | 35854 | 33547 |
| 3.500% due 07/01/2043 - 03/01/2048 (g) | 56058 | 52363 |
| 4.000% due 12/01/2025 - 12/01/2048 | 65525 | 63514 |

---

------

<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.000% due 06/01/2049 (g) | 16862 | 16074 |
| 4.500% due 06/01/2024 - 01/01/2049 | 14220 | 14100 |
| 5.000% due 09/01/2025 - 03/01/2049 | 3999 | 4017 |
| 5.500% due 02/01/2023 - 02/01/2042 | 7961 | 8150 |
| 6.000% due 02/01/2023 - 05/01/2041 | 9587 | 9899 |
| 6.500% due 02/01/2026 - 05/01/2040 | 4157 | 4308 |
| 8.000% due 07/01/2030 - 05/01/2032 | 7 | 7 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 1.500% due 01/01/2053 | 14400 | 11091 |
| 2.000% due 01/01/2038 - 01/01/2053 | 66700 | 54448 |
| 2.500% due 01/01/2037 | 91890 | 84097 |
| 3.000% due 01/01/2038 | 35175 | 32948 |
| 3.000% due 02/01/2052 - 02/01/2053  | 948755 | 833455 |
| 3.500% due 01/01/2038 - 02/01/2049 | 101100 | 96380 |
| 4.000% due 01/01/2053  | 356981 | 334839 |
| 4.000% due 02/01/2053 - 03/01/2053 | 558990 | 524482 |
| 4.500% due 01/01/2038 - 02/01/2053 | 181300 | 174985 |
| 5.000% due 01/01/2038 - 02/01/2053 | 78000 | 76877 |
| 5.500% due 01/01/2053 - 02/01/2053 | 88800 | 89027 |
| 6.000% due 02/01/2053 | 97200 | 98581 |
| 6.500% due 01/01/2053 | 23200 | 23763 |
| **Vendee Mortgage Trust**  |  |  |
| 5.861% due 01/15/2030 ~ | 110 | 112 |
| 6.500% due 03/15/2029 | 167 | 164 |
| Total U.S. Government Agencies (Cost $3,806,364) |  | 3675178 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 16.0%**  |  |  |
| **Adjustable Rate Mortgage Trust** <br>3.361% due 09/25/2035 ^~ | 173 | 146 |
| **BAMLL Commercial Mortgage Securities Trust** <br>5.168% due 09/15/2034 •  | 1590 | 1561 |
| **Banc of America Funding Trust**  |  |  |
| 4.933% due 05/20/2035 ^•  | 237 | 200 |
| 5.753% due 10/25/2036 ^þ  | 479 | 416 |
| 6.337% due 01/25/2037 ^þ  | 471 | 409 |
| **Banc of America Mortgage Trust**  |  |  |
| 2.843% due 02/25/2036 ^~  | 87 | 78 |
| 3.440% due 06/20/2031 ~  | 49 | 48 |
| 3.679% due 07/25/2034 ~  | 1 | 1 |
| 5.750% due 07/20/2032 ~  | 1 | 1 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 2.780% due 11/25/2030 ~  | 1 | 1 |
| 3.200% due 01/25/2034 ~  | 2 | 2 |
| 3.250% due 02/25/2033 ~  | 1 | 1 |
| 3.500% due 08/25/2033 ~  | 97 | 91 |
| 4.045% due 08/25/2033 ~  | 69 | 65 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.115% due 05/25/2035 ~  | 137 | 127 |
| 3.586% due 11/25/2036 ^~  | 446 | 239 |
| 3.602% due 11/25/2036 ~  | 319 | 182 |
| 3.668% due 11/25/2036 ^~  | 175 | 81 |
| **Bear Stearns Structured Products, Inc. Trust** <br>5.219% due 12/26/2046 ^~ | 691 | 498 |
| **BellaVista Mortgage Trust** <br>4.839% due 05/20/2045 •  | 121 | 77 |
| **Chase Mortgage Finance Trust**  |  |  |
| 3.601% due 09/25/2036 ^~  | 20 | 16 |
| 6.000% due 07/25/2037  | 1505 | 737 |
| **Chevy Chase Funding LLC Mortgage-Backed Certificates**  |  |  |
| 3.916% due 01/25/2035 ~  | 233 | 206 |
| 4.569% due 05/25/2036 ~  | 76 | 65 |
| 4.639% due 08/25/2035 ~  | 98 | 88 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 2.500% due 05/25/2051 ~  | 16381 | 13228 |
| 3.885% due 08/25/2035 ^~  | 79 | 64 |
| 3.950% due 05/25/2035 •  | 1 | 1 |
| 6.080% due 09/25/2035 •  | 96 | 94 |
| **CitiMortgage Alternative Loan Trust** <br>6.000% due 06/25/2037 ^ | 416 | 356 |
| **Countrywide Alternative Loan Resecuritization Trust** <br>4.205% due 08/25/2037 ^~ | 82 | 43 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 4.553% due 07/20/2046 ^•  | 295 | 219 |
| 4.633% due 09/20/2046 ~  | 5748 | 3713 |
| 4.769% due 09/25/2046 ^~  | 2392 | 2056 |
| 4.789% due 05/25/2036 ~  | 31 | 26 |
| 4.809% due 05/25/2035 •  | 450 | 403 |
| 4.829% due 05/25/2035 ~  | 64 | 58 |
| 4.889% due 05/25/2035 ~  | 122 | 94 |
| 4.889% due 09/25/2046 ^~  | 3712 | 2684 |
| 4.889% due 10/25/2046 ^•  | 370 | 269 |
| 4.909% due 07/25/2046 ^~  | 1613 | 1051 |
| 4.949% due 12/25/2035 ~  | 159 | 139 |
| 4.993% due 12/20/2035 ~  | 459 | 401 |
| 5.069% due 10/25/2046 ^•  | 1647 | 1208 |

---

------

<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 6.250% due 11/25/2036 ^  | 629 | 469 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 2.125% due 07/19/2031 ~  | 4 | 3 |
| 3.402% due 06/19/2031 ~  | 3 | 3 |
| 3.632% due 09/25/2047 ^~  | 259 | 226 |
| 3.680% due 08/25/2034 ^~  | 19 | 19 |
| 3.726% due 11/25/2037 ~  | 332 | 299 |
| 3.914% due 02/20/2036 ^~  | 68 | 52 |
| 4.203% due 09/25/2034 ^~  | 127 | 109 |
| 4.849% due 05/25/2035 ~  | 472 | 381 |
| 4.929% due 02/25/2035 ~  | 64 | 57 |
| 4.969% due 04/25/2035 •  | 270 | 233 |
| 5.029% due 03/25/2035 •  | 33 | 27 |
| 5.049% due 02/25/2035 ~  | 290 | 258 |
| 5.069% due 02/25/2035 ~  | 7 | 6 |
| 5.069% due 03/25/2036 ~  | 117 | 62 |
| 5.089% due 02/25/2036 ^•  | 32 | 11 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>3.187% due 06/25/2033 ~ | 4 | 4 |
| **Credit Suisse Mortgage Capital Mortgage-Backed Trust** <br>5.579% due 04/25/2037 ^~ | 1821 | 523 |
| **Credit Suisse Mortgage Capital Trust**  |  |  |
| 2.500% due 07/25/2056 ~  | 1199 | 968 |
| 2.691% due 03/25/2060 ~  | 4205 | 4026 |
| 4.860% due 05/27/2053 ~  | 4518 | 3741 |
| **Deutsche ALT-B Securities, Inc. Mortgage Loan Trust** <br>4.489% due 10/25/2036 ^•  | 7 | 6 |
| **Fannie Mae** <br>1.500% due 02/25/2036 (a) | 48158 | 2972 |
| **First Nationwide Mortgage-Backed Pass-Through Trust** <br>6.750% due 08/21/2031 | 5 | 4 |
| **GreenPoint Mortgage Funding Trust**  |  |  |
| 4.789% due 12/25/2046 ^~  | 1333 | 1194 |
| 4.929% due 04/25/2036 ^~  | 458 | 416 |
| **GreenPoint Mortgage Funding Trust Pass-Through Certificates** <br>3.726% due 10/25/2033 ~ | 8 | 8 |
| **GS Mortgage Securities Corp. Trust** <br>5.468% due 07/15/2031 •  | 2000 | 1910 |
| **GS Mortgage-Backed Securities Corp. Trust** <br>2.500% due 06/25/2052 ~ | 37572 | 30340 |
| **GS Mortgage-Backed Securities Trust**  |  |  |
| 2.500% due 12/25/2051 ~  | 1767 | 1427 |
| 2.500% due 02/25/2052 ~  | 3590 | 2899 |
| 3.000% due 09/25/2052 ~  | 16543 | 13826 |
| **GSR Mortgage Loan Trust**  |  |  |
| 3.028% due 06/25/2034 ~  | 10 | 9 |
| 3.161% due 04/25/2036 ~  | 131 | 91 |
| 4.909% due 08/25/2046 •  | 2056 | 572 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 3.205% due 11/19/2034 ~  | 30 | 25 |
| 3.321% due 08/19/2036 ^~  | 46 | 41 |
| 3.979% due 08/19/2034 ~  | 641 | 588 |
| 4.599% due 03/19/2037 •  | 221 | 195 |
| 4.779% due 05/19/2046 ^~  | 511 | 150 |
| **HomeBanc Mortgage Trust**  |  |  |
| 4.749% due 12/25/2036 ~  | 17 | 16 |
| 5.249% due 08/25/2029 •  | 111 | 105 |
| **Impac Secured Assets Trust** <br>4.689% due 11/25/2036 •  | 102 | 101 |
| **IndyMac Adjustable Rate Mortgage Trust** <br>3.544% due 01/25/2032 ~ | 2 | 2 |
| **IndyMac INDB Mortgage Loan Trust** <br>4.989% due 11/25/2035 ^~ | 91 | 54 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 2.895% due 01/25/2036 ^~  | 218 | 197 |
| 3.212% due 01/25/2036 ^~  | 1 | 1 |
| 3.229% due 08/25/2035 ^~  | 462 | 370 |
| 3.521% due 08/25/2036 ~  | 7727 | 6668 |
| 3.837% due 12/25/2034 ~  | 3 | 3 |
| 4.689% due 06/25/2037 ^•  | 309 | 124 |
| 4.809% due 05/25/2046 ~  | 553 | 482 |
| 4.869% due 04/25/2035 •  | 47 | 39 |
| 4.869% due 07/25/2035 •  | 412 | 380 |
| 5.029% due 02/25/2035 ~  | 81 | 69 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.000% due 01/25/2052 ~  | 7029 | 5891 |
| 3.000% due 04/25/2052 ~  | 6434 | 5393 |
| 3.000% due 05/25/2052 ~  | 21735 | 18218 |
| 4.233% due 10/25/2035 ~  | 486 | 420 |
| 4.944% due 12/25/2049 •  | 2222 | 2061 |
| 4.994% due 08/25/2049 •  | 1074 | 1066 |
| **Lehman XS Trust** <br>5.029% due 11/25/2046 ^~ | 1568 | 1155 |
| **Luminent Mortgage Trust** <br>4.749% due 12/25/2036 ^~ | 366 | 329 |

---

------

<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **MASTR** **Adjustable Rate Mortgages Trust**  |  |  |
| 4.644% due 05/25/2047 ^~  | 23 | 23 |
| 4.724% due 05/25/2047 ^~  | 3350 | 2712 |
| 4.869% due 05/25/2037 ~  | 360 | 159 |
| **MASTR Reperforming Loan Trust** <br>7.000% due 08/25/2034 | 70 | 53 |
| **MASTR Seasoned Securitization Trust** <br>3.970% due 10/25/2032 ~ | 94 | 85 |
| **Mellon Residential Funding Corp. Mortgage Pass-Through Certificates**  |  |  |
| 5.018% due 11/15/2031 •  | 118 | 112 |
| 5.198% due 11/15/2031 •  | 15 | 13 |
| **Mellon Residential Funding Corp. Mortgage Pass-Through Trust**  |  |  |
| 4.758% due 12/15/2030 •  | 132 | 124 |
| 4.798% due 06/15/2030 •  | 102 | 98 |
| **Merrill Lynch Alternative Note Asset Trust** <br>4.989% due 03/25/2037 •  | 896 | 261 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 2.848% due 04/25/2035 ~  | 4 | 4 |
| 4.863% due 10/25/2028 •  | 8 | 8 |
| 5.279% due 01/25/2029 ~  | 957 | 885 |
| **Morgan Stanley Capital Trust** <br>5.218% due 07/15/2035 •  | 2500 | 2452 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 3.572% due 07/25/2035 ^~  | 391 | 325 |
| 4.899% due 02/25/2047 •  | 844 | 380 |
| **Mortgage Equity Conversion Asset Trust**  |  |  |
| 5.130% due 01/25/2042 •  | 14068 | 13857 |
| 5.130% due 02/25/2042 ~  | 2082 | 1936 |
| 5.140% due 05/25/2042 ~  | 6644 | 5799 |
| **New Residential Mortgage Loan Trust** <br>2.750% due 07/25/2059 ~ | 7100 | 6630 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>7.000% due 02/19/2030 ~ | 116 | 111 |
| **OBX Trust** <br>3.000% due 01/25/2052 ~ | 3019 | 2530 |
| **Prime Mortgage Trust** <br>4.789% due 02/25/2034 •  | 10 | 10 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 3.732% due 08/25/2035 ^~  | 425 | 164 |
| 4.929% due 05/25/2046 ^•  | 363 | 283 |
| **Residential Funding Mortgage Securities, Inc. Trust** <br>3.910% due 09/25/2035 ^~ | 635 | 397 |
| **Sequoia Mortgage Trust**  |  |  |
| 2.976% due 01/20/2047 ^~  | 312 | 210 |
| 4.979% due 04/19/2027 •  | 9 | 9 |
| 5.039% due 10/19/2026 ~  | 6 | 6 |
| 5.113% due 10/20/2027 ~  | 92 | 88 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.530% due 11/25/2035 ^~  | 230 | 204 |
| 3.565% due 01/25/2035 ~  | 123 | 122 |
| 3.678% due 08/25/2035 ~  | 6 | 5 |
| 3.688% due 07/25/2035 ^~  | 20 | 17 |
| 4.297% due 07/25/2034 ~  | 14 | 13 |
| 5.124% due 06/25/2034 •  | 219 | 198 |
| 6.709% due 10/25/2037 ^~  | 832 | 732 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 4.649% due 03/25/2037 ~  | 72 | 24 |
| 4.769% due 06/25/2036 ~  | 62 | 59 |
| 4.809% due 05/25/2036 •  | 386 | 292 |
| 4.839% due 07/19/2035 •  | 103 | 91 |
| 4.839% due 07/19/2035 ~  | 618 | 561 |
| 4.849% due 05/25/2045 ~  | 537 | 470 |
| 4.989% due 08/25/2036 ^•  | 2092 | 1312 |
| 4.999% due 09/19/2032 ~  | 321 | 306 |
| 4.999% due 10/19/2034 ~  | 44 | 41 |
| 5.039% due 03/19/2034 •  | 225 | 207 |
| 6.750% due 05/02/2030 ~  | 49 | 1 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates** <br>5.041% due 06/25/2033 ~ | 2 | 2 |
| **TBW Mortgage-Backed Trust**  |  |  |
| 6.130% due 01/25/2037 ^þ  | 912 | 291 |
| 6.470% due 09/25/2036 ^þ  | 9085 | 308 |
| 6.515% due 07/25/2037 þ  | 1520 | 603 |
| **Thornburg Mortgage Securities Trust** <br>2.589% due 06/25/2043 ~ | 140 | 130 |
| **Towd Point Mortgage Trust** <br>2.900% due 10/25/2059 ~ | 8042 | 7506 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.585% due 03/25/2034 ~  | 3 | 3 |
| 2.766% due 04/25/2037 ^~  | 531 | 462 |
| 2.888% due 11/25/2046 ~  | 131 | 112 |
| 3.048% due 02/25/2046 ~  | 480 | 423 |
| 3.248% due 11/25/2042 ~  | 20 | 18 |
| 3.298% due 01/25/2047 •  | 550 | 491 |
| 3.448% due 06/25/2042 ~  | 80 | 72 |
| 3.448% due 08/25/2042 •  | 196 | 181 |

---

------

<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.510% due 12/25/2036 ^~  | 501 | 435 |
| 3.889% due 12/25/2035 ~  | 109 | 101 |
| 4.124% due 09/25/2033 ~  | 54 | 50 |
| 4.159% due 08/25/2033 ~  | 131 | 124 |
| 4.909% due 11/25/2045 ~  | 454 | 407 |
| 4.969% due 10/25/2045 ~  | 34 | 31 |
| 5.029% due 01/25/2045 ~  | 102 | 95 |
| 5.029% due 07/25/2045 ~  | 17 | 16 |
| 5.049% due 01/25/2045 •  | 318 | 305 |
| 5.389% due 07/25/2044 •  | 49 | 45 |
| 5.439% due 12/25/2045 •  | 745 | 626 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.912% due 11/25/2030 ~  | 38 | 37 |
| 6.768% due 07/25/2036 þ  | 2237 | 570 |
| **Wells Fargo Mortgage-Backed Securities Trust** <br>3.671% due 07/25/2034 ~ | 7 | 7 |
| Total Non-Agency Mortgage-Backed Securities (Cost $232,440) |  | 200567 |
| **ASSET-BACKED SECURITIES 21.4%**  |  |  |
| **ABFS Mortgage Loan Trust** <br>6.785% due 07/15/2033 þ | 580 | 406 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.509% due 10/25/2036 ~  | 134 | 53 |
| 5.049% due 11/25/2035 ~  | 353 | 353 |
| 5.439% due 07/25/2034 •  | 188 | 179 |
| **AFC Home Equity Loan Trust** <br>5.199% due 06/25/2029 •  | 138 | 86 |
| **Allegro CLO Ltd.** <br>5.244% due 10/16/2031 •  | 3300 | 3238 |
| **American Money Management Corp. CLO Ltd.** <br>4.949% due 04/17/2029 ~ | 2686 | 2673 |
| **Amortizing Residential Collateral Trust** <br>5.089% due 10/25/2031 ~ | 90 | 86 |
| **AMRESCO Residential Securities Corp. Mortgage Loan Trust**  |  |  |
| 5.019% due 09/25/2028 •  | 5 | 5 |
| 5.329% due 06/25/2029 ~  | 178 | 167 |
| **Anchorage Capital CLO Ltd.**  |  |  |
| 5.129% due 07/15/2030 ~  | 4100 | 4044 |
| 5.465% due 07/22/2032 ~  | 3800 | 3718 |
| **Apidos CLO** <br>5.009% due 07/17/2030 ~ | 9000 | 8904 |
| **Ares CLO Ltd.** <br>5.375% due 04/22/2031 •  | 3800 | 3736 |
| **Argent Securities, Inc. Asset-Backed Pass-Through Certificates** <br>5.124% due 10/25/2035 •  | 3246 | 3152 |
| **Asset-Backed Funding Certificates Trust**  |  |  |
| 5.089% due 06/25/2034 •  | 122 | 114 |
| 5.409% due 03/25/2032 ~  | 179 | 172 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.469% due 05/25/2037 ~  | 1 | 1 |
| 4.838% due 06/15/2031 ~  | 183 | 172 |
| **Bayview Financial Acquisition Trust** <br>4.914% due 05/28/2037 ~ | 770 | 682 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 3.601% due 06/25/2043 ~  | 9 | 8 |
| 4.991% due 02/25/2034 •  | 362 | 342 |
| 5.189% due 09/25/2046 ~  | 559 | 522 |
| 5.589% due 10/25/2032 •  | 39 | 38 |
| 5.889% due 11/25/2042 •  | 193 | 189 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>5.049% due 04/17/2031 •  | 798 | 787 |
| **Carlyle U.S. CLO Ltd.** <br>5.243% due 04/20/2031 •  | 4100 | 4035 |
| **Carrington Mortgage Loan Trust** <br>5.493% due 07/20/2030 •  | 4186 | 4145 |
| **CDC Mortgage Capital Trust** <br>5.439% due 01/25/2033 •  | 22 | 23 |
| **Centex Home Equity Loan Trust**  |  |  |
| 4.689% due 01/25/2032 ~  | 59 | 57 |
| 5.239% due 01/25/2032 ~  | 161 | 162 |
| **Chase Funding Trust**  |  |  |
| 4.989% due 07/25/2033 •  | 21 | 20 |
| 5.029% due 08/25/2032 ~  | 382 | 359 |
| 5.049% due 11/25/2032 ~  | 104 | 102 |
| **CIFC Funding Ltd.** <br>5.275% due 10/24/2030 ~ | 6900 | 6831 |
| **CIT Group Home Equity Loan Trust** <br>5.364% due 12/25/2031 ~ | 118 | 116 |
| **CIT Mortgage Loan Trust** <br>5.739% due 10/25/2037 •  | 757 | 754 |
| **Citigroup Global Markets Mortgage Securities, Inc.** <br>5.739% due 01/25/2032 •  | 147 | 149 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 4.449% due 07/25/2045 •  | 147 | 105 |
| 4.794% due 08/25/2036 •  | 56 | 56 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Countrywide** **Asset-Backed Certificates** <br>5.389% due 09/25/2032 •  | 994 | 959 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 4.529% due 07/25/2037 ~  | 901 | 813 |
| 4.589% due 09/25/2037 ~  | 469 | 406 |
| 5.289% due 10/25/2047 •  | 832 | 777 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>3.988% due 08/25/2032 ~ | 107 | 101 |
| **Credit-Based Asset Servicing & Securitization Trust** <br>2.909% due 01/25/2037 ^•  | 261 | 84 |
| **Delta Funding Home Equity Loan Trust** <br>5.138% due 09/15/2029 ~ | 8 | 8 |
| **Dryden CLO Ltd.** <br>5.164% due 04/18/2031 •  | 3700 | 3623 |
| **Dryden Senior Loan Fund** <br>5.049% due 04/15/2031 ~ | 5400 | 5313 |
| **Ellington Loan Acquisition Trust**  |  |  |
| 5.439% due 05/25/2037 •  | 980 | 930 |
| 5.489% due 05/25/2037 •  | 461 | 443 |
| **EMC Mortgage Loan Trust** <br>5.129% due 05/25/2040 •  | 152 | 143 |
| **Encore Credit Receivables Trust** <br>5.079% due 07/25/2035 •  | 2898 | 2816 |
| **EquiFirst Mortgage Loan Trust** <br>4.869% due 01/25/2034 •  | 71 | 68 |
| **FIRSTPLUS Home Loan Owner Trust** <br>7.670% due 05/10/2024 þ | 354 | 1 |
| **Fremont Home Loan Trust** <br>4.869% due 08/25/2036 ~ | 6216 | 2155 |
| **Galaxy CLO Ltd.** <br>5.049% due 10/15/2030 •  | 7900 | 7726 |
| **Gallatin CLO Ltd.**  |  |  |
| 5.169% due 07/15/2031 ~  | 4100 | 4029 |
| 5.328% due 01/21/2028 •  | 4366 | 4331 |
| **GE-WMC Mortgage Securities Trust** <br>4.469% due 08/25/2036 •  | 35 | 16 |
| **GMACM Home Equity Loan Trust** <br>3.071% due 01/25/2029 ~ | 16 | 12 |
| **GSAMP Trust**  |  |  |
| 3.354% due 10/25/2036 ^~  | 7502 | 78 |
| 4.529% due 12/25/2036 ~  | 956 | 518 |
| 5.189% due 02/25/2033 ~  | 78 | 76 |
| **Halseypoint CLO Ltd.** <br>5.865% due 11/30/2032 ~ | 4450 | 4394 |
| **Home Equity Mortgage Loan Asset-Backed Trust** <br>4.609% due 04/25/2037 •  | 664 | 515 |
| **IMC Home Equity Loan Trust**  |  |  |
| 7.520% due 08/20/2028  | 4 | 4 |
| **JP Morgan Mortgage Acquisition Trust**  |  |  |
| 4.549% due 08/25/2036 •  | 36 | 16 |
| 4.649% due 03/25/2037 •  | 126 | 122 |
| **KKR CLO Ltd.** <br>5.134% due 07/18/2030 ~ | 3018 | 2990 |
| **LCM LP**  |  |  |
| 5.097% due 07/19/2027 ~  | 2180 | 2157 |
| 5.283% due 10/20/2027 •  | 412 | 410 |
| **LCM Ltd.** <br>5.323% due 04/20/2031 ~ | 5800 | 5668 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.949% due 10/25/2034 •  | 62 | 57 |
| 5.439% due 10/25/2034 ~  | 240 | 238 |
| 5.814% due 03/25/2032 •  | 201 | 198 |
| **Madison Park Funding Ltd.** <br>5.155% due 04/22/2027 ~ | 2091 | 2070 |
| **Marathon CLO Ltd.** <br>5.545% due 11/21/2027 •  | 37 | 37 |
| **MASTR Asset-Backed Securities Trust** <br>5.139% due 12/25/2034 ^•  | 469 | 447 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.509% due 10/25/2037 ^~  | 987 | 166 |
| 4.549% due 09/25/2037 •  | 128 | 28 |
| 5.109% due 06/25/2035 ~  | 186 | 183 |
| **MESA Trust** <br>4.816% due 12/25/2031 ~ | 37 | 37 |
| **MF1 Ltd.** <br>6.471% due 06/19/2037 •  | 3000 | 2958 |
| **MidOcean Credit CLO**  |  |  |
| 5.445% due 01/29/2030 •  | 3528 | 3487 |
| 5.725% due 02/20/2031 ~  | 5800 | 5702 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 5.109% due 04/25/2037 •  | 211 | 63 |
| 5.750% due 04/25/2037 ^~  | 502 | 255 |
| 6.000% due 02/25/2037 ^~  | 732 | 455 |
| **Mountain View CLO LLC**  |  |  |
| 5.119% due 01/16/2031 •  | 500 | 492 |
| 5.169% due 10/16/2029 •  | 5792 | 5730 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Mountain** **View CLO Ltd.**  |  |  |
| 4.761% due 10/13/2027 •  | 857 | 858 |
| 5.199% due 07/15/2031 •  | 3400 | 3335 |
| **Nassau Ltd.** <br>5.229% due 10/15/2029 •  | 6521 | 6438 |
| **Newark BSL CLO Ltd.** <br>5.328% due 07/25/2030 ~ | 6845 | 6769 |
| **NovaStar Mortgage Funding Trust** <br>4.519% due 03/25/2037 •  | 1616 | 1078 |
| **Option One Mortgage Loan Trust**  |  |  |
| 4.529% due 01/25/2037 •  | 520 | 310 |
| 5.169% due 02/25/2035 •  | 1985 | 1877 |
| **Option One Mortgage Loan Trust Asset-Backed Certificates** <br>5.079% due 11/25/2035 •  | 257 | 245 |
| **OZLM Ltd.** <br>5.493% due 07/20/2030 •  | 3578 | 3528 |
| **Palmer Square CLO Ltd.** <br>5.179% due 07/16/2031 •  | 2900 | 2864 |
| **Palmer Square Loan Funding Ltd.** <br>5.043% due 07/20/2029 ~ | 2657 | 2626 |
| **PRET LLC** <br>3.721% due 07/25/2051 þ | 7270 | 6820 |
| **Renaissance Home Equity Loan Trust**  |  |  |
| 3.894% due 08/25/2033 •  | 183 | 169 |
| 5.109% due 11/25/2034 ~  | 151 | 129 |
| 5.149% due 12/25/2032 •  | 17 | 16 |
| 5.589% due 08/25/2032 •  | 290 | 272 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 4.989% due 03/25/2036 •  | 71 | 69 |
| 5.334% due 09/25/2035 •  | 1829 | 1760 |
| **Residential Asset Securities Corp. Trust** <br>4.969% due 06/25/2033 •  | 50 | 45 |
| **Romark CLO Ltd.** <br>5.355% due 10/23/2030 ~ | 33700 | 33102 |
| **Securitized Asset-Backed Receivables LLC Trust** <br>4.509% due 12/25/2036 ^•  | 2129 | 488 |
| **SLM Student Loan Trust**  |  |  |
| 5.858% due 04/25/2023 ~  | 8032 | 7959 |
| 5.969% due 12/15/2033 •  | 1666 | 1635 |
| **Sound Point CLO Ltd.** <br>5.225% due 01/23/2029 ~ | 4480 | 4425 |
| **Soundview Home Loan Trust** <br>4.509% due 11/25/2036 •  | 61 | 18 |
| **Stratus CLO Ltd.** <br>5.143% due 12/28/2029 •  | 3893 | 3849 |
| **Structured Asset Investment Loan Trust**  |  |  |
| 5.319% due 06/25/2035 •  | 11234 | 10729 |
| 5.364% due 09/25/2034 ~  | 5 | 5 |
| 5.664% due 12/25/2034 •  | 976 | 935 |
| **Structured Asset Securities Corp. Trust** <br>5.079% due 09/25/2035 •  | 531 | 503 |
| **Symphony CLO Ltd.** <br>4.959% due 04/15/2028 •  | 944 | 938 |
| **TICP CLO Ltd.** <br>5.083% due 04/20/2028 •  | 2787 | 2779 |
| **Tralee CLO Ltd.** <br>5.563% due 07/20/2029 •  | 6278 | 6218 |
| **UCFC Manufactured Housing Contract** <br>7.900% due 01/15/2028 ^~ | 215 | 191 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 04/15/2027 ~  | 6834 | 6824 |
| 4.959% due 07/15/2027 •  | 270 | 271 |
| 5.373% due 04/20/2032 ~  | 4000 | 3900 |
| 5.766% due 08/28/2029 •  | 14234 | 14088 |
| **Wellfleet CLO Ltd.**  |  |  |
| 5.133% due 04/20/2029 •  | 1400 | 1383 |
| 5.133% due 07/20/2029 •  | 1456 | 1437 |
| 5.153% due 04/20/2028 •  | 2685 | 2667 |
| Total Asset-Backed Securities (Cost $284,354) |  | 268598 |
| **SHORT-TERM INSTRUMENTS 2.4%**  |  |  |
| **REPURCHASE AGREEMENTS (f) 0.3%** |  | 3384 |
| **U.S. TREASURY BILLS 2.1%**  |  |  |
| 4.191% due 01/10/2023 - 03/23/2023 (c)(d)(j) | 26193 | 25989 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| Total Short-Term Instruments (Cost $29,377) |  | 29373 |
| Total Investments in Securities (Cost $4,358,839) |  | 4178354 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 0.0%**  |  |  |
| **SHORT-TERM INSTRUMENTS 0.0%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 0.0%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 33334 | 324 |
| Total Short-Term Instruments (Cost $324) |  | 324 |
| Total Investments in Affiliates (Cost $324) |  | 324 |
| Total Investments 333.7% (Cost $4,359,163) |  | $4178678 |
| **Financial Derivative Instruments (h)(i) 0.2**%(Cost or Premiums, net $14,916) |  | 3253 |
| Other Assets and Liabilities, net (233.90)% |  | (2929616) |
| Net Assets 100.0% |  | $1252315 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** |
| **(c)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(d)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(e)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(f)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 01/03/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 - 06/29/2023 | (3452) | (3452) | 3384 | 3384 | $3384 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  |  | **(3452)** | **(3452)** | **3384** | **3384** | $**3384** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Settlement Date | Settlement Date | Maturity Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BOS | BOS | 4.470%  | 12/13/2022 | 12/13/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (103004) | (103004) | (103004) | (103273) | (103273) |
|  |  | 4.480  | 12/19/2022 | 12/19/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (4258) | (4258) | (4258) | (4266) | (4266) |
|  |  | 4.490  | 12/22/2022 | 12/22/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (12084) | (12084) | (12084) | (12102) | (12102) |
|  |  | 4.500  | 12/14/2022 | 12/14/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (7527) | (7527) | (7527) | (7546) | (7546) |
|  |  | 4.520  | 12/15/2022 | 12/15/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (26388) | (26388) | (26388) | (26451) | (26451) |
|  |  | 4.540  | 12/21/2022 | 12/21/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (11643) | (11643) | (11643) | (11662) | (11662) |
| DEU | DEU | 4.250  | 12/30/2022 | 12/30/2022 | 01/03/2023 | 01/03/2023 | 01/03/2023 | (2687) | (2687) | (2687) | (2688) | (2688) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  |  | **(167988)** | **(167988)** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Coupon | Coupon | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Proceeds | Proceeds | Proceeds | Payable for<br>Short Sales |
| U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% | U.S. Government Agencies (72.2)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fannie Mae, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fannie Mae, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fannie Mae, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Fannie Mae, TBA  | 4.000% | 4.000% | 01/17/2038 | $ | 12700 | $ | (12447) | (12447) | $(12382) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.000 | 2.000 | 01/01/2053 |  | 93300 |  | (76300) | (76300) | (75939) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.000 | 2.000 | 02/01/2053 |  | 32000 |  | (26141) | (26141) | (26073) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.500 | 2.500 | 01/01/2053 |  | 24000 |  | (20360) | (20360) | (20328) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.500 | 2.500 | 02/01/2053 |  | 178370 |  | (152973) | (152973) | (151237) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 3.000 | 3.000 | 01/01/2053 |  | 193000 |  | (170010) | (170010) | (169423) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 3.500 | 3.500 | 01/01/2053 |  | 40200 |  | (36628) | (36628) | (36526) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 3.500 | 3.500 | 02/01/2053 |  | 48300 |  | (44598) | (44598) | (43914) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.000 | 4.000 | 01/01/2053 |  | 392981 |  | (375609) | (375609) | (368606) |
| **Total Short Sales (72.2)%** | **Total Short Sales (72.2)%** | **Total Short Sales (72.2)%** | **Total Short Sales (72.2)%** |  |  |  |  |  | **$** | **(915066)** | **(915066)** | $**(904428)** |
| **(g)** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $172,195 and cash of $326 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(271813) at a weighted average interest rate of 2.283%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| **(h)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2023 | 346 | 82249 | $(403) | (403) | 0 | 0 | 0 | (22) |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 489 | 54913 | (455) | (455) | 0 | 0 | 0 | (69) |
|  |  |  |  |  |  |  |  | (858) | $ | 0 | 0 | $ | (91) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2023 | 346 | (82335) | $523 | 523 | 39 | 39 | 39 | 0 |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 51 | (6850) | (16) | (16) | 25 | 25 | 25 | 0 |
|  |  |  |  |  |  |  |  | 507 | $ | 64 | 64 | $ | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(351)** | **$** | **64** | **64** | **$** | **(91)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive | 1-Day USD-Federal Funds Rate Compounded-OIS | 0.200% | Annual | 04/29/2023 | 04/29/2023 | $50800 | $2 | 1529 | 1531 | 1531 | $28 | 28 | $0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2025 | 06/15/2025 | 177000 | (4700) | (6612) | (11312) | (11312) | 0 | 0 | (165) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2027 | 06/15/2027 | 40900 | 3826 | (176) | 3650 | 3650 | 62 | 62 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | 12/21/2027 | 12/21/2027 | 27400 | 1920 | 254 | 2174 | 2174 | 40 | 40 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.250 | Annual | 12/15/2028 | 12/15/2028 | 32419 | 124 | (4344) | (4220) | (4220) | 0 | 0 | (57) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | 06/15/2029 | 06/15/2029 | 174100 | 14188 | 13845 | 28033 | 28033 | 335 | 335 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2029 | 06/15/2029 | 107800 | (5888) | (6423) | (12311) | (12311) | 0 | 0 | (203) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.205 | Annual | 11/09/2029 | 11/09/2029 | 11900 | 99 | 222 | 321 | 321 | 32 | 32 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.217 | Annual | 11/09/2029 | 11/09/2029 | 12300 | 102 | 220 | 322 | 322 | 33 | 33 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.218 | Annual | 11/09/2029 | 11/09/2029 | 11900 | 99 | 212 | 311 | 311 | 32 | 32 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | 12/21/2029 | 12/21/2029 | 11700 | 1026 | 146 | 1172 | 1172 | 23 | 23 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.225 | Annual | 12/20/2031 | 12/20/2031 | 8200 | 0 | (1470) | (1470) | (1470) | 0 | 0 | (29) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.180 | Annual | 12/21/2031 | 12/21/2031 | 14700 | 0 | (2685) | (2685) | (2685) | 0 | 0 | (51) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.758 | Annual | 03/16/2032 | 03/16/2032 | 14500 | 82 | 1994 | 2076 | 2076 | 51 | 51 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.760 | Annual | 05/09/2032 | 05/09/2032 | 8500 | (89) | (1160) | (1249) | (1249) | 0 | 0 | (30) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.767 | Annual | 05/09/2032 | 05/09/2032 | 8500 | (90) | (1154) | (1244) | (1244) | 0 | 0 | (30) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.788 | Annual | 05/09/2032 | 05/09/2032 | 9400 | (100) | (1259) | (1359) | (1359) | 0 | 0 | (33) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.875 | Annual | 05/09/2032 | 05/09/2032 | 8900 | (90) | (1130) | (1220) | (1220) | 0 | 0 | (31) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.198 | Annual | 06/08/2032 | 06/08/2032 | 7700 | (82) | (776) | (858) | (858) | 0 | 0 | (27) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.204 | Annual | 06/08/2032 | 06/08/2032 | 7700 | (82) | (772) | (854) | (854) | 0 | 0 | (27) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.314 | Annual | 06/08/2032 | 06/08/2032 | 24900 | 242 | 2288 | 2530 | 2530 | 87 | 87 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.373 | Annual | 06/08/2032 | 06/08/2032 | 11500 | 107 | 1004 | 1111 | 1111 | 40 | 40 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.385 | Annual | 06/08/2032 | 06/08/2032 | 4300 | 46 | 365 | 411 | 411 | 15 | 15 | 0 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.436 | Annual | Annual | 06/08/2032 | 5800 | 5800 | 56 | 56 |  | 473 | 473 |  | 529 | 529 |  | 20 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.451 | Annual | Annual | 06/08/2032 | 8000 | 8000 | 76 | 76 |  | 643 | 643 |  | 719 | 719 |  | 28 |  | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.250 | Annual | Annual | 06/15/2032 | 16000 | 16000 | (1027) | (1027) |  | (2059) | (2059) |  | (3086) | (3086) |  | 0 |  | (42) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | Annual | 06/15/2032 | 81100 | 81100 | 2521 | 2521 |  | 4176 | 4176 |  | 6697 | 6697 |  | 218 |  | (47) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.553 | Annual | Annual | 06/15/2032 | 21500 | 21500 | 45 | 45 |  | 1713 | 1713 |  | 1758 | 1758 |  | 75 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.313 | Annual | Annual | 07/08/2032 | 140100 | 140100 | 543 | 543 |  | 13913 | 13913 |  | 14456 | 14456 |  | 486 |  | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.680 | Annual | Annual | 07/11/2032 | 2600 | 2600 | (36) | (36) |  | (152) | (152) |  | (188) | (188) |  | 0 |  | (9) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.690 | Annual | Annual | 07/11/2032 | 2600 | 2600 | (36) | (36) |  | (150) | (150) |  | (186) | (186) |  | 0 |  | (9) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1.840 | Annual | Annual | 07/15/2032 | 26700 | 26700 | 0 | 0 |  | 3833 | 3833 |  | 3833 | 3833 |  | 92 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 2.998 | Annual | Annual | 09/16/2032 | 11000 | 11000 | 99 | 99 |  | 423 | 423 |  | 522 | 522 |  | 38 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.275 | Annual | Annual | 10/06/2032 | 25900 | 25900 | 0 | 0 |  | 632 | 632 |  | 632 | 632 |  | 89 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.275 | Annual | Annual | 11/09/2032 | 37700 | 37700 | 0 | 0 |  | 926 | 926 |  | 926 | 926 |  | 129 |  | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 3.368 | Annual | Annual | 11/28/2032 | 37500 | 37500 | 281 | 281 |  | 341 | 341 |  | 622 | 622 |  | 128 |  | 0 |
| Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.350 | Semi-Annual | Semi-Annual | 03/03/2025 | 188700 | 188700 | 184 | 184 |  | 12462 | 12462 |  | 12646 | 12646 |  | 277 |  | 0 |
| Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.400 | Semi-Annual | Semi-Annual | 04/05/2025 | 188700 | 188700 | 215 | 215 |  | 13774 | 13774 |  | 13989 | 13989 |  | 260 |  | 0 |
| Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.500 | Semi-Annual | Semi-Annual | 05/04/2025 | 188700 | 188700 | 223 | 223 |  | 13462 | 13462 |  | 13685 | 13685 |  | 255 |  | 0 |
| Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 0.500 | Semi-Annual | Semi-Annual | 06/16/2028 | 14840 | 14840 | (272) | (272) |  | (2279) | (2279) |  | (2551) | (2551) |  | 0 |  | (29) |
| Pay | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.500 | Semi-Annual | Semi-Annual | 12/15/2028 | 154500 | 154500 | 1026 | 1026 |  | (21325) | (21325) |  | (20299) | (20299) |  | 0 |  | (325) |
| Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 1.988 | Semi-Annual | Semi-Annual | 02/09/2032 | 3900 | 3900 | 24 | 24 |  | 527 | 527 |  | 551 | 551 |  | 8 |  | 0 |
| Receive | 3-Month USD-LIBOR | 3-Month USD-LIBOR | 2.008 | Semi-Annual | Semi-Annual | 02/09/2032 | 6500 | 6500 | 30 | 30 |  | 881 | 881 |  | 911 | 911 |  | 16 |  | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **14694** | **14694** | $**36332** | **36332** | **36332** | $**51026** | **51026** | **51026** | $**2897** | **2897** | $**(1144)** | **(1144)** |
| **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $31,901 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** | **PURCHASED OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Counterparty | Description | Description | Description | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Cost | Cost | Cost | Market<br>Value | Market<br>Value |
| BOA | BOA | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 5.500% | 5.500% | 09/18/2023 | 09/18/2023 | 09/18/2023 | 61800 | 61800 | 61800 | $138 | 138 | 138 | 63 | 63 |
|  |  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.228 | 3.228 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 10600 | 10600 | 10600 | 112 | 112 | 112 | 27 | 27 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.530 | 3.530 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 17000 | 17000 | 17000 | 145 | 145 | 145 | 215 | 215 |
| BPS | BPS | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.513 | 3.513 | 03/06/2023 | 03/06/2023 | 03/06/2023 | 10600 | 10600 | 10600 | 80 | 80 | 80 | 170 | 170 |
|  |  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.800 | 2.800 | 12/20/2023 | 12/20/2023 | 12/20/2023 | 6900 | 6900 | 6900 | 140 | 140 | 140 | 113 | 113 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.550 | 3.550 | 12/20/2023 | 12/20/2023 | 12/20/2023 | 20500 | 20500 | 20500 | 415 | 415 | 415 | 542 | 542 |
| BRC | BRC | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 2.800 | 2.800 | 12/20/2023 | 12/20/2023 | 12/20/2023 | 6800 | 6800 | 6800 | 140 | 140 | 140 | 112 | 112 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.550 | 3.550 | 12/20/2023 | 12/20/2023 | 12/20/2023 | 20500 | 20500 | 20500 | 414 | 414 | 414 | 542 | 542 |
| CBK | CBK | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.380 | 3.380 | 04/06/2023 | 04/06/2023 | 04/06/2023 | 3100 | 3100 | 3100 | 66 | 66 | 66 | 91 | 91 |
|  |  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.285 | 3.285 | 04/14/2023 | 04/14/2023 | 04/14/2023 | 3000 | 3000 | 3000 | 71 | 71 | 71 | 112 | 112 |
| DUB | DUB | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.120 | 3.120 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 1200 | 1200 | 1200 | 13 | 13 | 13 | 2 | 2 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.518 | 3.518 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 56000 | 56000 | 56000 | 484 | 484 | 484 | 733 | 733 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.533 | 3.533 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 15400 | 15400 | 15400 | 131 | 131 | 131 | 194 | 194 |
|  |  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.513 | 3.513 | 03/06/2023 | 03/06/2023 | 03/06/2023 | 11000 | 11000 | 11000 | 81 | 81 | 81 | 177 | 177 |
|  |  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.720 | 3.720 | 03/06/2023 | 03/06/2023 | 03/06/2023 | 23000 | 23000 | 23000 | 264 | 264 | 264 | 272 | 272 |
| GLM | GLM | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 5.500 | 5.500 | 09/18/2023 | 09/18/2023 | 09/18/2023 | 59600 | 59600 | 59600 | 131 | 131 | 131 | 61 | 61 |
|  |  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.123 | 3.123 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 10300 | 10300 | 10300 | 116 | 116 | 116 | 17 | 17 |
| JPM | JPM | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | 3.635 | 3.635 | 03/06/2023 | 03/06/2023 | 03/06/2023 | 4800 | 4800 | 4800 | 38 | 38 | 38 | 59 | 59 |
| MYC | MYC | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | 3.203 | 3.203 | 02/06/2023 | 02/06/2023 | 02/06/2023 | 11500 | 11500 | 11500 | 123 | 123 | 123 | 27 | 27 |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.515 | 3.515 | 02/06/2023 | 13800 | 117 | 182 |
|  | Call - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.770 | 2.770 | 12/21/2023 | 41000 | 825 | 654 |
|  | Put - OTC 7-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.520 | 3.520 | 12/21/2023 | 41000 | 825 | 1113 |
|  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.348 | 3.348 | 04/13/2023 | 3000 | 60 | 98 |
|  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.225 | 3.225 | 04/20/2023 | 2900 | 71 | 125 |
|  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.273 | 3.273 | 04/20/2023 | 2900 | 65 | 114 |
|  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.200 | 3.200 | 04/21/2023 | 3200 | 94 | 146 |
|  |  |  |  |  |  |  |  | $5159 | $5961 |
| **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | **Total Purchased Options** | $**5159** | $**5961** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Market<br>Value |
| BOA | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 5.750% | 5.750% | 09/18/2023 | 30900 | $(54) | $(22) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 6.000 | 6.000 | 09/18/2023 | 30900 | (46) | (14) |
| CBK | Put - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.750 | 3.750 | 04/06/2023 | 17000 | (65) | (204) |
|  | Put - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.750 | 3.750 | 04/14/2023 | 16700 | (72) | (200) |
| GLM | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 5.750 | 5.750 | 09/18/2023 | 29800 | (52) | (21) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 6.000 | 6.000 | 09/18/2023 | 29800 | (43) | (14) |
| MYC | Put - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.750 | 3.750 | 04/13/2023 | 16700 | (60) | (200) |
|  | Put - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 4.000 | 4.000 | 04/20/2023 | 32400 | (136) | (278) |
|  | Put - OTC 2-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 4.000 | 4.000 | 04/21/2023 | 17800 | (95) | (153) |
|  |  |  |  |  |  |  |  | $(623) | $(1106) |
| **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** |
| Counterparty | Description | Description | Strike<br>Price | Strike<br>Price | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Market<br>Value |
| BOA | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | $94.031 | 94.031 | 01/05/2023 | 01/05/2023 | 7000 | $(40) | $(35) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | 101.891 | 101.891 | 01/05/2023 | 01/05/2023 | 62900 | (187) | 0 |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.813 | 99.813 | 02/06/2023 | 02/06/2023 | 11400 | (77) | (72) |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.977 | 99.977 | 02/06/2023 | 02/06/2023 | 24000 | (158) | (166) |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 100.000 | 100.000 | 02/06/2023 | 02/06/2023 | 8600 | (58) | (60) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 101.813 | 101.813 | 02/06/2023 | 02/06/2023 | 11400 | (69) | (24) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 102.000 | 102.000 | 02/06/2023 | 02/06/2023 | 8600 | (52) | (15) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 102.438 | 102.438 | 02/06/2023 | 02/06/2023 | 22000 | (124) | (24) |
| JPM | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.000 | 97.000 | 03/06/2023 | 03/06/2023 | 27800 | (239) | (428) |
|  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | 97.156 | 97.156 | 03/06/2023 | 03/06/2023 | 27800 | (239) | (450) |
|  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.000 | 99.000 | 03/06/2023 | 03/06/2023 | 27800 | (204) | (70) |
|  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | 99.156 | 99.156 | 03/06/2023 | 03/06/2023 | 27800 | (202) | (62) |
|  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 98.766 | 98.766 | 03/06/2023 | 03/06/2023 | 4800 | (41) | (66) |
|  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 100.766 | 100.766 | 03/06/2023 | 03/06/2023 | 4800 | (34) | (16) |
|  | Put - OTC Fannie Mae 5.500% due 03/01/2053  | Put - OTC Fannie Mae 5.500% due 03/01/2053  | 99.766 | 99.766 | 03/06/2023 | 03/06/2023 | 11500 | (79) | (115) |
|  | Put - OTC Fannie Mae 5.500% due 03/01/2053  | Put - OTC Fannie Mae 5.500% due 03/01/2053  | 99.781 | 99.781 | 03/06/2023 | 03/06/2023 | 12000 | (83) | (120) |
| MSC | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | 94.031 | 94.031 | 01/05/2023 | 01/05/2023 | 14000 | (79) | (69) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | 94.703 | 94.703 | 01/05/2023 | 01/05/2023 | 3000 | (7) | (4) |
|  | Call - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 4.000% due 01/01/2053  | 95.266 | 95.266 | 01/05/2023 | 01/05/2023 | 14000 | (50) | (6) |
| SAL | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | 97.578 | 97.578 | 03/06/2023 | 03/06/2023 | 17100 | (136) | (160) |
|  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | 99.578 | 99.578 | 03/06/2023 | 03/06/2023 | 17100 | (123) | (125) |
|  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.000% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.000% due 02/01/2053  | 98.563 | 98.563 | 02/06/2023 | 02/06/2023 | 15500 | (115) | (141) |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | 101.859 | 101.859 | 101.859 | 01/05/2023 |  |  | 77400 |  | (230) | (230) | (1) |
|  |  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | 102.250 | 102.250 | 102.250 | 01/05/2023 |  |  | 86000 |  | (255) | (255) | 0 |
|  |  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.750 | 99.750 | 99.750 | 02/06/2023 |  |  | 29500 |  | (207) | (207) | (179) |
|  |  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 99.938 | 99.938 | 99.938 | 02/06/2023 |  |  | 17000 |  | (110) | (110) | (115) |
|  |  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 100.000 | 100.000 | 100.000 | 02/06/2023 |  |  | 40000 |  | (269) | (269) | (280) |
|  |  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 100.063 | 100.063 | 100.063 | 02/06/2023 |  |  | 48000 |  | (315) | (315) | (348) |
|  |  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 101.750 | 101.750 | 101.750 | 02/06/2023 |  |  | 29500 |  | (171) | (171) | (67) |
|  |  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | 102.000 | 102.000 | 102.000 | 02/06/2023 |  |  | 62000 |  | (358) | (358) | (110) |
|  |  |  |  |  |  |  |  |  |  |  | $ | (4311) | (4311) | (3328) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(4934)** | **(4934)** | **(4434)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON ASSET-BACKED SECURITIES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Counterparty | Reference Obligation | Fixed <br>Receive Rate | Payment<br>Frequency | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset |
| GST | GST | Structured Asset Investment Loan Trust 5.034% due 11/25/2034  | 1.950% | Monthly | Monthly | 11/25/2034 | 11/25/2034 | 3 | 3 | (3) | (3) | $3 | $0 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **(3)** | **(3)** | **3** | **0** | **$** |
| **(j)** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $3,117 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | 0 | $53 | 53 | $0 | 0 | 0 | 53 | 53 |
| Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 0 | 802 | 802 | 0 | 0 | 0 | 802 | 802 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| Texas | Texas | Texas | Texas | Texas | 0 | 0 | 0 | 3783 | 3783 | 0 | 0 | 0 | 3783 | 3783 |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 | 0 | 3675139 | 3675139 | 39 | 39 | 39 | 3675178 | 3675178 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 0 | 200567 | 200567 | 0 | 0 | 0 | 200567 | 200567 |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 0 | 268598 | 268598 | 0 | 0 | 0 | 268598 | 268598 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 0 | 3384 | 3384 | 0 | 0 | 0 | 3384 | 3384 |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 | 0 | 25989 | 25989 | 0 | 0 | 0 | 25989 | 25989 |
|  |  |  |  |  | $0 | 0 | 0 | $4178315 | 4178315 | $39 | 39 | 39 | 4178354 | 4178354 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $324 | 324 | 324 | $0 | 0 | $0 | 0 | 0 | 324 | 324 |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $324 | 324 | 324 | $4178315 | 4178315 | $39 | 39 | 39 | 4178678 | 4178678 |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | $0 | 0 | 0 | $(904428) | (904428) | $0 | 0 | 0 | (904428) | (904428) |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 0 | 0 | 2961 | 2961 | 0 | 0 | 0 | 2961 | 2961 |
| Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | 0 | 0 | 0 | 5961 | 5961 | 0 | 0 | 0 | 5961 | 5961 |
|  |  |  |  |  | $0 | 0 | 0 | $8922 | 8922 | $0 | 0 | 0 | 8922 | 8922 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |

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<br> Schedule of Investments PIMCO Mortgage and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| Exchange-traded or centrally cleared | 0 | (1235) | 0 | (1235) |
| Over the counter | 0 | (4434) | 0 | (4434) |
|  | $0 | $(5669) | $0 | $(5669) |
| Total Financial Derivative Instruments | $0 | $3253 | $0 | $3253 |
| Totals | $324 | $3277140 | $39 | $3277503 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Municipal Portfolio December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 95.8% ¤** |  |  |
| **CORPORATE BONDS & NOTES 2.3%**  |  |  |
| **INDUSTRIALS 2.3%**  |  |  |
| **Hoag Memorial Hospital Presbyterian** <br>3.803% due 07/15/2052 | $1000 | $783 |
| **Northwell Healthcare, Inc.** <br>4.260% due 11/01/2047 | 2000 | 1598 |
| Total Corporate Bonds & Notes (Cost $3,037) |  | 2381 |
| **MUNICIPAL BONDS & NOTES 93.2%**  |  |  |
| **ARIZONA 3.0%**  |  |  |
| **Industrial Development Authority of the County, Arizona of Pima Revenue Bonds, Series 2021**  |  |  |
| 4.000% due 04/01/2036  | 840 | 827 |
| 4.000% due 04/01/2038  | 1035 | 986 |
| **Phoenix Civic Improvement Corp., Arizona Revenue Bonds, Series 2019** <br>5.000% due 07/01/2049 | 1250 | 1289 |
|  |  | 3102 |
| **CALIFORNIA 6.6%**  |  |  |
| **Golden State, California Tobacco Securitization Corp. Revenue Bonds, Series 2018** <br>5.000% due 06/01/2031 | 1270 | 1432 |
| **Golden State, California Tobacco Securitization Corp. Revenue Notes, Series 2021** <br>1.850% due 06/01/2031 | 235 | 232 |
| **Inland Empire Tobacco Securitization Corp., California Revenue Bonds, Series 2019** <br>3.678% due 06/01/2038 | 1065 | 994 |
| **Long Beach Bond Finance Authority, California Revenue Bonds, Series 2007** <br>5.500% due 11/15/2027 | 1000 | 1067 |
| **Mount San Antonio Community College District, California General Obligation Bonds, Series 2019** <br>4.000% due 08/01/2049 | 1900 | 1843 |
| **Sanger Unified School District, California Certificates of Participation Bonds, (AGM Insured), Series 2022** <br>5.000% due 06/01/2045 | 1000 | 1059 |
| **Sonoma County, California Revenue Bonds, Series 2010** <br>6.000% due 12/01/2029 | 120 | 123 |
|  |  | 6750 |
| **CONNECTICUT 2.7%**  |  |  |
| **Connecticut State Health & Educational Facilities Authority Revenue Bonds, Series 2017** <br>4.000% due 07/01/2047 | 3000 | 2701 |
| **FLORIDA 6.1%**  |  |  |
| **Central Florida Expressway Authority Revenue Bonds, Series 2019** <br>5.000% due 07/01/2044 | 1000 | 1052 |
| **Miami-Dade County, Florida Transit System Revenue Bonds, Series 2018** <br>4.000% due 07/01/2044 | 1500 | 1447 |
| **Palm Beach County, Florida Health Facilities Authority Revenue Bonds, Series 2019** <br>4.000% due 08/15/2049 | 1000 | 883 |
| **Putnam County Development Authority, Florida Revenue Bonds, Series 2018** <br>5.000% due 03/15/2042 | 1000 | 1069 |
| **South Miami Health Facilities Authority, Florida Revenue Bonds, Series 2017** <br>4.000% due 08/15/2047 | 2000 | 1785 |
|  |  | 6236 |
| **GEORGIA 0.3%**  |  |  |
| **Municipal Electric Authority of Georgia Revenue Notes, (AGM Insured), Series 2021** <br>5.000% due 01/01/2030 | 300 | 334 |
| **HAWAII 1.5%**  |  |  |
| **Hawaii Airports System State Revenue Bonds, Series 2018** <br>5.000% due 07/01/2048 | 1500 | 1519 |
| **ILLINOIS 9.7%**  |  |  |
| **Chicago O'Hare International Airport, Illinois Revenue Bonds, Series 2022** <br>5.000% due 01/01/2055 | 1000 | 1008 |
| **Chicago, Illinois General Obligation Bonds, Series 2015**  |  |  |
| 5.250% due 01/01/2027  | 3000 | 3064 |

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<br> Schedule of Investments PIMCO Municipal Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| 5.250% due 01/01/2028  | 2000 | 2043 |
| **Illinois State General Obligation Bonds, (BABs), Series 2010** <br>7.350% due 07/01/2035 | 836 | 880 |
| **Illinois State General Obligation Notes, Series 2017** <br>5.000% due 11/01/2025 | 2000 | 2051 |
| **Sales Tax Securitization Corp., Illinois Revenue Bonds, Series 2020** <br>4.000% due 01/01/2038 | 905 | 873 |
|  |  | 9919 |
| **INDIANA 0.9%**  |  |  |
| **Indiana Finance Authority Health System Revenue Bonds, Series 2019** <br>4.000% due 12/01/2049 | 1000 | 951 |
| **KANSAS 1.0%**  |  |  |
| **Kansas Development Finance Authority Revenue Bonds, (BAM Insured),Series 2021** <br>2.774% due 05/01/2051 | 1500 | 1014 |
| **LOUISIANA 1.4%**  |  |  |
| **East Baton Rouge Sewerage Commission, Louisiana Revenue Bonds, Series 2019** <br>4.000% due 02/01/2040 | 1500 | 1461 |
| **MARYLAND 1.7%**  |  |  |
| **Maryland Department of Transportation State Revenue Bonds, Series 2021** <br>5.000% due 08/01/2034 | 1600 | 1726 |
| **MASSACHUSETTS 1.0%**  |  |  |
| **Massachusetts Development Finance Agency Revenue Bonds, Series 2018** <br>5.000% due 07/01/2048 | 1000 | 1017 |
| **MICHIGAN 2.9%**  |  |  |
| **Michigan State University Revenue Bonds, Series 2019** <br>4.000% due 02/15/2039 | 3000 | 3006 |
| **MINNESOTA 2.5%**  |  |  |
| **St Cloud, Minnesota Revenue Bonds, Series 2019** <br>5.000% due 05/01/2048 | 2500 | 2554 |
| **NEVADA 3.3%**  |  |  |
| **Clark Department of Aviation, Nevada Revenue Bonds, Series 2014** <br>4.250% due 07/01/2034 | 2000 | 2019 |
| **Reno, Nevada Revenue Bonds, (NPFGC Insured), Series 2005**  |  |  |
| 0.000% due 06/01/2034 (a)  | 980 | 546 |
| 0.000% due 06/01/2036 (a)  | 1520 | 754 |
|  |  | 3319 |
| **NEW JERSEY 2.8%**  |  |  |
| **New Jersey Economic Development Authority Revenue Bonds, Series 2017** <br>5.000% due 06/15/2034 | 1000 | 1049 |
| **New Jersey Economic Development Authority Revenue Bonds, Series 2021** <br>4.000% due 06/15/2040 | 1000 | 914 |
| **New Jersey Transportation Trust Fund Authority Revenue Bonds, Series 2020** <br>4.000% due 06/15/2039 | 1000 | 926 |
|  |  | 2889 |
| **NEW YORK 7.3%**  |  |  |
| **New York City Transitional Finance Authority Future Tax Secured, New York Revenue Bonds, Series 2018** <br>5.000% due 08/01/2042 | 3100 | 3283 |
| **New York State Dormitory Authority Revenue Bonds, Series 2018** <br>5.000% due 10/01/2048 | 500 | 571 |
| **New York State Dormitory Authority Revenue Bonds, Series 2019** <br>5.000% due 07/01/2042 | 1000 | 1081 |
| **New York State Housing Finance Agency Revenue Bonds, (FHA Insured), Series 2020** <br>4.200% due 11/01/2054 (b) | 695 | 621 |
| **New York State Urban Development Corp. Revenue Bonds, Series 2019** <br>4.000% due 03/15/2045 | 2000 | 1877 |
|  |  | 7433 |
| **OREGON 0.8%**  |  |  |
| **Oregon Education Districts General Obligation Bonds, Series 2021** <br>2.207% due 06/30/2033 | 1000 | 767 |
| **PENNSYLVANIA 13.5%**  |  |  |
| **Commonwealth Financing Authority, Pennsylvania Revenue Bonds, Series 2020** <br>3.532% due 06/01/2042 | 2000 | 1569 |
| **Geisinger Authority, Pennsylvania Revenue Bonds, Series 2017** <br>4.000% due 02/15/2039 | 2500 | 2423 |

---

------

<br> Schedule of Investments PIMCO Municipal Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Monroeville** **Finance Authority, Pennsylvania Revenue Bonds, Series 2022** <br>4.000% due 02/15/2037 | 1000 | 976 |
| **Montgomery County, Pennsylvania Higher Education and Health Authority Revenue Bonds, Series 2022** <br>4.000% due 05/01/2056 | 1000 | 847 |
| **Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2017** <br>4.000% due 08/15/2041 | 3000 | 2984 |
| **Pennsylvania Higher Educational Facilities Authority Revenue Bonds, Series 2019** <br>5.000% due 08/15/2049 | 550 | 571 |
| **Pennsylvania Turnpike Commission Revenue Bonds, Series 2017** <br>5.000% due 12/01/2040 | 1000 | 1035 |
| **Pennsylvania Turnpike Commission Revenue Bonds, Series 2018** <br>5.000% due 12/01/2043 | 3250 | 3401 |
|  |  | 13806 |
| **TENNESSEE 4.1%**  |  |  |
| **Metropolitan Government of Nashville & Davidson County, Tennessee Water & Sewer Revenue Bonds, (BABs), Series 2010** <br>6.568% due 07/01/2037 | 1000 | 1122 |
| **Tennessee Energy Acquisition Corp. Revenue Bonds, Series 2006** <br>5.000% due 02/01/2025 | 3000 | 3041 |
|  |  | 4163 |
| **TEXAS 15.6%**  |  |  |
| **Dallas Fort Worth International Airport, Texas Revenue Bonds, Series 2022** <br>5.000% due 11/01/2037 | 1000 | 1110 |
| **Houston, Texas Combined Utility System Revenue Bonds, Series 2018** <br>5.000% due 11/15/2043 | 3000 | 3182 |
| **Lower Colorado River Authority, Texas Revenue Bonds, Series 2019** <br>5.000% due 05/15/2039 | 1500 | 1563 |
| **New Hope Cultural Education Facilities Finance Corp., Texas Revenue Bonds, Series 2017** <br>4.000% due 08/15/2040 | 1550 | 1503 |
| **North Texas Tollway Authority Revenue Bonds, Series 2017** <br>5.000% due 01/01/2043 | 2500 | 2600 |
| **SA Energy Acquisition Public Facility Corp., Texas Revenue Bonds, Series 2007** <br>5.500% due 08/01/2027 | 2000 | 2112 |
| **Texas Transportation Commission Revenue Bonds, Series 2019** <br>5.000% due 08/01/2057 | 1000 | 991 |
| **Texas Water Development Board Revenue Bonds, Series 2019** <br>4.000% due 10/15/2049 | 3000 | 2868 |
|  |  | 15929 |
| **WASHINGTON 3.1%**  |  |  |
| **Washington State General Obligation Bonds, Series 2018** <br>5.000% due 02/01/2042 | 3000 | 3164 |
| **WISCONSIN 1.4%**  |  |  |
| **Wisconsin Health & Educational Facilities Authority Revenue Bonds, Series 2016** <br>4.000% due 11/15/2046 | 1500 | 1426 |
| Total Municipal Bonds & Notes (Cost $100,725) |  | 95186 |
| **SHORT-TERM INSTRUMENTS 0.3%**  |  |  |
| **REPURCHASE AGREEMENTS (c) 0.3%** |  | 278 |
| Total Short-Term Instruments (Cost $278) |  | 278 |
| Total Investments in Securities (Cost $104,040) |  | 97845 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 3.0%**  |  |  |
| **SHORT-TERM INSTRUMENTS 3.0%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 3.0%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 313291 | 3044 |
| Total Short-Term Instruments (Cost $3,041) |  | 3044 |
| Total Investments in Affiliates (Cost $3,041) |  | 3044 |
| Total Investments 98.8% (Cost $107,081) |  | $100889 |
| Other Assets and Liabilities, net 1.2% |  | 1258 |
| Net Assets 100.0% |  | $102147 |

---

------

<br> Schedule of Investments PIMCO Municipal Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **(a)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(b)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Coupon | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| New York State Housing Finance Agency Revenue Bonds, (FHA Insured), Series 2020 | % | 11/01/2054 | 11/01/2054 | 11/18/2021 | 11/18/2021 | 785 | $ | $621 | 621 | 0.61 | 0.61% |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(c)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) |  | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 278 | 278 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | $(284) | (284) | $ | $278 | $ | $278 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  | $**(284)** | **(284)** | **$** | $**278** | **$** | $**278** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Industrials | Industrials | $ | $0 | 0 | $2381 | 0 | 0 | $ | $2381 | 2381 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |
| Arizona | Arizona |  | 0 | 0 | 3102 | 0 | 0 |  | 3102 | 3102 |  |
| California | California |  | 0 | 0 | 6750 | 0 | 0 |  | 6750 | 6750 |  |
| Connecticut | Connecticut |  | 0 | 0 | 2701 | 0 | 0 |  | 2701 | 2701 |  |
| Florida | Florida |  | 0 | 0 | 6236 | 0 | 0 |  | 6236 | 6236 |  |
| Georgia | Georgia |  | 0 | 0 | 334 | 0 | 0 |  | 334 | 334 |  |
| Hawaii | Hawaii |  | 0 | 0 | 1519 | 0 | 0 |  | 1519 | 1519 |  |
| Illinois | Illinois |  | 0 | 0 | 9919 | 0 | 0 |  | 9919 | 9919 |  |
| Indiana | Indiana |  | 0 | 0 | 951 | 0 | 0 |  | 951 | 951 |  |
| Kansas | Kansas |  | 0 | 0 | 1014 | 0 | 0 |  | 1014 | 1014 |  |
| Louisiana | Louisiana |  | 0 | 0 | 1461 | 0 | 0 |  | 1461 | 1461 |  |
| Maryland | Maryland |  | 0 | 0 | 1726 | 0 | 0 |  | 1726 | 1726 |  |
| Massachusetts | Massachusetts |  | 0 | 0 | 1017 | 0 | 0 |  | 1017 | 1017 |  |
| Michigan | Michigan |  | 0 | 0 | 3006 | 0 | 0 |  | 3006 | 3006 |  |
| Minnesota | Minnesota |  | 0 | 0 | 2554 | 0 | 0 |  | 2554 | 2554 |  |
| Nevada | Nevada |  | 0 | 0 | 3319 | 0 | 0 |  | 3319 | 3319 |  |
| New Jersey | New Jersey |  | 0 | 0 | 2889 | 0 | 0 |  | 2889 | 2889 |  |
| New York | New York |  | 0 | 0 | 7433 | 0 | 0 |  | 7433 | 7433 |  |
| Oregon | Oregon |  | 0 | 0 | 767 | 0 | 0 |  | 767 | 767 |  |
| Pennsylvania | Pennsylvania |  | 0 | 0 | 13806 | 0 | 0 |  | 13806 | 13806 |  |
| Tennessee | Tennessee |  | 0 | 0 | 4163 | 0 | 0 |  | 4163 | 4163 |  |
| Texas | Texas |  | 0 | 0 | 15929 | 0 | 0 |  | 15929 | 15929 |  |
| Washington | Washington |  | 0 | 0 | 3164 | 0 | 0 |  | 3164 | 3164 |  |
| Wisconsin | Wisconsin |  | 0 | 0 | 1426 | 0 | 0 |  | 1426 | 1426 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements |  | 0 | 0 | 278 | 0 | 0 |  | 278 | 278 |  |
|  |  | $ | $0 | 0 | $97845 | 0 | 0 | $ | $97845 | 97845 |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $ | $3044 | 3044 | $0 | 0 | 0 | $ | $3044 | 3044 |  |
| Total Investments | Total Investments | $ | $3044 | 3044 | $97845 | 0 | 0 | $ | $100889 | 100889 |  |
| <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | <br> **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Real Return Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 175.9% ¤** |  |  |
| **U.S. TREASURY OBLIGATIONS 175.0%**  |  |  |
| **U.S. Treasury Inflation Protected Securities (a)** |  |  |
| 0.125% due 07/15/2024  | $1883 | $1822 |
| 0.125% due 10/15/2024  | 813 | 783 |
| 0.125% due 04/15/2025  | 2307 | 2199 |
| 0.125% due 10/15/2025  | 1149 | 1092 |
| 0.125% due 04/15/2026 (b) | 4773 | 4488 |
| 0.125% due 10/15/2026 (b) | 2814 | 2638 |
| 0.125% due 01/15/2030 (b) | 3718 | 3342 |
| 0.125% due 07/15/2030  | 1279 | 1146 |
| 0.125% due 01/15/2031  | 2679 | 2381 |
| 0.125% due 07/15/2031  | 2179 | 1927 |
| 0.125% due 01/15/2032 (b) | 3698 | 3242 |
| 0.125% due 02/15/2051  | 1522 | 982 |
| 0.250% due 01/15/2025  | 38 | 36 |
| 0.250% due 02/15/2050  | 904 | 610 |
| 0.375% due 07/15/2025 (b) | 5396 | 5183 |
| 0.375% due 01/15/2027  | 2344 | 2211 |
| 0.500% due 04/15/2024  | 1891 | 1839 |
| 0.500% due 01/15/2028 (b) | 4349 | 4092 |
| 0.625% due 04/15/2023  | 2160 | 2137 |
| 0.625% due 01/15/2024  | 3027 | 2963 |
| 0.625% due 02/15/2043  | 389 | 314 |
| 0.750% due 07/15/2028 (b) | 3205 | 3055 |
| 0.750% due 02/15/2042  | 1213 | 1017 |
| 0.750% due 02/15/2045  | 1063 | 861 |
| 0.875% due 01/15/2029  | 944 | 900 |
| 0.875% due 02/15/2047  | 160 | 132 |
| 1.000% due 02/15/2046  | 1975 | 1679 |
| 1.000% due 02/15/2048  | 1764 | 1487 |
| 1.375% due 02/15/2044  | 818 | 761 |
| 1.750% due 01/15/2028  | 2915 | 2914 |
| 2.125% due 02/15/2041  | 1402 | 1486 |
| 3.625% due 04/15/2028 (b) | 5085 | 5545 |
| 3.875% due 04/15/2029 (b) | 3276 | 3682 |
| Total U.S. Treasury Obligations (Cost $78,422) |  | 68946 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 0.9%**  |  |  |
| **Chevy Chase Funding LLC Mortgage-Backed Certificates** <br>4.669% due 01/25/2035 •  | 60 | 55 |
| **Merrill Lynch Mortgage Investors Trust** <br>4.809% due 07/25/2030 ~ | 322 | 297 |
| Total Non-Agency Mortgage-Backed Securities (Cost $365) |  | 352 |
| Total Investments in Securities (Cost $78,787) |  | 69298 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 5.6%**  |  |  |
| **SHORT-TERM INSTRUMENTS 5.6%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 5.6%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 225838 | 2194 |
| Total Short-Term Instruments (Cost $2,194) |  | 2194 |
| Total Investments in Affiliates (Cost $2,194) |  | 2194 |
| Total Investments 181.5% (Cost $80,981) |  | $71492 |
| **Financial Derivative Instruments (c)(d) 0.0**%(Cost or Premiums, net $(219)) |  | 1 |
| Other Assets and Liabilities, net (81.5)% |  | (32097) |
| Net Assets 100.0% |  | $39396 |

---

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<br> Schedule of Investments PIMCO Real Return Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** | **Principal amount of security is adjusted for inflation.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Counterparty | Borrowing Rate<sup>(1)</sup> | Settlement Date | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(1)</sup> | Amount<br>Borrowed<sup>(1)</sup> | Amount<br>Borrowed<sup>(1)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BSN | BSN | BSN | 4.160%  | 11/03/2022 | 11/03/2022 | 01/04/2023 | 01/04/2023 | (32611) | (32611) | (32611) | (32841) | (32841) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  | **(32841)** | **(32841)** |
| **(b)** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $32,662 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(42070) at a weighted average interest rate of 2.072%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| **(c)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset |  | Liability |
| Euro-Schatz March Futures  | Euro-Schatz March Futures  | 03/2023 | 03/2023 | 11 | (1241) | (1241) | 16 | 16 | 1 | 1 | $ | (1) |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 03/2023 | 1 | (134) | (134) | 9 | 9 | 1 | 1 |  | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **25** | **$** | **2** | **2** | **$** | **(1)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive<sup>(1)</sup> | Annual | 12/09/2052 | 12/09/2052 | 100 | 0 | $ | 3 | 3 | 3 | 0 | 0 | $0 |
| Pay | Maturity | 08/15/2027 | 08/15/2027 | 900 | 4 |  | 7 | 11 | 11 | 3 | 3 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **$** | **10** | **14** | **$** | **3** | **$** | **0** |
| **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $105 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(d)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | EUR | 35 | 35 | 37 | 37 | 37 | 0 | 0 | 0 | (1) | (1) |
|  | 01/2023  | JPY | 9200 | 9200 | 68 | 68 | 68 | 0 | 0 | 0 | (2) | (2) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **0** | **0** | **$** | **(3)** | **(3)** |

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------

<br> Schedule of Investments PIMCO Real Return Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** |
| **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** | **INFLATION-CAPPED OPTIONS** |
| Counterparty | Initial<br>Index | &nbsp;&nbsp;&nbsp;&nbsp; Floating<br>Rate | &nbsp;&nbsp;&nbsp;&nbsp; Floating<br>Rate | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value |
| JPM | 233.916 | &nbsp;&nbsp;&nbsp;&nbsp; Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | &nbsp;&nbsp;&nbsp;&nbsp; Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | 04/22/2024 | 04/22/2024 | 28300 | 28300 | $(206) | (206) | $0 |
|  | 234.781 | &nbsp;&nbsp;&nbsp;&nbsp; Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | &nbsp;&nbsp;&nbsp;&nbsp; Maximum of [(Final Index/Initial Index - 1) - 4.000%] or 0 | 05/16/2024 | 05/16/2024 | 2400 | 2400 | (17) | (17) | 0 |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | $**(223)** | **(223)** | $**0** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | $0 | 0 | $68946 | 68946 | $0 | 0 | $68946 | 68946 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 352 | 352 | 0 | 0 | 352 | 352 |
|  |  |  | $0 | 0 | $69298 | 69298 | $0 | 0 | $69298 | 69298 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
|  | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $2194 | 2194 | $0 | 0 | $0 | 0 | $2194 | 2194 |
| Total Investments | Total Investments | Total Investments | $2194 | 2194 | $69298 | 69298 | $0 | 0 | $71492 | 71492 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | $1 | 1 | $4 | 4 | $0 | 0 | $5 | 5 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | (1) | (1) | 0 | 0 | 0 | 0 | (1) | (1) |
| Over the counter | Over the counter | Over the counter | 0 | 0 | (3) | (3) | 0 | 0 | (3) | (3) |
|  |  |  | $(1) | (1) | $(3) | (3) | $0 | 0 | $(4) | (4) |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | 0 | $1 | 1 | $0 | 0 | $1 | 1 |
| Totals | Totals | Totals | $2194 | 2194 | $69299 | 69299 | $0 | 0 | $71493 | 71493 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 111.6% ¤** |  |  |
| **CORPORATE BONDS & NOTES 76.8%**  |  |  |
| **BANKING & FINANCE 31.4%**  |  |  |
| **AerCap Ireland Capital DAC**  |  |  |
| 3.850% due 10/29/2041  | $600 | $426 |
| 4.875% due 01/16/2024  | 600 | 595 |
| **AIA Group Ltd.** <br>5.625% due 10/25/2027 | 200 | 204 |
| **Alexandria Real Estate Equities, Inc.** <br>3.000% due 05/18/2051 | 500 | 318 |
| **Ally Financial, Inc.** <br>8.000% due 11/01/2031 | 300 | 311 |
| **American Homes 4 Rent LP** <br>4.250% due 02/15/2028 | 300 | 278 |
| **American Tower Corp.** <br>2.100% due 06/15/2030 | 800 | 635 |
| **Aon Corp.** <br>2.800% due 05/15/2030 | 500 | 428 |
| **Banco Santander SA**  |  |  |
| 5.147% due 08/18/2025  | 200 | 198 |
| 5.294% due 08/18/2027  | 200 | 196 |
| **Bank Leumi Le-Israel BM** <br>5.125% due 07/27/2027 | 200 | 199 |
| **Bank of America Corp.**  |  |  |
| 1.922% due 10/24/2031 •  | 400 | 306 |
| 2.831% due 10/24/2051 •  | 800 | 494 |
| 2.884% due 10/22/2030 •  | 1400 | 1174 |
| 3.824% due 01/20/2028 •  | 300 | 280 |
| 6.204% due 11/10/2028 •  | 700 | 724 |
| **Bank of Ireland Group PLC** <br>6.253% due 09/16/2026 •  | 200 | 199 |
| **Barclays PLC**  |  |  |
| 2.645% due 06/24/2031 •  | 1500 | 1173 |
| 5.746% due 08/09/2033 •  | 500 | 474 |
| **Blackstone Holdings Finance Co. LLC** <br>6.200% due 04/22/2033 | 400 | 404 |
| **BNP Paribas SA** <br>7.750% due 08/16/2029 •(b)(c) | 300 | 297 |
| **Boston Properties LP** <br>6.750% due 12/01/2027 | 100 | 103 |
| **Brookfield Finance, Inc.** <br>3.500% due 03/30/2051 | 800 | 511 |
| **Citigroup, Inc.**  |  |  |
| 3.057% due 01/25/2033 •(d)  | 500 | 405 |
| 3.106% due 04/08/2026 •  | 650 | 616 |
| **CNA Financial Corp.** <br>2.050% due 08/15/2030 | 400 | 316 |
| **Cooperatieve Rabobank UA** <br>4.655% due 08/22/2028 •  | 300 | 288 |
| **Credit Suisse AG** <br>1.250% due 08/07/2026 | 400 | 324 |
| **Credit Suisse Group AG**  |  |  |
| 2.593% due 09/11/2025 •  | 300 | 265 |
| 6.442% due 08/11/2028 •  | 300 | 274 |
| **Crown Castle, Inc.**  |  |  |
| 1.050% due 07/15/2026  | 500 | 433 |
| 3.250% due 01/15/2051  | 300 | 196 |
| **Deutsche Bank AG**  |  |  |
| 2.311% due 11/16/2027 •  | 600 | 510 |
| 3.961% due 11/26/2025 •  | 400 | 383 |
| 6.119% due 07/14/2026 •  | 400 | 398 |
| **DNB Bank ASA** <br>5.896% due 10/09/2026 •  | 500 | 501 |
| **Equinix, Inc.** <br>3.000% due 07/15/2050 | 300 | 190 |
| **Essex Portfolio LP** <br>1.700% due 03/01/2028 | 500 | 417 |
| **Extra Space Storage LP** <br>3.900% due 04/01/2029 | 700 | 628 |
| **Federation des Caisses Desjardins du Quebec**  |  |  |
| 4.400% due 08/23/2025  | 200 | 195 |
| 4.550% due 08/23/2027  | 200 | 192 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Fifth** **Third Bacorp** <br>4.772% due 07/28/2030 •  | 200 | 191 |
| **GLP Capital LP** <br>5.250% due 06/01/2025 | 200 | 197 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 2.600% due 02/07/2030  | 1300 | 1088 |
| 3.800% due 03/15/2030  | 200 | 180 |
| 4.482% due 08/23/2028 •  | 300 | 288 |
| 7.250% due 04/10/2028  | 200 | 260 |
| **Host Hotels & Resorts LP**  |  |  |
| 2.900% due 12/15/2031  | $300 | 230 |
| 3.500% due 09/15/2030  | 300 | 248 |
| **HSBC Holdings PLC**  |  |  |
| 2.357% due 08/18/2031 •  | 500 | 383 |
| 2.848% due 06/04/2031 •  | 600 | 480 |
| 5.210% due 08/11/2028 •  | 400 | 387 |
| 5.402% due 08/11/2033 •  | 500 | 464 |
| 7.390% due 11/03/2028 •  | 500 | 526 |
| **Hudson Pacific Properties LP** <br>5.950% due 02/15/2028 | 100 | 94 |
| **ING Groep NV** <br>4.625% due 01/06/2026 | 300 | 293 |
| **JPMorgan Chase & Co.**  |  |  |
| 2.182% due 06/01/2028 •  | 1500 | 1314 |
| 4.452% due 12/05/2029 •  | 1200 | 1130 |
| 4.851% due 07/25/2028 •  | 400 | 391 |
| 4.912% due 07/25/2033 •  | 800 | 764 |
| **Kilroy Realty LP** <br>2.650% due 11/15/2033 | 300 | 209 |
| **Lazard Group LLC** <br>4.375% due 03/11/2029 | 100 | 93 |
| **Liberty Mutual Group, Inc.** <br>4.625% due 12/02/2030 | 500 | 512 |
| **Lloyds Banking Group PLC**  |  |  |
| 4.375% due 03/22/2028  | $400 | 380 |
| 4.550% due 08/16/2028  | 500 | 471 |
| 4.976% due 08/11/2033 •  | 500 | 461 |
| **Loews Corp.** <br>3.200% due 05/15/2030 | 200 | 177 |
| **Mid-America Apartments LP** <br>3.950% due 03/15/2029 | 400 | 376 |
| **Mitsubishi HC Capital, Inc.** <br>5.080% due 09/15/2027 | 200 | 197 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 1.640% due 10/13/2027 •  | 200 | 173 |
| 2.048% due 07/17/2030  | 1300 | 1028 |
| 5.017% due 07/20/2028 •  | 500 | 489 |
| **Morgan Stanley**  |  |  |
| 4.679% due 07/17/2026 •  | 500 | 492 |
| 6.296% due 10/18/2028 •  | 500 | 517 |
| 6.342% due 10/18/2033 •  | 200 | 210 |
| **MPT Operating Partnership LP**  |  |  |
| 3.375% due 04/24/2030  | 100 | 79 |
| 4.625% due 08/01/2029  | $100 | 76 |
| **NatWest Group PLC**  |  |  |
| 4.445% due 05/08/2030 •  | 600 | 545 |
| 4.892% due 05/18/2029 •  | 500 | 474 |
| 5.516% due 09/30/2028 •  | 200 | 198 |
| **Nomura Holdings, Inc.**  |  |  |
| 2.608% due 07/14/2031  | 500 | 388 |
| 2.679% due 07/16/2030  | 200 | 160 |
| **NTT Finance Corp.** <br>4.372% due 07/27/2027 | 100 | 98 |
| **Santander UK Group Holdings PLC** <br>6.833% due 11/21/2026 •  | 600 | 608 |
| **Societe Generale SA**  |  |  |
| 3.625% due 03/01/2041  | 200 | 130 |
| 6.221% due 06/15/2033 •  | 200 | 188 |
| **Standard Chartered PLC**  |  |  |
| 3.971% due 03/30/2026 •  | 200 | 191 |
| 7.776% due 11/16/2025 •  | 300 | 309 |
| **Synchrony Bank** <br>5.625% due 08/23/2027 | 250 | 244 |
| **Synchrony Financial** <br>3.950% due 12/01/2027 | 300 | 268 |
| **Truist Financial Corp.** <br>6.123% due 10/28/2033 •  | 300 | 317 |
| **UBS Group AG**  |  |  |
| 4.703% due 08/05/2027 •  | 400 | 387 |
| 4.988% due 08/05/2033 •  | 200 | 186 |
| **VICI Properties LP** <br>4.375% due 05/15/2025 | 300 | 292 |
| **Wells Fargo & Co.**  |  |  |
| 2.393% due 06/02/2028 •  | 200 | 177 |
| 2.879% due 10/30/2030 •  | 1500 | 1277 |
| 3.350% due 03/02/2033 •  | 300 | 254 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.897% due 07/25/2033 •  | 100 | 95 |
| **Welltower, Inc.** <br>4.250% due 04/01/2026 | 400 | 387 |
| **Weyerhaeuser Co.**  |  |  |
| 4.000% due 11/15/2029  | 600 | 549 |
| 4.000% due 04/15/2030  | 400 | 365 |
|  |  | 39393 |
| **INDUSTRIALS 38.7%**  |  |  |
| **AbbVie, Inc.**  |  |  |
| 4.050% due 11/21/2039  | 900 | 774 |
| 4.850% due 06/15/2044  | 300 | 276 |
| **Alibaba Group Holding Ltd.** <br>2.700% due 02/09/2041 | 600 | 385 |
| **Altria Group, Inc.** <br>3.400% due 02/04/2041 | 300 | 200 |
| **America Movil SAB de CV**  |  |  |
| 3.625% due 04/22/2029  | 700 | 636 |
| 5.375% due 04/04/2032  | 600 | 542 |
| **Amgen, Inc.**  |  |  |
| 3.375% due 02/21/2050  | 300 | 210 |
| 4.050% due 08/18/2029  | 300 | 281 |
| **AngloGold Ashanti Holdings PLC** <br>3.375% due 11/01/2028 | 500 | 437 |
| **Anheuser-Busch Cos. LLC** <br>4.700% due 02/01/2036 | 300 | 284 |
| **Anheuser-Busch InBev Finance, Inc.** <br>4.625% due 02/01/2044 | 400 | 361 |
| **ArcelorMittal SA** <br>6.800% due 11/29/2032 | 300 | 299 |
| **AstraZeneca PLC**  |  |  |
| 4.375% due 08/17/2048  | 500 | 447 |
| 6.450% due 09/15/2037  | 600 | 679 |
| **BAT Capital Corp.**  |  |  |
| 2.259% due 03/25/2028  | 400 | 333 |
| 4.700% due 04/02/2027  | 100 | 96 |
| **Baxter International, Inc.** <br>1.730% due 04/01/2031 | 1100 | 841 |
| **Bayer U.S. Finance LLC** <br>4.250% due 12/15/2025 | 500 | 485 |
| **Becton Dickinson & Co.** <br>1.957% due 02/11/2031 | 700 | 555 |
| **Boeing Co.**  |  |  |
| 2.950% due 02/01/2030  | 300 | 255 |
| 3.950% due 08/01/2059  | 1000 | 676 |
| **Bristol-Myers Squibb Co.** <br>3.900% due 03/15/2062 | 200 | 155 |
| **Broadcom, Inc.**  |  |  |
| 1.950% due 02/15/2028  | 300 | 254 |
| 3.469% due 04/15/2034  | 700 | 560 |
| 3.750% due 02/15/2051  | 400 | 278 |
| **Cameron LNG LLC** <br>3.302% due 01/15/2035 | 300 | 243 |
| **CDW LLC**  |  |  |
| 3.250% due 02/15/2029  | 400 | 341 |
| 3.569% due 12/01/2031  | 100 | 83 |
| **Centene Corp.**  |  |  |
| 2.450% due 07/15/2028  | 300 | 254 |
| 3.000% due 10/15/2030  | 700 | 575 |
| **Charter Communications Operating LLC**  |  |  |
| 2.250% due 01/15/2029  | 200 | 161 |
| 3.950% due 06/30/2062  | 1000 | 593 |
| 5.250% due 04/01/2053  | 300 | 233 |
| **Cheniere Corpus Christi Holdings LLC** <br>3.700% due 11/15/2029 | 500 | 453 |
| **Comcast Corp.** <br>5.350% due 11/15/2027 | 200 | 205 |
| **CommonSpirit Health** <br>6.073% due 11/01/2027 | 100 | 102 |
| **Constellation Brands, Inc.**  |  |  |
| 3.150% due 08/01/2029  | 400 | 351 |
| 4.500% due 05/09/2047  | 300 | 254 |
| **Continental Resources, Inc.** <br>4.375% due 01/15/2028 | 650 | 597 |
| **CSL Finanace PLC Co.** <br>4.950% due 04/27/2062 | 200 | 179 |
| **CVS Health Corp.** <br>3.250% due 08/15/2029 | 700 | 628 |
| **DCP Midstream Operating LP** <br>5.375% due 07/15/2025 | 600 | 595 |
| **Deere & Co.** <br>3.100% due 04/15/2030 | 700 | 629 |
| **Diageo Capital PLC** <br>5.300% due 10/24/2027 | 200 | 205 |

---

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<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **DR** **Horton, Inc.** <br>1.400% due 10/15/2027 | 100 | 84 |
| **eBay, Inc.** <br>5.950% due 11/22/2027 | 300 | 309 |
| **Elevance Health, Inc.**  |  |  |
| 5.500% due 10/15/2032  | 400 | 411 |
| 6.100% due 10/15/2052  | 300 | 322 |
| **Enbridge, Inc.** <br>7.625% due 01/15/2083 •  | 200 | 198 |
| **Energy Transfer LP**  |  |  |
| 4.750% due 01/15/2026  | 200 | 195 |
| 5.350% due 05/15/2045  | 400 | 341 |
| **Entergy Louisiana LLC**  |  |  |
| 2.350% due 06/15/2032  | 800 | 638 |
| 2.900% due 03/15/2051  | 700 | 451 |
| **EQT Corp.** <br>7.000% due 02/01/2030 | 600 | 623 |
| **Expedia Group, Inc.** <br>3.250% due 02/15/2030 | 300 | 255 |
| **Fidelity National Information Services, Inc.**  |  |  |
| 1.150% due 03/01/2026  | 200 | 176 |
| 4.700% due 07/15/2027  | 100 | 98 |
| **Freeport-McMoRan, Inc.** <br>5.400% due 11/14/2034 | 100 | 95 |
| **GE HealthCare Technologies, Inc.** <br>5.600% due 11/15/2025 | 200 | 201 |
| **General Electric Co.** <br>4.500% due 03/11/2044 | 200 | 173 |
| **General Motors Co.**  |  |  |
| 5.400% due 10/15/2029  | 200 | 191 |
| 5.600% due 10/15/2032  | 200 | 186 |
| **Glencore Funding LLC** <br>2.625% due 09/23/2031 | 700 | 559 |
| **Global Payments, Inc.**  |  |  |
| 2.900% due 05/15/2030  | 100 | 82 |
| 3.200% due 08/15/2029  | 100 | 85 |
| 4.150% due 08/15/2049  | 300 | 215 |
| 5.400% due 08/15/2032  | 200 | 191 |
| **GSK Consumer Healthcare Capital U.S. LLC** <br>3.375% due 03/24/2029 | 750 | 676 |
| **HCA, Inc.**  |  |  |
| 4.375% due 03/15/2042  | 700 | 560 |
| 5.375% due 02/01/2025  | 500 | 500 |
| **Home Depot, Inc.** <br>4.950% due 09/15/2052 | 200 | 193 |
| **Humana, Inc.**  |  |  |
| 3.700% due 03/23/2029  | 500 | 459 |
| 3.950% due 03/15/2027  | 400 | 384 |
| 5.875% due 03/01/2033  | 200 | 207 |
| **Hyatt Hotels Corp.** <br>5.625% due 04/23/2025 | 200 | 199 |
| **Illumina, Inc.**  |  |  |
| 5.750% due 12/13/2027  | 100 | 101 |
| 5.800% due 12/12/2025  | 200 | 202 |
| **Imperial Brands Finance PLC** <br>6.125% due 07/27/2027 | 200 | 199 |
| **JD.com, Inc.** <br>3.375% due 01/14/2030 | 700 | 614 |
| **JDE Peet's NV** <br>2.250% due 09/24/2031 | 300 | 228 |
| **Kellogg Co.** <br>2.100% due 06/01/2030 | 400 | 326 |
| **Kinder Morgan, Inc.** <br>4.800% due 02/01/2033 | 250 | 233 |
| **Kraft Heinz Foods Co.** <br>6.875% due 01/26/2039 | 200 | 218 |
| **Lenovo Group Ltd.** <br>5.831% due 01/27/2028 | 400 | 386 |
| **Linde, Inc.** <br>1.100% due 08/10/2030 | 800 | 615 |
| **Lockheed Martin Corp.** <br>5.100% due 11/15/2027 | 300 | 307 |
| **Marriott International, Inc.**  |  |  |
| 4.000% due 04/15/2028  | 500 | 465 |
| 4.625% due 06/15/2030  | 400 | 374 |
| **Marvell Technology, Inc.**  |  |  |
| 1.650% due 04/15/2026  | 100 | 88 |
| 2.950% due 04/15/2031  | 600 | 484 |
| **McDonald's Corp.** <br>3.800% due 04/01/2028 | 400 | 384 |
| **Meta Platforms, Inc.** <br>3.850% due 08/15/2032 | 100 | 88 |
| **Micron Technology, Inc.** <br>6.750% due 11/01/2029 | 200 | 204 |
| **Moody's Corp.**  |  |  |
| 2.000% due 08/19/2031  | 300 | 238 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.250% due 01/15/2028  | 900 | 831 |
| **Motorola Solutions, Inc.**  |  |  |
| 2.300% due 11/15/2030  | 900 | 706 |
| 4.600% due 05/23/2029  | 200 | 191 |
| **MPLX LP** <br>4.950% due 09/01/2032 | 200 | 188 |
| **Netflix, Inc.** <br>4.875% due 04/15/2028 | 200 | 194 |
| **Northrop Grumman Corp.** <br>4.400% due 05/01/2030 | 400 | 385 |
| **NXP BV**  |  |  |
| 4.300% due 06/18/2029  | 200 | 187 |
| 4.875% due 03/01/2024  | 400 | 397 |
| **Open Text Corp.** <br>6.900% due 12/01/2027 | 200 | 200 |
| **Oracle Corp.**  |  |  |
| 1.650% due 03/25/2026 (d)  | 200 | 179 |
| 2.875% due 03/25/2031 (d)  | 300 | 249 |
| 3.250% due 11/15/2027  | 200 | 184 |
| 3.900% due 05/15/2035  | 500 | 420 |
| **Penske Truck Leasing Co. LP** <br>5.875% due 11/15/2027 | 200 | 202 |
| **Petroleos Mexicanos** <br>6.700% due 02/16/2032 | 400 | 315 |
| **Philip Morris International, Inc.** <br>1.750% due 11/01/2030 | 700 | 550 |
| **Quanta Services, Inc.** <br>3.050% due 10/01/2041 | 600 | 396 |
| **RELX Capital, Inc.** <br>3.000% due 05/22/2030 | 300 | 256 |
| **Rogers Communications, Inc.** <br>5.000% due 03/15/2044 | 500 | 431 |
| **ServiceNow, Inc.** <br>1.400% due 09/01/2030 | 500 | 384 |
| **Skyworks Solutions, Inc.** <br>1.800% due 06/01/2026 | 300 | 264 |
| **Southern Co.**  |  |  |
| 1.750% due 03/15/2028  | 300 | 253 |
| 3.750% due 09/15/2051 •  | 700 | 567 |
| **Spectra Energy Partners LP** <br>3.375% due 10/15/2026 | 400 | 373 |
| **Stryker Corp.** <br>1.950% due 06/15/2030 | 700 | 572 |
| **Sysco Corp.**  |  |  |
| 2.400% due 02/15/2030  | 200 | 167 |
| 4.850% due 10/01/2045  | 400 | 355 |
| **T-Mobile USA, Inc.**  |  |  |
| 2.400% due 03/15/2029  | 700 | 592 |
| 3.375% due 04/15/2029  | 500 | 441 |
| 3.600% due 11/15/2060  | 800 | 532 |
| **Targa Resources Corp.** <br>5.200% due 07/01/2027 | 500 | 491 |
| **TransCanada PipeLines Ltd.** <br>4.875% due 01/15/2026 | 500 | 497 |
| **Transurban Finance Co. Pty. Ltd.** <br>4.125% due 02/02/2026 | 100 | 96 |
| **TSMC Arizona Corp.** <br>3.125% due 10/25/2041 | 600 | 468 |
| **UnitedHealth Group, Inc.** <br>4.950% due 05/15/2062 | 400 | 377 |
| **Var Energi ASA** <br>7.500% due 01/15/2028 | 300 | 306 |
| **VeriSign, Inc.** <br>2.700% due 06/15/2031 | 300 | 245 |
| **Volkswagen Group of America Finance LLC** <br>3.350% due 05/13/2025 | 200 | 191 |
| **Walt Disney Co.** <br>5.400% due 10/01/2043 | 700 | 702 |
| **Warnermedia Holdings, Inc.** <br>5.391% due 03/15/2062 | 1000 | 734 |
| **Weibo Corp.** <br>3.500% due 07/05/2024 | 700 | 678 |
| **Weir Group PLC** <br>2.200% due 05/13/2026 | 200 | 178 |
| **Westinghouse Air Brake Technologies Corp.** <br>3.450% due 11/15/2026 | 400 | 372 |
| **Zoetis, Inc.** <br>4.700% due 02/01/2043 | 300 | 270 |
|  |  | 48557 |
| **UTILITIES 6.7%**  |  |  |
| **American Electric Power Co., Inc.** <br>5.950% due 11/01/2032 | 300 | 314 |
| **Appalachian Power Co.** <br>4.500% due 08/01/2032 | 400 | 374 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **AT** **&T, Inc.** <br>3.800% due 12/01/2057 | 100 | 70 |
| **Brooklyn Union Gas Co.** <br>4.632% due 08/05/2027 | 100 | 96 |
| **Constellation Energy Generation LLC** <br>3.250% due 06/01/2025 | 300 | 287 |
| **Consumers Energy Co.** <br>4.200% due 09/01/2052 | 200 | 172 |
| **DTE Energy Co.** <br>3.400% due 06/15/2029 | 400 | 356 |
| **Duke Energy Carolinas LLC** <br>3.550% due 03/15/2052 | 300 | 226 |
| **Duke Energy Corp.** <br>3.100% due 06/15/2028 | 400 | 402 |
| **EDP Finance BV** <br>6.300% due 10/11/2027 | $200 | 206 |
| **Enel Finance International NV**  |  |  |
| 7.500% due 10/14/2032  | 500 | 530 |
| 7.750% due 10/14/2052  | 200 | 215 |
| **Georgia Power Co.** <br>2.650% due 09/15/2029 | 200 | 171 |
| **Massachusetts Electric Co.** <br>1.729% due 11/24/2030 | 400 | 302 |
| **MidAmerican Energy Co.** <br>4.250% due 07/15/2049 | 600 | 512 |
| **Pacific Gas & Electric Co.**  |  |  |
| 4.000% due 12/01/2046  | 900 | 606 |
| 5.900% due 06/15/2032  | 200 | 196 |
| **Public Service Enterprise Group, Inc.** <br>5.850% due 11/15/2027 | 300 | 309 |
| **Southern California Edison Co.**  |  |  |
| 2.750% due 02/01/2032  | 300 | 252 |
| 2.850% due 08/01/2029  | 100 | 87 |
| 2.950% due 02/01/2051  | 200 | 129 |
| 5.950% due 11/01/2032  | 600 | 636 |
| **Southern Co. Gas Capital Corp.** <br>3.950% due 10/01/2046 | 500 | 377 |
| **Southwest Gas Corp.** <br>5.800% due 12/01/2027 | 300 | 304 |
| **Tampa Electric Co.** <br>3.875% due 07/12/2024 | 100 | 98 |
| **Targa Resources Partners LP** <br>4.875% due 02/01/2031 | 100 | 91 |
| **Verizon Communications, Inc.**  |  |  |
| 3.000% due 11/20/2060  | 300 | 180 |
| 4.329% due 09/21/2028  | 300 | 289 |
| **Vodafone Group PLC** <br>7.875% due 02/15/2030 | 400 | 452 |
| **WEC Energy Group, Inc.** <br>5.150% due 10/01/2027 | 100 | 101 |
| **Wisconsin Electric Power Co.** <br>4.750% due 09/30/2032 | 100 | 98 |
|  |  | 8438 |
| Total Corporate Bonds & Notes (Cost $100,040) |  | 96388 |
| **U.S. TREASURY OBLIGATIONS 7.0%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 2.875% due 05/15/2052 | 1100 | 882 |
| 3.000% due 11/15/2044 | 149 | 123 |
| 3.250% due 05/15/2042 | 3700 | 3245 |
| 3.375% due 08/15/2042 | 2300 | 2056 |
| 4.000% due 11/15/2042 (a) | 2200 | 2155 |
| **U.S. Treasury Notes**  |  |  |
| 4.125% due 11/15/2032 | 325 | 332 |
| Total U.S. Treasury Obligations (Cost $9,580) |  | 8793 |
| **ASSET-BACKED SECURITIES 0.5%**  |  |  |
| **Barings CLO Ltd.** <br>5.029% due 04/15/2031 •  | 300 | 294 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Ready** **Capital Mortgage Financing LLC** <br>6.875% due 10/25/2039 •  | 300 | 299 |
| Total Asset-Backed Securities (Cost $587) |  | 593 |
| **SHORT-TERM INSTRUMENTS 27.3%**  |  |  |
| **REPURCHASE AGREEMENTS (e) 27.3%** |  | 34200 |
| Total Short-Term Instruments (Cost $34,200) |  | 34200 |
| Total Investments in Securities (Cost $144,407) |  | 139974 |
| Total Investments 111.6% (Cost $144,407) |  | $139974 |
| **Financial Derivative Instruments (f)(g) (0.0)**%(Cost or Premiums, net $40) |  | (34) |
| Other Assets and Liabilities, net (11.6)% |  | (14522) |
| Net Assets 100.0% |  | $125418 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(b)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(c)** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** | **Contingent convertible security.** |
| **(d)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Coupon | Coupon | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| Citigroup, Inc. | Citigroup, Inc. | Citigroup, Inc. | 3.057 | 3.057 | 01/25/2033 | 01/25/2033 | 12/05/2022 | 12/05/2022 | 414 | 414 | $ | 405 | 405 | 0.32 | % |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 1.650 | 1.650 | 03/25/2026 | 03/25/2026 | 09/01/2022 | 09/01/2022 | 181 | 181 |  | 179 | 179 | 0.14 |  |
| Oracle Corp. | Oracle Corp. | Oracle Corp. | 2.875 | 2.875 | 03/25/2031 | 03/25/2031 | 10/28/2022 | 10/28/2022 | 239 | 239 |  | 249 | 249 | 0.20 |  |
|  |  |  |  |  |  |  |  | $ | 834 | $ | $ | 833 | 0.66%  | 0.66%  | 0.66%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(e)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Lending<br>Rate | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| SCX | 4.310%  | 01/04/2023 | 17100 | 17100 | &nbsp;&nbsp; U.S. Treasury Bonds 5.250% due 11/15/2028 | &nbsp;&nbsp; U.S. Treasury Bonds 5.250% due 11/15/2028 | &nbsp;&nbsp; U.S. Treasury Bonds 5.250% due 11/15/2028 | &nbsp;&nbsp; U.S. Treasury Bonds 5.250% due 11/15/2028 | &nbsp;&nbsp; U.S. Treasury Bonds 5.250% due 11/15/2028 | (17584) | (17584) | 17100 | $ | $17100 | 17100 |
|  | 4.350  | 01/03/2023 | 17100 | 17100 | &nbsp;&nbsp; U.S. Treasury Bonds 1.625% due 11/15/2050 | &nbsp;&nbsp; U.S. Treasury Bonds 1.625% due 11/15/2050 | &nbsp;&nbsp; U.S. Treasury Bonds 1.625% due 11/15/2050 | &nbsp;&nbsp; U.S. Treasury Bonds 1.625% due 11/15/2050 | &nbsp;&nbsp; U.S. Treasury Bonds 1.625% due 11/15/2050 | (17370) | (17370) | 17100 |  | 17108 | 17108 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | **(34954)** | **(34954)** | **34200** | **$** | $**34208** | **34208** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(32) at a weighted average interest rate of 3.544%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** |
| **(f)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 88 | 88 | 9498 | 9498 | (25) | (25) | $ | 0 | 0 | $ | (8) | (8) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | United Kingdom Long Gilt March Futures  | 03/2023 | 1 | 1 | (121) | (121) | 6 | 6 | $ | 0 | 0 | $ | 0 | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(19)** | **(19)** | **$** | **0** | **$** | **$** | **(8)** | **(8)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Fixed <br>Receive Rate | Maturity<br>Date | Implied<br>Credit Spread at<br>December 31, 2022<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset |  | Liability | Liability |
| American International Group, Inc.  | 1.000% | 12/20/2027 | 0.956% | $200 | 200 | $(1) | (1) | 1 | 1 | 0 | 0 | 0 | $ | $0 | 0 |

---

------

<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT** **DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Fixed <br>Receive Rate | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Market<br>Value<sup>(4)</sup> | Asset | Asset | Liability |
| CDX.IG-39 5-Year Index  | 1.000% | 12/20/2027 | 12/20/2027 | 16000 | 16000 | 16000 | 44 | $90 | 90 | 90 | $134 | 134 | 134 | 1 | 1 | $0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **43** | $**91** | **91** | **91** | $**134** | **134** | **134** | **1** | **1** | $**0** |
| **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Cash of $844 has been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **(g)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received |  | Asset | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 02/2023  | 386 | 386 | 386 | 386 | 404 | 404 | 404 | $ | 0 | 0 | 0 | 0 | $(10) | (10) |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 02/2023  | 200 | 200 | 200 | 200 | 210 | 210 | 210 |  | 0 | 0 | 0 | 0 | (5) | (5) |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 02/2023  | 300 | 300 | 300 | 300 | 317 | 317 | 317 |  | 0 | 0 | 0 | 0 | (5) | (5) |
|  |  | 02/2023  | 287 | 287 | 287 | 287 | 342 | 342 | 342 |  | 0 | 0 | 0 | 0 | (5) | (5) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **$** | **0** | **0** | **0** | **$** | **(25)** | **(25)** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Floating Rate<br>Index | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Expiration<br>Date | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| BOA | Call - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.870% | 01/23/2023 | 01/23/2023 | 100 | 100 | 100 | $(1) | (1) | (1) | $ | (1) |
|  | Put - OTC 30-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.320 | 01/23/2023 | 01/23/2023 | 100 | 100 | 100 | (1) | (1) | (1) |  | (1) |
|  |  |  |  |  |  |  |  |  |  |  |  | $(2) | (2) | (2) | $ | (2) |
| **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** |
| Counterparty | Description | Description | Description | Strike<br>Price | Strike<br>Price | Strike<br>Price | Expiration<br>Date |  | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Premiums<br>(Received) |  | Market<br>Value |
| SAL | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 01/01/2053  | $101.859 | 101.859 | 101.859 | 01/05/2023 |  | 400 | 400 | 400 | $(1) | (1) | (1) | $ | 0 |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | $**(3)** | **(3)** | **(3)** | **$** | **(2)** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | 0 | 39393 | 39393 | $ | 0 | 0 | $ | $39393 | 39393 |  |
| Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 0 | 48557 | 48557 |  | 0 | 0 |  | 48557 | 48557 |  |
| Utilities | Utilities | Utilities | Utilities | Utilities | 0 | 0 | 0 | 8438 | 8438 |  | 0 | 0 |  | 8438 | 8438 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 | 0 | 8793 | 8793 |  | 0 | 0 |  | 8793 | 8793 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 0 | 593 | 593 |  | 0 | 0 |  | 593 | 593 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 0 | 34200 | 34200 |  | 0 | 0 |  | 34200 | 34200 |  |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $0 | 0 | 0 | 139974 | 139974 | $ | 0 | 0 | $ | $139974 | 139974 |  |

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<br> Schedule of Investments Sector Funds: PIMCO Sector Fund Series – I (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Financial** **Derivative Instruments - Assets**  | **Financial** **Derivative Instruments - Assets**  | **Financial** **Derivative Instruments - Assets**  | **Financial** **Derivative Instruments - Assets**  | **Financial** **Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | $0 | $1 | $0 | $1 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (8) | 0 | (8) |
| Over the counter | 0 | (27) | 0 | (27) |
|  | $0 | $(35) | $0 | $(35) |
| Total Financial Derivative Instruments | $0 | $(34) | $0 | $(34) |
| Totals | $0 | $139940 | $0 | $139940 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 99.9% ¤** |  |  |
| **CORPORATE BONDS & NOTES 30.7%**  |  |  |
| **BANKING & FINANCE 17.4%**  |  |  |
| **Air Lease Corp.**  |  |  |
| 2.250% due 01/15/2023  | $2700 | $2697 |
| 2.750% due 01/15/2023  | 2500 | 2497 |
| **Avolon Holdings Funding Ltd.** <br>5.500% due 01/15/2023 | 1000 | 997 |
| **Banco Santander SA**  |  |  |
| 3.892% due 05/24/2024  | 6600 | 6465 |
| 5.039% (US0003M + 1.120%) due 04/12/2023 ~  | 6700 | 6701 |
| **Bank of America Corp.**  |  |  |
| 3.301% due 04/24/2024 •(c)  | 15700 | 11518 |
| 4.100% due 07/24/2023  | $3100 | 3087 |
| 5.555% (US0003M + 0.790%) due 03/05/2024 ~  | 27600 | 27587 |
| **Bank of Nova Scotia** <br>4.376% (SOFRRATE + 0.380%) due 07/31/2024 ~ | 900 | 891 |
| **Barclays PLC** <br>4.967% (BBSW3M + 1.800%) due 06/15/2023 ~ | 11500 | 7837 |
| **BNP Paribas SA**  |  |  |
| 3.375% due 01/09/2025  | $3195 | 3077 |
| 3.500% due 03/01/2023  | 1975 | 1970 |
| 3.800% due 01/10/2024  | 10950 | 10764 |
| 4.705% due 01/10/2025 •  | 29324 | 29043 |
| **BPCE SA** <br>1.652% due 10/06/2026 •  | 1300 | 1157 |
| **Brookfield Finance, Inc.** <br>4.000% due 04/01/2024 | 11430 | 11258 |
| **Canadian Imperial Bank of Commerce** <br>5.122% (SOFRRATE + 0.800%) due 03/17/2023 ~ | 5370 | 5376 |
| **Cantor Fitzgerald LP** <br>4.875% due 05/01/2024 | 19034 | 18685 |
| **Charles Schwab Corp.** <br>5.296% (SOFRINDX + 1.050%) due 03/03/2027 ~ | 500 | 487 |
| **Citigroup, Inc.** <br>5.784% (US0003M + 1.023%) due 06/01/2024 ~ | 46113 | 46182 |
| **CK Hutchison International Ltd.** <br>3.250% due 04/11/2024 | 3800 | 3713 |
| **Cooperatieve Rabobank UA** <br>1.980% due 12/15/2027 •  | 4100 | 3569 |
| **Credit Suisse Group AG**  |  |  |
| 4.207% due 06/12/2024 •  | 1650 | 1609 |
| 5.975% (US0003M + 1.240%) due 06/12/2024 ~  | 19000 | 17997 |
| **Danske Bank AS**  |  |  |
| 1.621% due 09/11/2026 •  | 7500 | 6613 |
| 3.875% due 09/12/2023  | 8715 | 8608 |
| 5.375% due 01/12/2024  | 8669 | 8601 |
| 5.795% (US0003M + 1.060%) due 09/12/2023 ~  | 11135 | 11137 |
| **DBS Group Holdings Ltd.** <br>1.169% due 11/22/2024 | 5000 | 4662 |
| **Deutsche Bank AG**  |  |  |
| 0.962% due 11/08/2023  | 4000 | 3850 |
| 3.950% due 02/27/2023  | 950 | 947 |
| 4.162% due 05/13/2025  | 9600 | 9407 |
| 4.486% (BBSW3M + 1.400%) due 01/30/2023 ~  | 600 | 408 |
| **GA Global Funding Trust** <br>1.250% due 12/08/2023 | $7230 | 6940 |
| **General Motors Financial Co., Inc.**  |  |  |
| 1.700% due 08/18/2023  | 8088 | 7904 |
| 3.700% due 05/09/2023  | 1085 | 1080 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 3.625% due 02/20/2024  | 5000 | 4916 |
| 5.442% (US0003M + 0.750%) due 02/23/2023 ~  | 19915 | 19926 |
| 6.334% (US0003M + 1.600%) due 11/29/2023 ~  | 8500 | 8566 |
| **Hana Bank** <br>5.127% (US0003M + 0.800%) due 07/26/2023 ~ | 5000 | 5006 |
| **HSBC Holdings PLC**  |  |  |
| 4.150% (BBSW3M + 1.100%) due 02/16/2024 ~  | 19050 | 12959 |
| 5.674% (US0003M + 1.000%) due 05/18/2024 ~  | $17025 | 16962 |
| 5.965% (US0003M + 1.230%) due 03/11/2025 ~  | 16700 | 16560 |
| 6.115% (US0003M + 1.380%) due 09/12/2026 ~  | 5000 | 4924 |
| **Hyundai Capital Services, Inc.** <br>3.750% due 03/05/2023 | 6400 | 6380 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **ING** **Groep NV**  |  |  |
| 4.100% due 10/02/2023  | 20000 | 19844 |
| 5.754% (US0003M + 1.000%) due 10/02/2023 ~  | 9975 | 10002 |
| 5.963% (SOFRINDX + 1.640%) due 03/28/2026 ~  | 10000 | 9959 |
| **Jackson National Life Global Funding** <br>5.473% (SOFRRATE + 1.150%) due 06/28/2024 ~ | 10000 | 10004 |
| **Kookmin Bank** <br>5.534% (US0003M + 0.780%) due 04/03/2023 ~ | 3000 | 3004 |
| **Lloyds Banking Group PLC**  |  |  |
| 3.900% due 11/23/2023  | 500 | 336 |
| 3.900% due 03/12/2024  | $3300 | 3241 |
| **LSEGA Financing PLC** <br>0.650% due 04/06/2024 | 1800 | 1691 |
| **Metropolitan Life Global Funding**  |  |  |
| 0.400% due 01/07/2024  | 2700 | 2575 |
| 0.900% due 06/08/2023  | 5000 | 4918 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 0.848% due 09/15/2024 •  | 11000 | 10619 |
| 0.953% due 07/19/2025 •  | 14300 | 13295 |
| 5.460% (SOFRRATE + 1.650%) due 07/18/2025 ~  | 12600 | 12649 |
| 5.653% (SOFRRATE + 1.385%) due 09/12/2025 ~  | 7500 | 7501 |
| **Mitsui Fudosan Co. Ltd.** <br>2.950% due 01/23/2023 | 1000 | 999 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 4.899% (US0003M + 0.990%) due 07/10/2024 ~  | 23800 | 23748 |
| 5.345% (US0003M + 0.610%) due 09/08/2024 ~  | 11800 | 11726 |
| 5.387% (US0003M + 0.630%) due 05/25/2024 ~  | 2899 | 2883 |
| **MUFG Bank Ltd.** <br>3.726% (BBSW3M + 0.480%) due 09/26/2024 ~ | 3600 | 2440 |
| **Nationwide Building Society** <br>3.766% due 03/08/2024 •  | $15000 | 14919 |
| **NatWest Group PLC** <br>6.274% (US0003M + 1.550%) due 06/25/2024 ~ | 180 | 180 |
| **Nissan Motor Acceptance Co. LLC** <br>3.875% due 09/21/2023 | 4000 | 3927 |
| **Nomura Holdings, Inc.**  |  |  |
| 1.851% due 07/16/2025  | 22700 | 20711 |
| 2.648% due 01/16/2025  | 19694 | 18610 |
| **ORIX Corp.** <br>3.250% due 12/04/2024 | 800 | 771 |
| **Oversea-Chinese Banking Corp. Ltd.** <br>3.551% (BBSW3M + 0.350%) due 03/18/2024 ~(c) | 2500 | 1698 |
| **Protective Life Global Funding**  |  |  |
| 0.781% due 07/05/2024  | $8000 | 7467 |
| 1.082% due 06/09/2023  | 14700 | 14456 |
| **QNB Finance Ltd.** <br>1.375% due 01/26/2026 | 8500 | 7620 |
| **Santander U.K. Group Holdings PLC**  |  |  |
| 1.089% due 03/15/2025 •  | 7000 | 6543 |
| 3.373% due 01/05/2024 •  | 4000 | 4000 |
| 4.796% due 11/15/2024 •  | 5000 | 4918 |
| **Santander U.K. PLC** <br>1.625% due 02/12/2023 | 12000 | 11971 |
| **Societe Generale SA**  |  |  |
| 2.226% due 01/21/2026 •  | 3000 | 2761 |
| 3.871% due 07/15/2023 •  | 19710 | 13416 |
| 4.351% due 06/13/2025  | $1100 | 1076 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 4.191% (BBSW3M + 1.250%) due 10/16/2024 ~  | 16800 | 11414 |
| 4.605% (SOFRRATE + 0.880%) due 01/14/2027 ~  | $20400 | 19983 |
| **Sumitomo Mitsui Trust Bank Ltd.**  |  |  |
| 0.800% due 09/16/2024  | 700 | 647 |
| 0.850% due 03/25/2024  | 34100 | 32268 |
| 4.746% (SOFRRATE + 0.440%) due 09/16/2024 ~  | 8160 | 8110 |
| **Toronto-Dominion Bank** <br>3.226% due 07/24/2024 | 200 | 144 |
| **UBS AG**  |  |  |
| 3.610% (BBSW3M + 0.500%) due 02/26/2026 ~  | 2000 | 1339 |
| 3.956% (BBSW3M + 0.870%) due 07/30/2025 ~  | 15200 | 10332 |
| **UBS Group AG**  |  |  |
| 4.490% due 08/05/2025 •  | $1300 | 1278 |
| 5.706% (SOFRRATE + 1.580%) due 05/12/2026 ~  | 25000 | 25204 |
| **Wells Fargo & Co.**  |  |  |
| 2.164% due 02/11/2026 •  | 12800 | 11943 |
| 2.509% due 10/27/2023 (c)  | 29400 | 21208 |
|  |  | 821868 |
| **INDUSTRIALS 8.8%**  |  |  |
| **7-Eleven, Inc.** <br>0.625% due 02/10/2023 | $8170 | 8128 |
| **Aker BP ASA** <br>2.000% due 07/15/2026 | 5000 | 4423 |
| **BAT Capital Corp.** <br>3.222% due 08/15/2024 | 3003 | 2893 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Bayer** **U.S. Finance LLC**  |  |  |
| 3.875% due 12/15/2023  | 700 | 690 |
| 5.779% (US0003M + 1.010%) due 12/15/2023 ~  | 40400 | 40318 |
| **BMW U.S. Capital LLC** <br>2.250% due 09/15/2023 | 14500 | 14226 |
| **Boeing Co.**  |  |  |
| 1.875% due 06/15/2023  | 7756 | 7640 |
| 4.508% due 05/01/2023  | 39962 | 39893 |
| **Charter Communications Operating LLC**  |  |  |
| 4.908% due 07/23/2025  | 1400 | 1374 |
| 6.090% (US0003M + 1.650%) due 02/01/2024 ~  | 50734 | 50976 |
| **Delta Air Lines, Inc.** <br>7.375% due 01/15/2026 | 16600 | 16988 |
| **DR Horton, Inc.** <br>1.300% due 10/15/2026 | 6000 | 5168 |
| **Gilead Sciences, Inc.** <br>1.200% due 10/01/2027 | 2000 | 1699 |
| **GSK Consumer Healthcare Capital U.S. LLC** <br>3.024% due 03/24/2024 | 5000 | 4855 |
| **Humana, Inc.** <br>1.350% due 02/03/2027 | 4000 | 3464 |
| **Hyundai Capital America**  |  |  |
| 0.800% due 04/03/2023  | 45000 | 44480 |
| 5.750% due 04/06/2023  | 390 | 390 |
| **Imperial Brands Finance PLC**  |  |  |
| 3.125% due 07/26/2024  | 5300 | 5070 |
| 3.500% due 07/26/2026  | 9100 | 8357 |
| 4.250% due 07/21/2025  | 5500 | 5258 |
| **Kia Corp.** <br>3.000% due 04/25/2023 | 1050 | 1043 |
| **Kinder Morgan, Inc.** <br>5.359% (US0003M + 1.280%) due 01/15/2023 ~ | 17502 | 17502 |
| **Leidos, Inc.** <br>2.950% due 05/15/2023 | 14828 | 14711 |
| **Mercedes-Benz Finance North America LLC**  |  |  |
| 0.750% due 03/01/2024  | 7300 | 6935 |
| 5.348% (US0003M + 0.840%) due 05/04/2023 ~  | 23800 | 23804 |
| **Nissan Motor Co. Ltd.** <br>3.043% due 09/15/2023 | 8000 | 7840 |
| **Penske Truck Leasing Co. LP** <br>3.450% due 07/01/2024 | 16700 | 16136 |
| **PepsiCo, Inc.** <br>2.150% due 05/06/2024 (c) | 1900 | 1357 |
| **QatarEnergy Trading LLC** <br>1.375% due 09/12/2026 | $3900 | 3464 |
| **SABIC Capital BV** <br>4.000% due 10/10/2023 | 8191 | 8119 |
| **Siemens Financieringsmaatschappij NV** <br>0.650% due 03/11/2024 | 9700 | 9231 |
| **SK Broadband Co. Ltd.** <br>3.875% due 08/13/2023 | 3500 | 3471 |
| **SK Telecom Co. Ltd.** <br>3.750% due 04/16/2023 | 425 | 423 |
| **Thermo Fisher Scientific, Inc.** <br>4.160% (SOFRINDX + 0.350%) due 04/18/2023 ~ | 24500 | 24446 |
| **TWDC Enterprises 18 Corp.** <br>2.758% due 10/07/2024 (c) | 6500 | 4621 |
| **Woodside Finance Ltd.** <br>3.700% due 09/15/2026 | $5000 | 4682 |
|  |  | 414075 |
| **UTILITIES 4.5%**  |  |  |
| **AT&T, Inc.**  |  |  |
| 4.000% due 11/25/2025 (c)  | 10000 | 7195 |
| 5.540% (US0003M + 0.890%) due 02/15/2023 ~  | $16500 | 16504 |
| 5.915% (US0003M + 1.180%) due 06/12/2024 ~  | 10500 | 10577 |
| **Atmos Energy Corp.**  |  |  |
| 0.625% due 03/09/2023  | 14700 | 14593 |
| 5.103% (US0003M + 0.380%) due 03/09/2023 ~  | 27900 | 27884 |
| **Enel Finance International NV**  |  |  |
| 2.650% due 09/10/2024  | 14186 | 13582 |
| 4.250% due 06/15/2025  | 7990 | 7744 |
| **Mississippi Power Co.** <br>4.623% (SOFRRATE + 0.300%) due 06/28/2024 ~ | 14400 | 14117 |
| **NextEra Energy Capital Holdings, Inc.** <br>5.342% (SOFRINDX + 1.020%) due 03/21/2024 ~ | 33500 | 33320 |
| **Pacific Gas & Electric Co.**  |  |  |
| 3.400% due 08/15/2024  | 1200 | 1152 |
| 3.750% due 02/15/2024  | 5300 | 5193 |
| 3.850% due 11/15/2023  | 5300 | 5226 |
| 4.250% due 08/01/2023  | 5300 | 5274 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Southern** **California Edison Co.** <br>4.963% (SOFRRATE + 0.640%) due 04/03/2023 ~ | 48100 | 48030 |
|  |  | 210391 |
| Total Corporate Bonds & Notes (Cost $1,484,229) |  | 1446334 |
| **MUNICIPAL BONDS & NOTES 0.0%**  |  |  |
| **PENNSYLVANIA 0.0%**  |  |  |
| **Pennsylvania Higher Education Assistance Agency Revenue Bonds, Series 2006** <br>4.488% (US0003M + 0.130%) due 10/25/2036 ~ | 727 | 716 |
| Total Municipal Bonds & Notes (Cost $717) |  | 716 |
| **U.S. GOVERNMENT AGENCIES 13.9%**  |  |  |
| **Fannie Mae**  |  |  |
| 1.250% due 05/25/2043 | 6264 | 5501 |
| 3.240% due 05/25/2058 •  | 3757 | 3611 |
| 3.277% due 07/25/2044 ~ | 1778 | 1722 |
| 3.289% due 11/25/2046 •  | 2063 | 2007 |
| 3.315% due 09/25/2049 •  | 1306 | 1259 |
| 3.316% due 01/25/2045 ~ | 3641 | 3466 |
| 3.398% due 12/25/2046 •  | 1713 | 1672 |
| 3.401% due 09/25/2045 ~ | 4195 | 4098 |
| 3.421% due 05/25/2049 ~ | 14597 | 14176 |
| 3.444% due 03/25/2048 ~ | 1563 | 1495 |
| 3.482% due 11/25/2044 •  | 3575 | 3549 |
| 3.546% due 11/25/2047 ~ | 6937 | 6702 |
| 3.561% due 09/25/2055 •  | 4210 | 4080 |
| 3.677% due 10/25/2044 ~ | 26787 | 25963 |
| 3.684% due 06/25/2048 •  | 7951 | 7770 |
| 3.718% due 07/25/2046 •  | 19031 | 18658 |
| 4.366% due 12/25/2048 •  | 11036 | 10739 |
| 4.689% due 01/25/2048 •  | 1767 | 1719 |
| 4.789% due 09/25/2043 - 08/25/2049 •  | 4021 | 3930 |
| 4.789% due 07/25/2050 ~ | 10632 | 10245 |
| 4.839% due 07/25/2049 - 08/25/2049 •  | 24564 | 23839 |
| 4.889% due 12/25/2049 ~ | 9056 | 8836 |
| 4.889% due 01/25/2050 •  | 357 | 347 |
| **Federal Home Loan Bank**  |  |  |
| 1.110% due 07/27/2026 | 5000 | 4438 |
| 5.300% due 12/06/2024 | 26600 | 26590 |
| 5.400% due 11/01/2024 | 56400 | 56400 |
| **Freddie Mac**  |  |  |
| 1.000% due 02/25/2042 - 09/15/2044 | 54472 | 45759 |
| 1.500% due 12/15/2042 | 3852 | 3172 |
| 2.500% due 10/25/2048 | 2292 | 2043 |
| 3.090% due 03/15/2037 ~ | 23919 | 23097 |
| 3.170% due 01/15/2040 •  | 182 | 176 |
| 3.195% due 02/15/2038 ~ | 41052 | 39969 |
| 3.206% due 07/15/2044 •  | 2817 | 2779 |
| 3.216% due 11/15/2042 ~ | 1351 | 1345 |
| 3.226% due 05/15/2038 •  | 2976 | 2936 |
| 3.232% due 12/15/2036 •  | 2264 | 2176 |
| 3.248% due 06/15/2040 ~ | 2498 | 2423 |
| 3.286% due 05/15/2041 ~ | 2893 | 2809 |
| 3.297% due 05/15/2038 •  | 2210 | 2145 |
| 3.400% due 12/15/2037 •  | 1066 | 1034 |
| 3.478% due 10/15/2037 •  | 8473 | 8383 |
| 3.490% due 09/15/2044 •  | 10450 | 10427 |
| 3.494% due 08/15/2038 •  | 5543 | 5370 |
| 3.517% due 09/15/2038 ~ | 2402 | 2334 |
| 3.560% due 10/15/2037 ~ | 33436 | 33528 |
| 3.644% due 06/15/2038 •  | 12839 | 12890 |
| 3.859% due 01/15/2037 ~ | 250 | 248 |
| 4.718% due 06/15/2035 - 12/15/2046 •  | 11068 | 10775 |
| 4.718% due 05/15/2037 ~ | 472 | 462 |
| 4.748% due 06/15/2036 •  | 861 | 848 |
| 4.768% due 09/15/2048 - 08/15/2049 ~ | 4612 | 4468 |
| 5.310% due 11/15/2024 | 2600 | 2600 |
| 5.360% due 11/22/2024 | 700 | 701 |
| **Ginnie Mae**  |  |  |
| 1.968% due 04/20/2067 ~ | 3056 | 3023 |
| 2.479% due 02/20/2043 •  | 21004 | 20313 |
| 2.500% due 01/20/2049 - 10/20/2049 | 3871 | 3454 |
| 3.000% due 06/20/2051 - 07/20/2051 ~ | 129361 | 111379 |
| 3.379% due 06/20/2067 ~ | 638 | 636 |
| 3.379% due 06/20/2067 •  | 2674 | 2657 |
| 3.575% due 07/20/2067 •  | 5149 | 5123 |
| 3.868% due 08/20/2062 ~ | 2378 | 2361 |
| 4.000% due 07/20/2049 •  | 1379 | 1279 |
| 4.042% due 06/20/2066 ~ | 16 | 16 |
| 4.312% due 06/20/2067 •  | 294 | 287 |
| 4.342% due 04/20/2061 •  | 681 | 677 |
| 4.508% due 09/20/2067 •  | 5131 | 5108 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.542% due 04/20/2070 •  | 12817 | 12363 |
| 4.592% due 08/20/2067 •  | 1532 | 1518 |
| 4.646% due 11/20/2067 ~ | 912 | 909 |
| 4.653% due 03/20/2037 •  | 1078 | 1060 |
| 4.663% due 04/20/2037 ~ | 957 | 938 |
| 4.803% due 04/20/2049 •  | 5756 | 5613 |
| Total U.S. Government Agencies (Cost $695,090) |  | 656423 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 10.0%**  |  |  |
| **280 Park Avenue Mortgage Trust** <br>5.117% due 09/15/2034 •  | 15000 | 14637 |
| **Ashford Hospitality Trust** <br>5.218% due 04/15/2035 •  | 6063 | 5865 |
| **Atrium Hotel Portfolio Trust** <br>5.268% due 06/15/2035 ~ | 5000 | 4831 |
| **Barclays Commercial Real Estate Trust** <br>3.966% due 08/10/2033 | 2000 | 1851 |
| **Beneria Cowen & Pritzer Collateral Funding Corp.** <br>5.117% due 06/15/2038 ~ | 5000 | 4680 |
| **Brass PLC** <br>5.344% due 11/16/2066 ~ | 1763 | 1763 |
| **Bruegel DAC** <br>2.621% due 05/22/2031 •  | 10184 | 10265 |
| **BSREP Commercial Mortgage Trust** <br>5.268% due 08/15/2038 ~ | $4400 | 4139 |
| **BX Commercial Mortgage Trust** <br>5.048% due 10/15/2036 •  | 13485 | 12977 |
| **BX Trust** <br>5.217% due 10/15/2036 ~ | 37600 | 35831 |
| **Canada Square Funding PLC** <br>4.625% due 12/17/2056 •  | 23225 | 27605 |
| **Classic RMBS Trust** <br>1.433% due 11/15/2051 | 6417 | 4512 |
| **Commercial Mortgage Trust** <br>3.373% due 10/10/2048 | $1078 | 1047 |
| **Credit Suisse Commercial Mortgage Trust** <br>5.285% due 06/15/2034 •  | 12746 | 12141 |
| **CSAIL Commercial Mortgage Trust** <br>3.351% due 04/15/2050 | 1951 | 1908 |
| **DBCG Mortgage Trust** <br>5.018% due 06/15/2034 •  | 9000 | 8848 |
| **DROP Mortgage Trust** <br>5.470% due 10/15/2043 •  | 34200 | 32634 |
| **Eurosail PLC** <br>2.165% due 03/13/2045 •  | 822 | 872 |
| **Extended Stay America Trust** <br>5.398% due 07/15/2038 ~ | $56131 | 54597 |
| **Fannie Mae** <br>3.500% due 06/25/2048 | 5557 | 5252 |
| **Finsbury Square Green PLC** <br>4.059% due 12/16/2067 ~ | 5874 | 6894 |
| **GS Mortgage Securities Corp. Trust** <br>3.419% due 10/10/2032 | $6770 | 6595 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 5.078% due 06/15/2038 ~  | 9000 | 8730 |
| 5.118% due 04/15/2038 •  | 8126 | 7923 |
| **Lehman XS Trust** <br>4.929% due 12/25/2035 •  | 379 | 329 |
| **MFA Trust**  |  |  |
| 1.131% due 07/25/2060 ~  | 22805 | 20085 |
| 1.381% due 04/25/2065 ~  | 7021 | 6329 |
| **New Residential Mortgage Loan Trust** <br>3.500% due 12/25/2057 ~ | 3122 | 2957 |
| **RESIMAC Bastille Trust** <br>4.822% due 02/03/2053 ~ | 23185 | 22934 |
| **Starwood Mortgage Residential Trust** <br>1.486% due 04/25/2065 ~ | 1249 | 1149 |
| **Stratton Mortgage Funding PLC** <br>3.826% due 07/20/2060 •  | 7184 | 8611 |
| **Taurus UK DAC** <br>4.101% due 05/17/2031 ~ | 15784 | 17968 |
| **Towd Point Mortgage Funding** <br>4.171% due 05/20/2045 •  | 17989 | 21422 |
| **Towd Point Mortgage Trust**  |  |  |
| 1.636% due 04/25/2060 ~  | $46404 | 40865 |
| 2.710% due 01/25/2060 ~  | 14982 | 13802 |
| 2.900% due 10/25/2059 ~  | 5803 | 5416 |
| 3.773% due 02/25/2057 •  | 829 | 821 |
| **UWM Mortgage Trust** <br>4.471% due 12/25/2051 •  | 12004 | 11134 |
| **VASA Trust** <br>5.218% due 07/15/2039 •  | 14500 | 13405 |
| **Verus Securitization Trust** <br>1.262% due 10/25/2063 ~ | 322 | 290 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Wells** **Fargo Commercial Mortgage Trust** <br>5.370% due 12/13/2031 •  | 5000 | 4934 |
| **Wells Fargo-RBS Commercial Mortgage Trust** <br>4.886% due 08/15/2047 ~ | 4317 | 4303 |
| Total Non-Agency Mortgage-Backed Securities (Cost $513,972) |  | 473151 |
| **ASSET-BACKED SECURITIES 18.4%**  |  |  |
| **522 Funding CLO Ltd.** <br>5.283% due 10/20/2031 •  | 30300 | 29767 |
| **American Money Management Corp. CLO Ltd.**  |  |  |
| 4.991% due 04/14/2029 •  | 257 | 255 |
| 5.542% due 11/10/2030 •  | 10000 | 9855 |
| **Apidos CLO** <br>5.009% due 07/17/2030 ~ | 15000 | 14839 |
| **Ares CLO Ltd.** <br>5.129% due 01/15/2032 ~ | 2300 | 2250 |
| **Ares European CLO DAC**  |  |  |
| 2.038% due 10/15/2030 ~  | 21234 | 22185 |
| 2.158% due 10/15/2031 •  | 16300 | 16912 |
| **Benefit Street Partners CLO Ltd.** <br>5.109% due 01/17/2032 ~ | $4950 | 4847 |
| **Birch Grove CLO Ltd.** <br>5.899% due 06/15/2031 ~ | 10000 | 9840 |
| **Black Diamond CLO DAC**  |  |  |
| 2.316% due 01/20/2032 ~  | 1446 | 1514 |
| 2.834% due 10/03/2029 •  | 223 | 238 |
| **Blackrock European CLO DAC** <br>1.998% due 10/15/2031 ~ | 33400 | 34668 |
| **BMW Canada Auto Trust** <br>0.502% due 07/20/2024 | 9717 | 7072 |
| **BXMT Ltd.** <br>5.322% due 11/15/2037 ~ | $25000 | 24617 |
| **Cairn CLO DAC**  |  |  |
| 2.158% due 10/15/2031 ~  | 25800 | 27035 |
| 2.178% due 04/30/2031 ~  | 23880 | 24933 |
| **Carlyle Euro CLO DAC**  |  |  |
| 2.428% due 08/15/2030 •  | 498 | 521 |
| 2.688% due 08/15/2032 ~  | 5500 | 5719 |
| **Carlyle Global Market Strategies Euro CLO DAC** <br>2.548% due 11/15/2031 ~ | 23300 | 24171 |
| **Carlyle U.S. CLO Ltd.** <br>5.243% due 04/20/2031 •  | $10000 | 9841 |
| **Carrington Mortgage Loan Trust** <br>5.363% due 10/20/2029 •  | 12145 | 12000 |
| **Chesapeake Funding LLC** <br>1.950% due 09/15/2031 | 645 | 644 |
| **CNH Equipment Trust** <br>2.520% due 08/15/2024 | 1007 | 1006 |
| **Commonbond Student Loan Trust** <br>2.550% due 05/25/2041 | 233 | 217 |
| **Dell Equipment Finance Trust** <br>0.530% due 12/22/2026 | 3800 | 3642 |
| **Discover Card Execution Note Trust** <br>5.030% due 10/15/2027 | 15000 | 15162 |
| **Dryden Euro CLO DAC**  |  |  |
| 2.038% due 04/15/2033 •  | 20300 | 21083 |
| 2.622% due 05/15/2034 •  | 17300 | 17998 |
| **Dryden Senior Loan Fund**  |  |  |
| 5.059% due 04/15/2028 ~  | $8511 | 8431 |
| 5.099% due 04/15/2029 ~  | 1552 | 1535 |
| **ECMC Group Student Loan Trust** <br>5.139% due 02/27/2068 •  | 13326 | 12682 |
| **Enterprise Fleet Financing LLC**  |  |  |
| 1.780% due 12/22/2025  | 3375 | 3360 |
| 5.760% due 10/22/2029  | 6000 | 6032 |
| **Ford Auto Securitization Trust** <br>0.887% due 08/15/2024 | 5944 | 4346 |
| **Gallatin CLO Ltd.**  |  |  |
| 5.169% due 07/15/2031 ~  | $18980 | 18653 |
| 5.328% due 01/21/2028 •  | 7528 | 7467 |
| **GMF Canada Leasing Trust** <br>0.641% due 03/20/2024 | 6808 | 5011 |
| **GMF Floorplan Owner Revolving Trust**  |  |  |
| 0.680% due 08/15/2025  | $3100 | 3011 |
| 0.690% due 10/15/2025  | 3000 | 2892 |
| **Golden Credit Card Trust** <br>4.310% due 09/15/2027 | 22000 | 21667 |
| **GoldenTree Loan Management EUR CLO DAC** <br>2.356% due 01/20/2032 •  | 4700 | 4866 |
| **GPMT Ltd.** <br>5.711% due 12/15/2036 •  | $3200 | 3096 |
| **Harvest CLO DAC**  |  |  |
| 1.040% due 07/15/2031  | 250 | 242 |
| 2.138% due 07/15/2031 •  | 17050 | 17626 |
| 2.433% due 11/18/2029 •  | 1405 | 1484 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HERA** **Commercial Mortgage Ltd.** <br>5.389% due 02/18/2038 ~ | $4000 | 3874 |
| **Hertz Vehicle Financing LLC** <br>1.210% due 12/26/2025 | 26100 | 24137 |
| **Hyundai Auto Receivables Trust** <br>4.587% (SOFR30A + 0.780%) due 11/17/2025 ~ | 1200 | 1204 |
| **Jubilee CLO DAC**  |  |  |
| 1.978% due 04/15/2030 ~  | 9900 | 10369 |
| 1.988% due 04/15/2030 •  | 15300 | 16010 |
| 2.028% due 04/15/2031 •  | 7400 | 7551 |
| 2.846% due 12/15/2029 •  | 5232 | 5496 |
| **LCCM Trust** <br>5.518% due 12/13/2038 ~ | $14400 | 13972 |
| **LCM LP** <br>5.283% due 10/20/2027 •  | 1803 | 1794 |
| **LCM Ltd.** <br>5.323% due 04/20/2031 ~ | 10850 | 10604 |
| **LoanCore Issuer Ltd.** <br>5.618% due 07/15/2036 •  | 1400 | 1349 |
| **Madison Park Funding Ltd.** <br>5.155% due 04/22/2027 ~ | 8114 | 8032 |
| **Man GLG Euro CLO DAC** <br>2.058% due 10/15/2030 •  | 3379 | 3534 |
| **Marathon CLO Ltd.** <br>5.545% due 11/21/2027 •  | $179 | 179 |
| **Master Credit Card Trust** <br>4.844% due 07/21/2024 •  | 10000 | 10000 |
| **MBarc Credit Canada, Inc.** <br>0.630% due 05/15/2024 | 14099 | 10286 |
| **MF1 Ltd.** <br>6.150% due 11/15/2035 ~ | $19045 | 18801 |
| **MidOcean Credit CLO** <br>5.445% due 01/29/2030 •  | 12026 | 11887 |
| **MMAF Equipment Finance LLC** <br>4.924% due 12/01/2023 | 9911 | 9911 |
| **Mountain View CLO Ltd.** <br>4.761% due 10/13/2027 •  | 764 | 765 |
| **Navient Private Education Loan Trust** <br>5.568% due 02/15/2029 ~ | 77 | 77 |
| **Navient Private Education Refi Loan Trust**  |  |  |
| 1.310% due 01/15/2069  | 12686 | 11395 |
| 1.580% due 04/15/2070  | 10180 | 8633 |
| 1.690% due 05/15/2069  | 5942 | 5350 |
| 5.318% due 04/15/2069 ~  | 4748 | 4623 |
| **Navient Student Loan Trust**  |  |  |
| 4.739% due 03/25/2067 •  | 307 | 307 |
| 5.139% due 03/25/2066 •  | 152 | 152 |
| **Nelnet Student Loan Trust**  |  |  |
| 5.089% due 09/27/2038 ~  | 12051 | 11715 |
| 5.239% due 02/25/2066 ~  | 7797 | 7654 |
| **OAK Hill European Credit Partners DAC** <br>2.186% due 01/20/2032 •  | 3639 | 3802 |
| **Oak Hill European Credit Partners DAC** <br>2.196% due 10/20/2031 •  | 18400 | 19111 |
| **Palmer Square European Loan Funding DAC**  |  |  |
| 2.108% due 07/15/2031 •  | 7472 | 7787 |
| 2.158% due 04/15/2031 •  | 5121 | 5330 |
| **SLM Student Loan Trust**  |  |  |
| 4.478% due 01/25/2027 •  | $353 | 352 |
| 4.839% due 06/25/2043 ~  | 16703 | 15961 |
| 4.958% due 10/25/2029 •  | 16088 | 15951 |
| 5.039% due 06/26/2028 •  | 9405 | 9179 |
| 5.039% due 12/27/2038 ~  | 9079 | 8710 |
| **SMB Private Education Loan Trust**  |  |  |
| 1.290% due 07/15/2053  | 11231 | 9916 |
| 2.340% due 09/15/2034  | 2391 | 2278 |
| 2.430% due 02/17/2032  | 2771 | 2649 |
| 2.700% due 05/15/2031  | 2564 | 2456 |
| 5.418% due 07/15/2053 ~  | 1373 | 1331 |
| **SoFi Professional Loan Program LLC** <br>5.089% due 03/26/2040 •  | 80 | 80 |
| **Sound Point CLO Ltd.** <br>5.293% due 10/20/2028 •  | 11279 | 11190 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>4.959% due 05/25/2035 •  | 922 | 917 |
| **Symphony CLO Ltd.** <br>4.959% due 04/15/2028 •  | 3148 | 3126 |
| **Tikehau CLO DAC** <br>2.596% due 08/04/2034 ~ | 4550 | 4728 |
| **Toyota Auto Receivables Owner Trust** <br>5.026% due 01/15/2026 •  | $23300 | 23360 |
| **Venture CLO Ltd.**  |  |  |
| 4.959% due 04/15/2027 ~  | 5946 | 5937 |
| 5.139% due 07/15/2031 ~  | 7850 | 7740 |
| 5.343% due 01/20/2029 •  | 13046 | 12895 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **VMC** **Finance LLC** <br>5.439% due 06/16/2036 ~ | 4953 | 4649 |
| **Voya Euro CLO DAC** <br>2.128% due 10/15/2030 •  | 1449 | 1519 |
| Total Asset-Backed Securities (Cost $930,660) |  | 865847 |
| **SOVEREIGN ISSUES 1.3%**  |  |  |
| **CPPIB Capital, Inc.** <br>4.125% due 10/21/2024 | $37300 | 36873 |
| **Industrial Bank of Korea** <br>2.125% due 10/23/2024 | 1600 | 1521 |
| **Israel Government International Bond**  |  |  |
| 1.500% due 11/30/2023  | 9200 | 2568 |
| 4.250% due 03/31/2023  | 5800 | 1652 |
| **Korea Development Bank** <br>0.500% due 10/27/2023 | $1700 | 1643 |
| **Korea National Oil Corp.** <br>4.954% (US0003M + 0.875%) due 07/16/2023 ~ | 18470 | 18500 |
| Total Sovereign Issues (Cost $63,501) |  | 62757 |
| **SHORT-TERM INSTRUMENTS 25.6%**  |  |  |
| **COMMERCIAL PAPER 15.0%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.800% due 01/19/2023 | 8050 | 8029 |
| **American Electric Power, Inc.** <br>4.720% due 01/04/2023 | 51000 | 50968 |
| **AT&T, Inc.** <br>4.650% due 01/03/2023 | 4700 | 4698 |
| **Bank of Nova Scotia**  |  |  |
| 4.318% due 02/01/2023  | 33700 | 24786 |
| 4.519% due 02/28/2023  | 22200 | 16270 |
| **Consolidated Edison Co. of New York, Inc.**  |  |  |
| 4.800% due 01/17/2023  | $11100 | 11074 |
| 4.800% due 01/18/2023  | 11900 | 11871 |
| 4.800% due 01/19/2023  | 12100 | 12069 |
| 4.800% due 01/20/2023  | 12100 | 12067 |
| **Constellation Brands, Inc.**  |  |  |
| 5.000% due 01/09/2023  | 18550 | 18525 |
| 5.000% due 01/10/2023  | 18550 | 18522 |
| **Crown Castle, Inc.**  |  |  |
| 5.100% due 01/05/2023  | 20400 | 20383 |
| 5.100% due 01/09/2023  | 31000 | 30958 |
| **Dominion Energy, Inc.** <br>4.750% due 01/31/2023 | 9300 | 9261 |
| **Duke Energy Corp.**  |  |  |
| 4.620% due 01/11/2023  | 5400 | 5392 |
| 4.620% due 01/17/2023  | 15300 | 15265 |
| 4.650% due 01/09/2023  | 15100 | 15081 |
| **Electricite de France SA** <br>5.000% due 01/20/2023 | 47200 | 47072 |
| **Energy Transfer LP** <br>5.080% due 01/05/2023 | 24000 | 23981 |
| **Entergy Corp.** <br>4.750% due 01/11/2023 | 20150 | 20119 |
| **Fiserv, Inc.**  |  |  |
| 4.630% due 01/09/2023  | 18300 | 18277 |
| 4.780% due 01/23/2023  | 25900 | 25820 |
| **Humana, Inc.** <br>4.850% due 01/05/2023 | 5300 | 5296 |
| **ORACLE Corp.** <br>4.760% due 01/27/2023 | 47700 | 47529 |
| **Quanta Services, Inc.**  |  |  |
| 5.100% due 01/09/2023  | 7800 | 7789 |
| 5.100% due 01/11/2023  | 7800 | 7787 |
| 5.100% due 01/13/2023  | 7800 | 7785 |
| **Royal Bank of Canada**  |  |  |
| 4.291% due 01/31/2023  | 36000 | 26479 |
| 4.369% due 01/09/2023  | 41200 | 30390 |
| **Targa Resources Corp.** <br>5.250% due 01/13/2023 | $23400 | 23361 |
| **Thomson Reuters Corp.** <br>4.770% due 01/25/2023 | 41250 | 41116 |
| **Toronto-Dominion Bank** <br>4.355% due 01/09/2023 | 7700 | 5680 |
| **VW Credit, Inc.**  |  |  |
| 4.750% due 01/25/2023  | $20650 | 20580 |
| 4.800% due 01/26/2023  | 26600 | 26506 |
| **Walgreens Boots Alliance, Inc.**  |  |  |
| 4.900% due 01/11/2023  | 15000 | 14977 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.950% due 01/18/2023  | 20000 | 19950 |
|  |  | 705713 |
| **REPURCHASE AGREEMENTS (d) 0.7%** |  | 34261 |
| **SHORT-TERM NOTES 3.2%**  |  |  |
| **Federal Home Loan Bank**<br>4.345% due 03/06/2023 •(f) | 149700 | 149711 |
| **JAPAN TREASURY BILLS 5.6%**  |  |  |
| (0.171)% due 01/11/2023 - 01/16/2023 (a)(b) | 34590000 | 263578 |
| **U.S. TREASURY BILLS 1.1%**  |  |  |
| 4.040% due 01/05/2023 - 03/02/2023 (a)(b)(h) | $50758 | 50568 |
| Total Short-Term Instruments (Cost $1,175,505) |  | 1203831 |
| Total Investments in Securities (Cost $4,863,674) |  | 4709059 |
| Total Investments 99.9% (Cost $4,863,674) |  | $4709059 |
| **Financial Derivative Instruments (e)(g) (0.8)**%(Cost or Premiums, net $(1345)) |  | (36643) |
| Other Assets and Liabilities, net 0.9% |  | 42578 |
| Net Assets 100.0% |  | $4714994 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(b)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(c)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Issuer Description | Issuer Description | Issuer Description | Coupon | Coupon | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Cost |  | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets | Market Value<br>as Percentage<br>of Net Assets |
| AT&T, Inc. | AT&T, Inc. | AT&T, Inc. | AT&T, Inc. | AT&T, Inc. | 4.000 | 4.000 | 11/25/2025 | 11/25/2025 | 11/25/2025 | 10/02/2020 | 10/02/2020 | 7993 | 7993 | 7993 | $ | 7195 | 7195 | 0.15 | % |
| Bank of America Corp. | Bank of America Corp. | Bank of America Corp. | Bank of America Corp. | Bank of America Corp. | 3.301 | 3.301 | 04/24/2024 | 04/24/2024 | 04/24/2024 | 10/16/2020 - 02/09/2022 | 10/16/2020 - 02/09/2022 | 12057 | 12057 | 12057 |  | 11518 | 11518 | 0.24 |  |
| Oversea-Chinese Banking Corp. Ltd. | Oversea-Chinese Banking Corp. Ltd. | Oversea-Chinese Banking Corp. Ltd. | Oversea-Chinese Banking Corp. Ltd. | Oversea-Chinese Banking Corp. Ltd. | 3.551 | 3.551 | 03/18/2024 | 03/18/2024 | 03/18/2024 | 11/04/2021 | 11/04/2021 | 1850 | 1850 | 1850 |  | 1698 | 1698 | 0.04 |  |
| PepsiCo, Inc. | PepsiCo, Inc. | PepsiCo, Inc. | PepsiCo, Inc. | PepsiCo, Inc. | 2.150 | 2.150 | 05/06/2024 | 05/06/2024 | 05/06/2024 | 10/21/2020 | 10/21/2020 | 1472 | 1472 | 1472 |  | 1357 | 1357 | 0.03 |  |
| TWDC Enterprises 18 Corp. | TWDC Enterprises 18 Corp. | TWDC Enterprises 18 Corp. | TWDC Enterprises 18 Corp. | TWDC Enterprises 18 Corp. | 2.758 | 2.758 | 10/07/2024 | 10/07/2024 | 10/07/2024 | 09/28/2020 - 11/30/2020 | 09/28/2020 - 11/30/2020 | 5110 | 5110 | 5110 |  | 4621 | 4621 | 0.10 |  |
| Wells Fargo & Co. | Wells Fargo & Co. | Wells Fargo & Co. | Wells Fargo & Co. | Wells Fargo & Co. | 2.509 | 2.509 | 10/27/2023 | 10/27/2023 | 10/27/2023 | 10/15/2020 - 03/29/2021 | 10/15/2020 - 03/29/2021 | 23356 | 23356 | 23356 |  | 21208 | 21208 | 0.45 |  |
|  |  |  |  |  |  |  |  |  |  |  | $ | 51838 | 51838 | $ | $ | 47597 | 1.01%  | 1.01%  | 1.01%  |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(d)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Principal<br>Amount | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value |  | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | FICC | 1.900%  | 01/03/2023 | 3752 | 3752 | 3752 | 3752 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | (3827) | (3827) | (3827) | 3752 | $ | $3753 | 3753 |
| IND | IND | 4.290  | 01/03/2023 | 26500 | 26500 | 26500 | 26500 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | (27408) | (27408) | (27408) | 26500 |  | 26512 | 26512 |
| SSB | SSB | 1.900  | 01/03/2023 | 4009 | 4009 | 4009 | 4009 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | (4089) | (4089) | (4089) | 4009 |  | 4010 | 4010 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | **(35324)** | **(35324)** | **(35324)** | **34261** | **$** | $**34275** | **34275** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. |
| **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** | **The average amount of borrowings outstanding during the period ended December 31, 2022 was $(57595) at a weighted average interest rate of 0.788%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period.** |
| **(e)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2023 | 09/2023 | 4689 | 4689 | 4689 | $1114106 | 1114106 | (164) | (164) | (164) | $ | $0 | 0 | $ | (410) | (410) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset |  | Liability | Liability |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2024 | 09/2024 | 1969 | 1969 | 1969 | $(473692) | (473692) | 1090 | 1090 | 1090 | $ | $49 | 49 | $ | 0 | 0 |
| U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | U.S. Treasury 2-Year Note March Futures  | 03/2023 | 03/2023 | 2113 | 2113 | 2113 | (433330) | (433330) | 736 | 736 | 736 |  | 330 | 330 |  | 0 | 0 |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 03/2023 | 4402 | 4402 | 4402 | (475106) | (475106) | 738 | 738 | 738 |  | 378 | 378 |  | 0 | 0 |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 03/2023 | 74 | 74 | 74 | (9939) | (9939) | 22 | 22 | 22 |  | 37 | 37 |  | 0 | 0 |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 03/2023 | 316 | 316 | 316 | (37377) | (37377) | 254 | 254 | 254 |  | 20 | 20 |  | 0 | 0 |
|  |  |  |  |  |  |  |  |  |  |  | 2840 | 2840 | $ | $ | 814 | $ | $ | 0 | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **2676** | **2676** | **$** | **$** | **814** | **$** | **$** | **(410)** | **(410)** |

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------

<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** | **SWAP** **AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - BUY PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Index/Tranches | Fixed <br>(Pay) Rate | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date |  | Notional<br>Amount<sup>(2)</sup> | Notional<br>Amount<sup>(2)</sup> |  | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(3)</sup> | Market<br>Value<sup>(3)</sup> | Asset | Asset | Liability |
| CDX.IG-37 5-Year Index  | (1.000)% | 12/20/2026 | 12/20/2026 | 12/20/2026 | $ | 59000 | 59000 | $ | (1345) | (1345) | 671 | 671 | (674) | (674) | 6 | 6 | 0 |
| **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** | **INTEREST RATE SWAPS - BASIS SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay Floating Rate Index | Receive Floating Rate Index | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount |  | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| 3-Month USD-LIBOR | 01-Month USD-LIBOR + 0.098% | Quarterly | Quarterly | 01/13/2023 | 01/13/2023 | $833000 | 833000 | $ | 0 | 0 | (27) | (27) | $(27) | (27) | 0 | 0 | $(42) |
| 3-Month USD-LIBOR | 01-Month USD-LIBOR + 0.098% | Quarterly | Quarterly | 01/13/2023 | 01/13/2023 | 637200 | 637200 |  | 0 | 0 | (22) | (22) | (22) | (22) | 0 | 0 | (33) |
|  |  |  |  |  |  |  |  | $ | 0 | 0 | (49) | (49) | (49) | (49) | 0 | 0 | (75) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **(1345)** | **(1345)** | **622** | **622** | **(723)** | **(723)** | **6** | **6** | **(75)** |
| **(f)** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $635 and cash of $14,561 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a buyer of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) receive from the seller of protection an amount equal to the notional amount of the swap and deliver the referenced obligation or underlying securities comprising the referenced index or (ii) receive a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(3)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **(g)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received |  | Asset | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | CAD | 41200 | 41200 | 41200 | 41200 | 41200 | $30204 | 30204 | 30204 | $ | 0 | 0 | 0 | $(238) | (238) |
|  |  | 01/2023  | $ | $10828 | 10828 | 10828 | 10828 | 10828 | 14741 | 14741 | 14741 |  | 64 | 64 | 64 | 0 | 0 |
|  |  | 02/2023  | CAD | 22200 | 22200 | 22200 | 22200 | 22200 | $16411 | 16411 | 16411 |  | 2 | 2 | 2 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 01/2023  | $ | $2007 | 2007 | 2007 | 2007 | 2007 | 1665 | 1665 | 1665 |  | 2 | 2 | 2 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 01/2023  | ILS | 5 | 5 | 5 | 5 | 5 | $2 | 2 | 2 |  | 0 | 0 | 0 | 0 | 0 |
|  |  | 02/2023  | AUD | 92425 | 92425 | 92425 | 92425 | 92425 | 61873 | 61873 | 61873 |  | 0 | 0 | 0 | (1171) | (1171) |
|  |  | 03/2023  | ILS | 5993 | 5993 | 5993 | 5993 | 5993 | 1757 | 1757 | 1757 |  | 46 | 46 | 46 | 0 | 0 |
|  |  | 11/2023  |  | 9052 | 9052 | 9052 | 9052 | 9052 | 2743 | 2743 | 2743 |  | 120 | 120 | 120 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | CAD | 8262 | 8262 | 8262 | 8262 | 8262 | 6057 | 6057 | 6057 |  | 0 | 0 | 0 | (48) | (48) |
|  |  | 01/2023  | EUR | 297666 | 297666 | 297666 | 297666 | 297666 | 311975 | 311975 | 311975 |  | 0 | 0 | 0 | (6649) | (6649) |
|  |  | 01/2023  | JPY | 37700 | 37700 | 37700 | 37700 | 37700 | 279 | 279 | 279 |  | 0 | 0 | 0 | (10) | (10) |
|  |  | 01/2023  | $ | $1123 | 1123 | 1123 | 1123 | 1123 | 1533 | 1533 | 1533 |  | 10 | 10 | 10 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  |  | 2381 | 2381 | 2381 | 2381 | 2381 | 3242 | 3242 | 3242 |  | 14 | 14 | 14 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RYL | &nbsp;&nbsp;&nbsp;&nbsp; RYL | 01/2023  | JPY | 34590000 | 34590000 | 34590000 | 34590000 | 34590000 | $235715 | 235715 | 235715 |  | 0 | 0 | 0 | (28763) | (28763) |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | CAD | 35912 | 35912 | 35912 | 35912 | 35912 | 26731 | 26731 | 26731 |  | 196 | 196 | 196 | 0 | 0 |
|  |  | 01/2023  | $ | $1115 | 1115 | 1115 | 1115 | 1115 | 1046 | 1046 | 1046 |  | 5 | 5 | 5 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | 01/2023  | CAD | 127290 | 127290 | 127290 | 127290 | 127290 | $94162 | 94162 | 94162 |  | 455 | 455 | 455 | (350) | (350) |
|  |  | 01/2023  | GBP | 69719 | 69719 | 69719 | 69719 | 69719 | 83822 | 83822 | 83822 |  | 0 | 0 | 0 | (335) | (335) |
|  |  | 02/2023  | CAD | 33700 | 33700 | 33700 | 33700 | 33700 | 24576 | 24576 | 24576 |  | 0 | 0 | 0 | (328) | (328) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **$** | **914** | **914** | **$** | **(37892)** | **(37892)** |
| **(h)** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $30,363 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | 0 | $ | 821868 | $ | 0 | $ | $821868 | 821868 |  |
| Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | Industrials | 0 | 0 | 0 |  | 414075 |  | 0 |  | 414075 | 414075 |  |
| Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | Utilities | 0 | 0 | 0 |  | 210391 |  | 0 |  | 210391 | 210391 |  |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |  |

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<br> Consolidated Schedule of Investments PIMCO Short Asset Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| Pennsylvania | 0 | 716 | 0 | 716 |
| U.S. Government Agencies | 0 | 656423 | 0 | 656423 |
| Non-Agency Mortgage-Backed Securities | 0 | 473151 | 0 | 473151 |
| Asset-Backed Securities | 0 | 865847 | 0 | 865847 |
| Sovereign Issues | 0 | 62757 | 0 | 62757 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Commercial Paper | 0 | 705713 | 0 | 705713 |
| Repurchase Agreements | 0 | 34261 | 0 | 34261 |
| Short-Term Notes | 0 | 149711 | 0 | 149711 |
| Japan Treasury Bills | 0 | 263578 | 0 | 263578 |
| U.S. Treasury Bills | 0 | 50568 | 0 | 50568 |
| Total Investments | $0 | $4709059 | $0 | $4709059 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | 0 | 820 | 0 | 820 |
| Over the counter | 0 | 914 | 0 | 914 |
|  | $0 | $1734 | $0 | $1734 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | 0 | (485) | 0 | (485) |
| Over the counter | 0 | (37892) | 0 | (37892) |
|  | $0 | $(38377) | $0 | $(38377) |
| Total Financial Derivative Instruments | $0 | $(36643) | $0 | $(36643) |
| Totals | $0 | $4672416 | $0 | $4672416 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 117.6% ¤** |  |  |
| **CORPORATE BONDS & NOTES 18.8%**  |  |  |
| **BANKING & FINANCE 12.8%**  |  |  |
| **AerCap Ireland Capital DAC** <br>4.500% due 09/15/2023 | $19600 | $19477 |
| **AIA Group Ltd.** <br>3.125% due 03/13/2023 | 10660 | 10623 |
| **American Honda Finance Corp.**  |  |  |
| 0.650% due 09/08/2023  | 100 | 97 |
| 1.950% due 05/10/2023  | 1200 | 1186 |
| 4.815% (US0003M + 0.150%) due 02/22/2023 ~  | 3000 | 2999 |
| **Banco Santander SA**  |  |  |
| 3.848% due 04/12/2023  | 20801 | 20692 |
| 5.039% (US0003M + 1.120%) due 04/12/2023 ~  | 8000 | 8001 |
| **Bank of America Corp.**  |  |  |
| 1.486% due 05/19/2024 •  | 6332 | 6234 |
| 3.864% due 07/23/2024 •  | 16000 | 15859 |
| **Bank of Nova Scotia**  |  |  |
| 1.950% due 02/01/2023  | 700 | 698 |
| 4.376% (SOFRRATE + 0.380%) due 07/31/2024 ~  | 2600 | 2573 |
| **Banque Federative du Credit Mutuel SA** <br>0.650% due 02/27/2024 | 4600 | 4357 |
| **BNP Paribas SA** <br>3.500% due 03/01/2023 | 3000 | 2993 |
| **BOC Aviation Ltd.** <br>5.849% (US0003M + 1.125%) due 09/26/2023 ~ | 1300 | 1298 |
| **Canadian Imperial Bank of Commerce**  |  |  |
| 0.450% due 06/22/2023  | 30628 | 29993 |
| 5.122% (SOFRRATE + 0.800%) due 03/17/2023 ~  | 4099 | 4104 |
| **Caterpillar Financial Services Corp.** <br>5.116% (US0003M + 0.510%) due 05/15/2023 ~ | 1400 | 1401 |
| **Citigroup, Inc.**  |  |  |
| 5.750% (US0003M + 1.100%) due 05/17/2024 ~  | 3200 | 3205 |
| 5.784% (US0003M + 1.023%) due 06/01/2024 ~  | 8800 | 8813 |
| **CK Hutchison International Ltd.**  |  |  |
| 2.750% due 03/29/2023  | 5300 | 5271 |
| 3.250% due 04/11/2024  | 2000 | 1954 |
| **CNH Industrial Capital LLC** <br>1.950% due 07/02/2023 | 2393 | 2353 |
| **Cooperatieve Rabobank UA** <br>4.389% (US0003M + 0.480%) due 01/10/2023 ~ | 2900 | 2900 |
| **Credit Agricole SA** <br>5.345% (US0003M + 1.020%) due 04/24/2023 ~ | 3200 | 3203 |
| **Credit Suisse AG**  |  |  |
| 1.000% due 05/05/2023  | 5000 | 4885 |
| 4.441% (SOFRRATE + 0.390%) due 02/02/2024 ~  | 4500 | 4306 |
| 4.495% (SOFRINDX + 0.380%) due 08/09/2023 ~  | 43300 | 42252 |
| **Danske Bank AS**  |  |  |
| 3.875% due 09/12/2023  | 18114 | 17892 |
| 5.375% due 01/12/2024  | 8645 | 8577 |
| 5.795% (US0003M + 1.060%) due 09/12/2023 ~  | 2800 | 2801 |
| **Deutsche Bank AG** <br>3.950% due 02/27/2023 | 31200 | 31094 |
| **Dexia Credit Local SA** <br>3.250% due 09/26/2023 | 2000 | 1977 |
| **Discover Bank** <br>3.350% due 02/06/2023 | 5000 | 4991 |
| **European Investment Bank**  |  |  |
| 4.200% due 01/30/2023 •  | 3685 | 3686 |
| 4.201% due 01/30/2023 •  | 117000 | 117017 |
| 4.327% (US0003M + 0.100%) due 01/19/2023 ~  | 26000 | 25997 |
| **General Motors Financial Co., Inc.**  |  |  |
| 3.250% due 01/05/2023  | 34730 | 34728 |
| 3.700% due 05/09/2023  | 25492 | 25369 |
| 4.150% due 06/19/2023  | 40571 | 40361 |
| 4.250% due 05/15/2023  | 15458 | 15396 |
| 5.360% (SOFRRATE + 1.200%) due 11/17/2023 ~  | 26000 | 25933 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 0.523% due 03/08/2023  | 1100 | 1092 |
| 1.217% due 12/06/2023  | 14700 | 14195 |
| 3.625% due 02/20/2024  | 5800 | 5702 |
| 5.442% (US0003M + 0.750%) due 02/23/2023 ~  | 96100 | 96151 |

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<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Hana** **Bank**  |  |  |
| 5.127% (US0003M + 0.800%) due 07/26/2023 ~  | 6000 | 6008 |
| 5.533% (US0003M + 0.800%) due 03/13/2023 ~  | 800 | 801 |
| **HSBC Holdings PLC** <br>5.674% (US0003M + 1.000%) due 05/18/2024 ~ | 62600 | 62369 |
| **ING Groep NV** <br>4.100% due 10/02/2023 | 25640 | 25440 |
| **International Bank for Reconstruction & Development** <br>3.829% due 01/13/2023 •  | 111700 | 111701 |
| **International Finance Corp.** <br>4.413% due 06/30/2023 •  | 24000 | 23995 |
| **Jackson National Life Global Funding** <br>4.278% (SOFRRATE + 0.600%) due 01/06/2023 ~ | 9225 | 9225 |
| **JPMorgan Chase & Co.**  |  |  |
| 4.898% (SOFRRATE + 0.580%) due 03/16/2024 ~  | 20000 | 19944 |
| 5.215% (US0003M + 0.890%) due 07/23/2024 ~  | 6879 | 6890 |
| **Kookmin Bank** <br>2.875% due 03/25/2023 | 1050 | 1045 |
| **MassMutual Global Funding** <br>0.850% due 06/09/2023 | 5900 | 5792 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 3.455% due 03/02/2023  | 37400 | 37323 |
| 3.761% due 07/26/2023  | 13427 | 13319 |
| 5.187% (US0003M + 0.860%) due 07/26/2023 ~  | 23137 | 23178 |
| 5.519% (US0003M + 0.740%) due 03/02/2023 ~  | 51306 | 51326 |
| **Mizuho Financial Group, Inc.**  |  |  |
| 3.549% due 03/05/2023  | 11700 | 11675 |
| 4.899% (US0003M + 0.990%) due 07/10/2024 ~  | 29600 | 29535 |
| 5.387% (US0003M + 0.630%) due 05/25/2024 ~  | 94200 | 93695 |
| 5.555% (US0003M + 0.790%) due 03/05/2023 ~  | 14800 | 14815 |
| **Morgan Stanley**  |  |  |
| 0.731% due 04/05/2024 •  | 34640 | 34147 |
| 4.598% (SOFRRATE + 0.466%) due 11/10/2023 ~  | 4700 | 4688 |
| **Nationwide Building Society**  |  |  |
| 0.550% due 01/22/2024  | 12804 | 12172 |
| 2.000% due 01/27/2023  | 7300 | 7286 |
| **Nissan Motor Acceptance Co. LLC** <br>3.875% due 09/21/2023 | 1700 | 1669 |
| **Nordea Bank Abp**  |  |  |
| 1.000% due 06/09/2023  | 3785 | 3722 |
| 5.675% (US0003M + 0.940%) due 08/30/2023 ~  | 2000 | 2003 |
| **NTT Finance Corp.**  |  |  |
| 0.373% due 03/03/2023  | 3250 | 3232 |
| 0.583% due 03/01/2024  | 700 | 664 |
| **Pacific Life Global Funding** <br>5.051% (SOFRINDX + 0.800%) due 12/06/2024 ~ | 36800 | 36782 |
| **Protective Life Global Funding** <br>5.335% due 12/11/2024 •  | 19200 | 19206 |
| **QNB Finance Ltd.** <br>3.500% due 03/28/2024 | 14500 | 14206 |
| **Royal Bank of Canada**  |  |  |
| 4.404% (SOFRRATE + 0.450%) due 10/26/2023 ~  | 6100 | 6086 |
| 4.439% (US0003M + 0.360%) due 01/17/2023 ~  | 4700 | 4699 |
| **Skandinaviska Enskilda Banken AB** <br>5.081% (US0003M + 0.320%) due 09/01/2023 ~ | 13800 | 13781 |
| **Sumitomo Mitsui Financial Group, Inc.**  |  |  |
| 3.102% due 01/17/2023  | 6000 | 5996 |
| 4.819% (US0003M + 0.740%) due 01/17/2023 ~  | 4381 | 4381 |
| **Sumitomo Mitsui Trust Bank Ltd.** <br>0.850% due 03/25/2024 | 8000 | 7570 |
| **Toronto-Dominion Bank**  |  |  |
| 0.450% due 09/11/2023  | 4904 | 4755 |
| 4.448% (SOFRRATE + 0.480%) due 01/27/2023 ~  | 14400 | 14400 |
| 4.602% (SOFRRATE + 0.355%) due 03/04/2024 ~  | 3300 | 3279 |
| **Toyota Motor Credit Corp.**  |  |  |
| 4.055% (SOFRRATE + 0.330%) due 01/11/2024 ~  | 21600 | 21472 |
| 4.650% due 06/13/2023 •  | 13000 | 12992 |
| 5.050% due 12/11/2023 •  | 11300 | 11319 |
| **Truist Bank** <br>3.000% due 02/02/2023 | 400 | 399 |
| **UBS AG** <br>4.555% (SOFRRATE + 0.320%) due 06/01/2023 ~ | 38100 | 38054 |
| **UBS Group AG** <br>1.008% due 07/30/2024 •  | 4800 | 4668 |
| **Westpac Banking Corp.** <br>5.326% (US0003M + 0.720%) due 05/15/2023 ~ | 2200 | 2203 |
| **Woori Bank** <br>5.310% (US0003M + 0.870%) due 02/01/2023 ~ | 1600 | 1601 |
|  |  | 1530194 |
| **INDUSTRIALS 4.5%**  |  |  |
| **7-Eleven, Inc.** <br>0.625% due 02/10/2023 | 3500 | 3482 |
| **AbbVie, Inc.** <br>2.800% due 03/15/2023 | 430 | 428 |

---

------

<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **AstraZeneca** **PLC** <br>0.300% due 05/26/2023 | 19200 | 18863 |
| **BAT Capital Corp.** <br>3.222% due 08/15/2024 | 900 | 867 |
| **Boeing Co.**  |  |  |
| 1.167% due 02/04/2023  | 53802 | 53597 |
| 1.433% due 02/04/2024  | 57949 | 55557 |
| 4.508% due 05/01/2023  | 27687 | 27640 |
| **Boston Scientific Corp.** <br>3.450% due 03/01/2024 | 4769 | 4682 |
| **Burlington Northern Santa Fe LLC**  |  |  |
| 3.000% due 03/15/2023  | 1000 | 997 |
| 3.850% due 09/01/2023  | 1900 | 1885 |
| **Central Japan Railway Co.** <br>3.400% due 09/06/2023 | 2000 | 1977 |
| **Charter Communications Operating LLC**  |  |  |
| 4.500% due 02/01/2024  | 5700 | 5635 |
| 6.090% (US0003M + 1.650%) due 02/01/2024 ~  | 4000 | 4019 |
| **Constellation Brands, Inc.** <br>3.600% due 05/09/2024 | 4500 | 4414 |
| **Daimler Trucks Finance North America LLC**  |  |  |
| 1.125% due 12/14/2023  | 1750 | 1682 |
| 4.779% (SOFRRATE + 0.500%) due 06/14/2023 ~  | 7600 | 7591 |
| **Dell International LLC** <br>5.450% due 06/15/2023 | 3523 | 3526 |
| **eBay, Inc.** <br>5.285% (US0003M + 0.870%) due 01/30/2023 ~ | 1800 | 1800 |
| **Elevance Health, Inc.** <br>0.450% due 03/15/2023 | 7900 | 7835 |
| **Enbridge, Inc.** <br>0.550% due 10/04/2023 | 1680 | 1625 |
| **Gilead Sciences, Inc.** <br>0.750% due 09/29/2023 | 3574 | 3464 |
| **HCA, Inc.** <br>5.000% due 03/15/2024 | 11800 | 11738 |
| **Humana, Inc.** <br>0.650% due 08/03/2023 | 18530 | 18056 |
| **Huntington Ingalls Industries, Inc.** <br>0.670% due 08/16/2023 | 1600 | 1554 |
| **Hyundai Capital America**  |  |  |
| 0.800% due 04/03/2023  | 2000 | 1977 |
| 0.800% due 01/08/2024  | 2300 | 2189 |
| 1.250% due 09/18/2023  | 12359 | 11981 |
| 2.375% due 02/10/2023  | 52039 | 51924 |
| 4.125% due 06/08/2023  | 5186 | 5155 |
| 5.750% due 04/06/2023  | 1875 | 1876 |
| **International Business Machines Corp.** <br>3.375% due 08/01/2023 | 15000 | 14858 |
| **Kansas City Southern** <br>3.000% due 05/15/2023 | 10700 | 10607 |
| **Kinder Morgan, Inc.** <br>5.359% (US0003M + 1.280%) due 01/15/2023 ~ | 7200 | 7200 |
| **Komatsu Finance America, Inc.** <br>0.849% due 09/09/2023 | 1850 | 1796 |
| **Leidos, Inc.** <br>2.950% due 05/15/2023 | 2000 | 1984 |
| **Mercedes-Benz Finance North America LLC** <br>5.348% (US0003M + 0.840%) due 05/04/2023 ~ | 18000 | 18003 |
| **Nissan Motor Co. Ltd.** <br>3.043% due 09/15/2023 | 19600 | 19209 |
| **Oracle Corp.**  |  |  |
| 2.400% due 09/15/2023  | 5144 | 5043 |
| 2.625% due 02/15/2023  | 6000 | 5982 |
| **Phillips 66** <br>0.900% due 02/15/2024 | 7800 | 7458 |
| **Pioneer Natural Resources Co.** <br>0.550% due 05/15/2023 | 14500 | 14263 |
| **Precision Castparts Corp.** <br>2.500% due 01/15/2023 | 2100 | 2098 |
| **Schlumberger Investment SA** <br>3.650% due 12/01/2023 | 1600 | 1581 |
| **Siemens Financieringsmaatschappij NV** <br>0.400% due 03/11/2023 | 11000 | 10914 |
| **SK Broadband Co. Ltd.** <br>3.875% due 08/13/2023 | 4332 | 4297 |
| **Southern Co.** <br>4.490% (SOFRINDX + 0.370%) due 05/10/2023 ~ | 34060 | 33969 |
| **Stryker Corp.** <br>0.600% due 12/01/2023 | 2340 | 2248 |
| **Time Warner Cable Enterprises LLC** <br>8.375% due 03/15/2023 | 28789 | 28971 |
| **Union Pacific Corp.** <br>3.500% due 06/08/2023 | 500 | 497 |
| **VMware, Inc.** <br>0.600% due 08/15/2023 | 600 | 585 |

---

------

<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Volkswagen** **Group of America Finance LLC** <br>5.206% (SOFRRATE + 0.950%) due 06/07/2024 ~ | 21100 | 21002 |
|  |  | 530581 |
| **UTILITIES 1.5%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.920% (US0003M + 0.480%) due 11/01/2023 ~ | 23200 | 23096 |
| **AT&T, Inc.** <br>5.540% (US0003M + 0.890%) due 02/15/2023 ~ | 8000 | 8002 |
| **Atmos Energy Corp.**  |  |  |
| 0.625% due 03/09/2023  | 26060 | 25870 |
| 5.103% (US0003M + 0.380%) due 03/09/2023 ~  | 6500 | 6496 |
| **Dominion Energy, Inc.** <br>5.299% (US0003M + 0.530%) due 09/15/2023 ~ | 4000 | 3993 |
| **Duke Energy Corp.** <br>4.534% (SOFRRATE + 0.250%) due 06/10/2023 ~ | 18000 | 17951 |
| **Florida Power & Light Co.**  |  |  |
| 2.750% due 06/01/2023  | 200 | 198 |
| 4.119% (SOFRINDX + 0.380%) due 01/12/2024 ~  | 52700 | 52334 |
| **National Rural Utilities Cooperative Finance Corp.** <br>2.700% due 02/15/2023 | 1700 | 1697 |
| **NextEra Energy Capital Holdings, Inc.**  |  |  |
| 0.650% due 03/01/2023  | 16200 | 16090 |
| 4.465% (SOFRINDX + 0.400%) due 11/03/2023 ~  | 17000 | 16933 |
| **Southern California Edison Co.**  |  |  |
| 0.700% due 08/01/2023  | 4000 | 3898 |
| 1.100% due 04/01/2024  | 1000 | 950 |
| **Tampa Electric Co.** <br>3.875% due 07/12/2024 | 5800 | 5689 |
|  |  | 183197 |
| Total Corporate Bonds & Notes (Cost $2,252,011) |  | 2243972 |
| **MUNICIPAL BONDS & NOTES 0.1%**  |  |  |
| **CALIFORNIA 0.1%**  |  |  |
| **California Infrastructure & Economic Development Bank Revenue Bonds, Series 2020** <br>0.850% due 01/01/2050 | 6000 | 5988 |
| Total Municipal Bonds & Notes (Cost $5,939) |  | 5988 |
| **U.S. GOVERNMENT AGENCIES 10.4%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.315% due 02/08/2023 - 03/15/2023 •  | 560000 | 560003 |
| 4.330% due 06/07/2023 •  | 80000 | 80020 |
| 4.340% due 10/06/2023 •  | 600000 | 600150 |
| Total U.S. Government Agencies (Cost $1,240,000) |  | 1240173 |
| **ASSET-BACKED SECURITIES 0.1%**  |  |  |
| **ARI Fleet Lease Trust** <br>1.495% due 04/17/2023 | 1499 | 1497 |
| **DLLST LLC** <br>1.560% due 05/22/2023 | 349 | 348 |
| **MMAF Equipment Finance LLC** <br>1.482% due 05/03/2023 | 4183 | 4174 |
| Total Asset-Backed Securities (Cost $6,031) |  | 6019 |
| **SOVEREIGN ISSUES 0.2%**  |  |  |
| **Export-Import Bank of Korea**  |  |  |
| 5.536% (US0003M + 0.775%) due 06/01/2023 ~  | 8700 | 8717 |
| 5.558% (US0003M + 1.200%) due 04/27/2023 ~  | 4000 | 4012 |
| **Korea Development Bank**  |  |  |
| 5.024% (US0003M + 0.350%) due 02/18/2023 ~  | 10000 | 10000 |
| 5.529% (US0003M + 1.450%) due 04/16/2023 ~  | 3500 | 3512 |
| Total Sovereign Issues (Cost $26,246) |  | 26241 |
| **SHORT-TERM INSTRUMENTS 88.0%**  |  |  |
| **CERTIFICATES OF DEPOSIT 0.5%**  |  |  |
| **Barclays Bank PLC** <br>1.050% due 02/01/2023 | 53000 | 52837 |
| **Sumitomo Mitsui Trust Bank Ltd.** <br>4.780% due 02/28/2023 | 13100 | 13106 |
|  |  | 65943 |
| **COMMERCIAL PAPER 1.4%**  |  |  |
| **American Electric Power Co., Inc.**  |  |  |
| 4.730% due 01/05/2023  | 10400 | 10392 |

---

------

<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.800% due 01/04/2023  | 18000 | 17988 |
| **American Electric Power, Inc.** <br>4.720% due 01/04/2023 | 9850 | 9844 |
| **Bacardi Martini BV** <br>5.250% due 01/12/2023 | 8000 | 7987 |
| **Dominion Energy, Inc.** <br>4.750% due 01/31/2023 | 1200 | 1195 |
| **Energy Transfer LP** <br>5.080% due 01/05/2023 | 23700 | 23681 |
| **Entergy Corp.** <br>4.700% due 01/12/2023 | 700 | 699 |
| **Humana, Inc.**  |  |  |
| 4.850% due 01/05/2023  | 4300 | 4297 |
| 4.850% due 01/10/2023  | 3150 | 3145 |
| **Toronto-Dominion Bank** <br>3.640% due 04/21/2023 | 29200 | 29217 |
| **VW Credit, Inc.** <br>4.800% due 01/26/2023 | 58600 | 58394 |
|  |  | 166839 |
| **REPURCHASE AGREEMENTS (c) 77.7%** |  | 9251730 |
| **SHORT-TERM NOTES 8.4%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.310% due 01/17/2023 •  | 100000 | 100001 |
| 4.320% due 01/11/2023 - 01/23/2023 •  | 731000 | 731007 |
| 4.345% due 03/06/2023 •  | 168000 | 168012 |
|  |  | 999020 |
| **U.S. TREASURY BILLS 0.0%**  |  |  |
| 4.221% due 02/16/2023 (a)(b) | 1900 | 1891 |
| Total Short-Term Instruments (Cost $10,485,607) |  | 10485423 |
| Total Investments in Securities (Cost $14,015,834) |  | 14007816 |
| Total Investments 117.6% (Cost $14,015,834) |  | $14007816 |
| Other Assets and Liabilities, net (17.6)% |  | (2096727) |
| Net Assets 100.0% |  | $11911089 |

---

------

<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(b)** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(c)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BCY | BCY | 4.310%  | 01/03/2023 | 01/04/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | (510769) | $500000 | $500000 |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | (511035) | 500000 | 500000 |
|  |  | 4.33 | 12/30/2022 | 01/03/2023 | &nbsp;&nbsp;&nbsp;&nbsp;500000 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 4.750% due 02/15/2041 | (506884) | 500000 | 500241 |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Bonds 0.875% due 09/30/2026 | &nbsp;&nbsp; U.S. Treasury Bonds 0.875% due 09/30/2026 | (44579) |  |  |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 09/30/2026 | (465799) | 500000 | 500241 |
| BOS | BOS | 4.320  | 12/30/2022 | 01/03/2023 | 20000 | &nbsp;&nbsp; U.S. Treasury Bonds 2.500% due 02/15/2046 | &nbsp;&nbsp; U.S. Treasury Bonds 2.500% due 02/15/2046 | (20329) | 20000 | 20010 |
| BPS | BPS | 4.200  | 01/03/2023 | 01/04/2023 | 84000 | &nbsp;&nbsp; U.S. Treasury Notes 2.625% due 07/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.625% due 07/31/2029 | (85638) | 84000 | 84000 |
| BRC | BRC | 4.330  | 12/30/2022 | 01/03/2023 | 137600 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 05/15/2041 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 05/15/2041 | (139242) | 137600 | 137666 |
| DEU | DEU | 4.230  | 12/30/2022 | 01/03/2023 | 10300 | &nbsp;&nbsp; U.S. Treasury Bonds 2.750% due 11/15/2047 | &nbsp;&nbsp; U.S. Treasury Bonds 2.750% due 11/15/2047 | (10421) | 10300 | 10305 |
|  |  | 4.310  | 01/03/2023 | 01/04/2023 | 800 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 12/31/2025 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 12/31/2025 | (817) | 800 | 800 |
|  |  | 1.900  | 12/30/2022 | 01/03/2023 | 20700 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/08/2023 | (21114) | 20700 | 20704 |
| FICC | FICC | 4.280  | 12/30/2022 | 01/03/2023 | 3748600 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 08/15/2051 | (20150) | 3748600 | 3750383 |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% - 0.625% due 07/15/2030 - 07/15/2032 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% - 0.625% due 07/15/2030 - 07/15/2032 | (2130484) |  |  |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.625% - 1.875% due 08/15/2030 - 02/15/2032 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% - 1.875% due 08/15/2030 - 02/15/2032 | (1672938) |  |  |
| JPS | JPS | 0.060  | 08/18/2021 | TBD<sup>(2)</sup> | 165576 | &nbsp;&nbsp; U.S. Treasury Bonds 1.375% due 11/15/2040 | &nbsp;&nbsp; U.S. Treasury Bonds 1.375% due 11/15/2040 | (118056) | 165576 | 165715 |
|  |  | 0.060  | 12/07/2021 | TBD<sup>(2)</sup> | 266438 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 08/15/2046 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% due 08/15/2046 | (179283) | 266438 | 266612 |
|  |  | 3.060  | 11/02/2022 | TBD<sup>(2)</sup> | 186216 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 08/15/2051 | (196747) | 186216 | 187197 |
|  |  | 4.310  | 12/30/2022 | 01/03/2023 | 388000 | &nbsp;&nbsp; U.S. Treasury Notes 1.375% due 11/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 1.375% due 11/15/2031 | (397690) | 388000 | 388186 |
|  |  | 4.350  | 12/30/2022 | 01/03/2023 | 112800 | &nbsp;&nbsp; U.S. Treasury Bonds 2.375% due 05/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.375% due 05/15/2051 | (113912) | 112800 | 112854 |
| MBC | MBC | 4.310  | 12/28/2022 | 01/04/2023 | 10000 | &nbsp;&nbsp; U.S. Treasury Bonds 3.375% due 08/15/2042 | &nbsp;&nbsp; U.S. Treasury Bonds 3.375% due 08/15/2042 | (10263) | 10000 | 10007 |
|  |  | 4.310  | 12/29/2022 | 01/05/2023 | 600000 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% - 3.375% due 08/15/2042 - 08/15/2051 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% - 3.375% due 08/15/2042 - 08/15/2051 | (86860) | 600000 | 600359 |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.375% - 0.750% due 01/15/2027 - 07/15/2028 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.375% - 0.750% due 01/15/2027 - 07/15/2028 | (461569) |  |  |
|  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 2.250% due 11/30/2025 - 09/30/2027 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 2.250% due 11/30/2025 - 09/30/2027 | (70451) |  |  |
| MSR | MSR | 4.260  | 01/03/2023 | 01/04/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 0.875% due 12/31/2025 - 06/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 0.875% due 12/31/2025 - 06/30/2026 | (509827) | 500000 | 500000 |
|  |  | 4.310  | 01/03/2023 | 01/04/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 12/31/2025 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 12/31/2025 | (509658) | 500000 | 500000 |
|  |  | 4.340  | 12/30/2022 | 01/03/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% - 1.125% due 01/15/2025 - 06/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% - 1.125% due 01/15/2025 - 06/30/2026 | (507559) | 500000 | 500241 |
| SGY | SGY | 4.290  | 12/30/2022 | 01/03/2023 | 700 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 06/30/2026 | &nbsp;&nbsp; U.S. Treasury Notes 0.875% due 06/30/2026 | (712) | 700 | 700 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  | **(9302786)** | $**9251730** | $**9256221** |
| **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $5,140 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** |  |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. | Open maturity repurchase agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |

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<br> Schedule of Investments PIMCO Short-Term Floating NAV Portfolio II (Cont.) December 31, 2022 (Unaudited)

---

| | | | | |
|:---|:---|:---|:---|:---|
| **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** | **Investments** **in Securities, at Value** |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | $0 | $1530194 | $0 | $1530194 |
| Industrials | 0 | 530581 | 0 | 530581 |
| Utilities | 0 | 183197 | 0 | 183197 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| California | 0 | 5988 | 0 | 5988 |
| U.S. Government Agencies | 0 | 1240173 | 0 | 1240173 |
| Asset-Backed Securities | 0 | 6019 | 0 | 6019 |
| Sovereign Issues | 0 | 26241 | 0 | 26241 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Certificates of Deposit | 0 | 65943 | 0 | 65943 |
| Commercial Paper | 0 | 166839 | 0 | 166839 |
| Repurchase Agreements | 0 | 9251730 | 0 | 9251730 |
| Short-Term Notes | 0 | 999020 | 0 | 999020 |
| U.S. Treasury Bills | 0 | 1891 | 0 | 1891 |
| Total Investments | $0 | $14007816 | $0 | $14007816 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 119.4% ¤** |  |  |
| **CORPORATE BONDS & NOTES 24.0%**  |  |  |
| **BANKING & FINANCE 16.3%**  |  |  |
| **American Express Co.** <br>5.386% (US0003M + 0.650%) due 02/27/2023 ~ | $2577 | $2577 |
| **Banco Santander SA** <br>3.848% due 04/12/2023 | 1600 | 1592 |
| **Bank of Nova Scotia**  |  |  |
| 2.440% due 03/11/2024  | 2000 | 1932 |
| 4.376% (SOFRRATE + 0.380%) due 07/31/2024 ~  | 600 | 594 |
| **Barclays PLC** <br>4.967% (BBSW3M + 1.800%) due 06/15/2023 ~ | 21750 | 14822 |
| **BNP Paribas SA** <br>3.500% due 03/01/2023 | $8017 | 7998 |
| **BOC Aviation Ltd.** <br>5.849% (US0003M + 1.125%) due 09/26/2023 ~ | 700 | 699 |
| **Canadian Imperial Bank of Commerce** <br>4.478% (BBSW3M + 1.350%) due 06/09/2023 ~ | 26400 | 18011 |
| **Caterpillar Financial Services Corp.** <br>5.116% (US0003M + 0.510%) due 05/15/2023 ~ | $700 | 701 |
| **Citigroup, Inc.** <br>3.375% due 03/01/2023 | 650 | 649 |
| **CK Hutchison International Ltd.** <br>2.750% due 03/29/2023 | 3245 | 3228 |
| **CNH Industrial Capital LLC** <br>1.950% due 07/02/2023 | 1463 | 1438 |
| **Credit Agricole SA** <br>5.345% (US0003M + 1.020%) due 04/24/2023 ~ | 1145 | 1146 |
| **Credit Suisse AG**  |  |  |
| 1.000% due 05/05/2023  | 14300 | 13970 |
| 4.260% (BBSW3M + 1.150%) due 05/26/2023 ~  | 32250 | 21798 |
| 4.495% (SOFRINDX + 0.380%) due 08/09/2023 ~  | $7640 | 7455 |
| **Danske Bank AS**  |  |  |
| 3.875% due 09/12/2023  | 4100 | 4050 |
| 5.375% due 01/12/2024  | 8844 | 8774 |
| 5.795% (US0003M + 1.060%) due 09/12/2023 ~  | 1600 | 1600 |
| **Deutsche Bank AG**  |  |  |
| 3.950% due 02/27/2023  | 6600 | 6578 |
| 4.603% due 11/08/2023 •  | 11598 | 11523 |
| **European Investment Bank** <br>4.327% (US0003M + 0.100%) due 01/19/2023 ~ | 32000 | 31996 |
| **General Motors Financial Co., Inc.**  |  |  |
| 3.250% due 01/05/2023  | 11400 | 11399 |
| 3.700% due 05/09/2023  | 19400 | 19307 |
| 4.150% due 06/19/2023  | 6472 | 6439 |
| 4.250% due 05/15/2023  | 4921 | 4901 |
| 5.360% (SOFRRATE + 1.200%) due 11/17/2023 ~  | 31400 | 31319 |
| **Goldman Sachs Group, Inc.**  |  |  |
| 1.217% due 12/06/2023  | 16081 | 15529 |
| 3.625% due 02/20/2024  | 14000 | 13764 |
| 4.250% (BBSW3M + 1.200%) due 05/16/2023 ~  | 4680 | 3188 |
| 5.442% (US0003M + 0.750%) due 02/23/2023 ~  | $13300 | 13307 |
| **Hana Bank** <br>5.127% (US0003M + 0.800%) due 07/26/2023 ~ | 3900 | 3905 |
| **HSBC Holdings PLC**  |  |  |
| 4.150% (BBSW3M + 1.100%) due 02/16/2024 ~  | 3600 | 2449 |
| 5.674% (US0003M + 1.000%) due 05/18/2024 ~  | $6800 | 6775 |
| **ING Groep NV**  |  |  |
| 4.100% due 10/02/2023  | 14686 | 14571 |
| 5.754% (US0003M + 1.000%) due 10/02/2023 ~  | 2790 | 2797 |
| **International Bank for Reconstruction & Development**  |  |  |
| 2.250% due 01/17/2023  | 3400 | 2509 |
| 3.829% due 01/13/2023 •  | $149818 | 149819 |
| **International Finance Corp.** <br>4.413% due 06/30/2023 •  | 37000 | 36993 |
| **Jackson National Life Global Funding** <br>4.278% (SOFRRATE + 0.600%) due 01/06/2023 ~ | 5119 | 5119 |
| **Lloyds Banking Group PLC** <br>4.050% due 08/16/2023 | 800 | 795 |
| **Mitsubishi UFJ Financial Group, Inc.**  |  |  |
| 5.187% (US0003M + 0.860%) due 07/26/2023 ~  | 1676 | 1679 |
| 5.519% (US0003M + 0.740%) due 03/02/2023 ~  | 723 | 723 |

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<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Mizuho** **Bank Ltd.** <br>3.530% (BBSW3M + 0.530%) due 10/20/2023 ~ | 50800 | 34564 |
| **Mizuho Financial Group, Inc.** <br>5.387% (US0003M + 0.630%) due 05/25/2024 ~ | $34200 | 34017 |
| **Morgan Stanley** <br>5.770% (US0003M + 1.220%) due 05/08/2024 ~ | 41421 | 41498 |
| **Nationwide Building Society** <br>2.000% due 01/27/2023 | 7500 | 7485 |
| **Nordea Bank Abp** <br>1.000% due 06/09/2023 | 4300 | 4229 |
| **NTT Finance Corp.**  |  |  |
| 0.373% due 03/03/2023  | 800 | 796 |
| 0.583% due 03/01/2024  | 1200 | 1138 |
| **Pacific Life Global Funding** <br>5.051% (SOFRINDX + 0.800%) due 12/06/2024 ~ | 20100 | 20090 |
| **Protective Life Global Funding** <br>5.335% due 12/11/2024 •  | 8600 | 8602 |
| **Royal Bank of Canada** <br>4.404% (SOFRRATE + 0.450%) due 10/26/2023 ~ | 5900 | 5887 |
| **Societe Generale SA** <br>3.871% due 07/15/2023 •  | 15000 | 10210 |
| **Sumitomo Mitsui Financial Group, Inc.** <br>3.102% due 01/17/2023 | $2685 | 2683 |
| **Toronto-Dominion Bank**  |  |  |
| 3.918% (SOFRRATE + 0.240%) due 01/06/2023 ~  | 7126 | 7126 |
| 4.448% (SOFRRATE + 0.480%) due 01/27/2023 ~  | 20000 | 20000 |
| **Toyota Motor Credit Corp.** <br>5.050% due 12/11/2023 •  | 23300 | 23339 |
| **Truist Bank** <br>3.000% due 02/02/2023 | 400 | 399 |
| **UBS AG**  |  |  |
| 0.375% due 06/01/2023  | 1500 | 1470 |
| 4.555% (SOFRRATE + 0.320%) due 06/01/2023 ~  | 46900 | 46844 |
| **Westpac Banking Corp.** <br>5.326% (US0003M + 0.720%) due 05/15/2023 ~ | 1900 | 1902 |
|  |  | 782697 |
| **INDUSTRIALS 6.2%**  |  |  |
| **AbbVie, Inc.** <br>2.850% due 05/14/2023 | 5400 | 5362 |
| **AstraZeneca PLC** <br>0.300% due 05/26/2023 | 26700 | 26232 |
| **Boeing Co.** <br>1.433% due 02/04/2024 | 81800 | 78424 |
| **CenterPoint Energy Resources Corp.**  |  |  |
| 0.700% due 03/02/2023  | 700 | 695 |
| 5.279% (US0003M + 0.500%) due 03/02/2023 ~  | 265 | 265 |
| **Daimler Trucks Finance North America LLC** <br>4.779% (SOFRRATE + 0.500%) due 06/14/2023 ~ | 3600 | 3596 |
| **Elevance Health, Inc.** <br>0.450% due 03/15/2023 | 11500 | 11405 |
| **Enbridge, Inc.** <br>0.550% due 10/04/2023 | 600 | 580 |
| **Gilead Sciences, Inc.** <br>0.750% due 09/29/2023 | 1800 | 1744 |
| **HCA, Inc.** <br>5.000% due 03/15/2024 | 6300 | 6267 |
| **Humana, Inc.** <br>0.650% due 08/03/2023 | 9000 | 8770 |
| **Hyundai Capital America**  |  |  |
| 0.800% due 04/03/2023  | 23516 | 23244 |
| 0.800% due 01/08/2024  | 13240 | 12601 |
| 1.250% due 09/18/2023  | 14950 | 14493 |
| 2.375% due 02/10/2023  | 2665 | 2659 |
| **Kansas City Southern** <br>3.000% due 05/15/2023 | 10081 | 9994 |
| **Leidos, Inc.** <br>2.950% due 05/15/2023 | 2300 | 2282 |
| **Mercedes-Benz Finance North America LLC** <br>5.348% (US0003M + 0.840%) due 05/04/2023 ~ | 9000 | 9001 |
| **Nissan Motor Co. Ltd.** <br>3.043% due 09/15/2023 | 4100 | 4018 |
| **Phillips 66** <br>0.900% due 02/15/2024 | 3800 | 3633 |
| **Pioneer Natural Resources Co.** <br>0.550% due 05/15/2023 | 6300 | 6197 |
| **RELX Capital, Inc.** <br>3.500% due 03/16/2023 | 13747 | 13693 |
| **Schlumberger Investment SA** <br>3.650% due 12/01/2023 | 800 | 790 |
| **Siemens Financieringsmaatschappij NV** <br>0.400% due 03/11/2023 | 29600 | 29367 |
| **SK Telecom Co. Ltd.** <br>3.750% due 04/16/2023 | 1300 | 1295 |

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<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **Time** **Warner Cable Enterprises LLC** <br>8.375% due 03/15/2023 | 20647 | 20778 |
| **Union Pacific Corp.** <br>3.500% due 06/08/2023 | 300 | 298 |
| **Volkswagen Group of America Finance LLC** <br>3.125% due 05/12/2023 | 1300 | 1290 |
|  |  | 298973 |
| **UTILITIES 1.5%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.920% (US0003M + 0.480%) due 11/01/2023 ~ | 12200 | 12145 |
| **AT&T, Inc.** <br>4.451% (BBSW3M + 1.250%) due 09/19/2023 ~ | 700 | 478 |
| **Atmos Energy Corp.** <br>0.625% due 03/09/2023 | $23300 | 23130 |
| **Florida Power & Light Co.** <br>4.119% (SOFRINDX + 0.380%) due 01/12/2024 ~ | 3500 | 3476 |
| **National Rural Utilities Cooperative Finance Corp.** <br>2.700% due 02/15/2023 | 1900 | 1896 |
| **NextEra Energy Capital Holdings, Inc.** <br>4.465% (SOFRINDX + 0.400%) due 11/03/2023 ~ | 9200 | 9163 |
| **Pacific Gas & Electric Co.** <br>1.700% due 11/15/2023 | 1300 | 1259 |
| **Verizon Communications, Inc.** <br>4.263% (BBSW3M + 1.220%) due 02/17/2023 ~ | 27340 | 18622 |
| **Virginia Electric & Power Co.** <br>2.750% due 03/15/2023 | $2295 | 2286 |
|  |  | 72455 |
| Total Corporate Bonds & Notes (Cost $1,167,447) |  | 1154125 |
| **MUNICIPAL BONDS & NOTES 0.1%**  |  |  |
| **CALIFORNIA 0.1%**  |  |  |
| **California Infrastructure & Economic Development Bank Revenue Bonds, Series 2020** <br>0.850% due 01/01/2050 | 2500 | 2495 |
| Total Municipal Bonds & Notes (Cost $2,474) |  | 2495 |
| **ASSET-BACKED SECURITIES 0.1%**  |  |  |
| **ARI Fleet Lease Trust** <br>1.495% due 04/17/2023 | 1274 | 1272 |
| **DLLST LLC** <br>1.560% due 05/22/2023 | 349 | 348 |
| **MMAF Equipment Finance LLC** <br>1.482% due 05/03/2023 | 4344 | 4335 |
| Total Asset-Backed Securities (Cost $5,967) |  | 5955 |
| **SOVEREIGN ISSUES 0.3%**  |  |  |
| **Israel Government International Bond** <br>4.250% due 03/31/2023 | 7100 | 2023 |
| **Korea Development Bank**  |  |  |
| 5.024% (US0003M + 0.350%) due 02/18/2023 ~  | $5600 | 5600 |
| 5.529% (US0003M + 1.450%) due 04/16/2023 ~  | 2975 | 2985 |
| **Korea National Oil Corp.** <br>4.954% (US0003M + 0.875%) due 07/16/2023 ~ | 2700 | 2704 |
| Total Sovereign Issues (Cost $13,367) |  | 13312 |
| **SHORT-TERM INSTRUMENTS 94.9%**  |  |  |
| **CERTIFICATES OF DEPOSIT 0.6%**  |  |  |
| **Barclays Bank PLC** <br>1.050% due 02/01/2023 | 30200 | 30107 |
| **COMMERCIAL PAPER 3.4%**  |  |  |
| **American Electric Power Co., Inc.** <br>4.800% due 01/04/2023 | 15500 | 15490 |
| **Bacardi Martini BV** <br>5.250% due 01/12/2023 | 2000 | 1997 |
| **Bank of Nova Scotia**  |  |  |
| 4.318% due 02/01/2023  | 53500 | 39349 |
| 4.519% due 02/28/2023  | 11000 | 8061 |
| **Energy Transfer LP** <br>5.080% due 01/05/2023 | $10100 | 10092 |
| **Humana, Inc.** <br>4.850% due 01/10/2023 | 2100 | 2097 |
| **Royal Bank of Canada**  |  |  |
| 4.291% due 01/31/2023  | 47600 | 35011 |
| 4.369% due 01/09/2023  | 59500 | 43889 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Toronto** **-Dominion Bank** <br>4.355% due 01/09/2023 | 8500 | 6270 |
|  |  | 162256 |
| **REPURCHASE AGREEMENTS (d) 55.4%** |  | 2666574 |
| **SHORT-TERM NOTES 21.9%**  |  |  |
| **Federal Home Loan Bank**  |  |  |
| 4.020% due 01/04/2023 (c) | $4200 | 4199 |
| 4.310% due 01/03/2023 - 01/25/2023 •  | 446900 | 446909 |
| 4.320% due 01/10/2023 •  | 86000 | 86000 |
| 4.330% due 05/04/2023 •(a) | 250000 | 250125 |
| 4.345% due 02/21/2023 - 03/06/2023 •  | 270500 | 270519 |
|  |  | 1057752 |
| **JAPAN TREASURY BILLS 12.3%**  |  |  |
| (0.185)% due 01/06/2023 - 03/20/2023 (b)(c) | 77986000 | 594338 |
| **U.S. TREASURY BILLS 1.3%**  |  |  |
| 4.170% due 01/26/2023 - 03/30/2023 (b)(c)(f) | $62279 | 61970 |
| Total Short-Term Instruments (Cost $4,540,816) |  | 4572997 |
| Total Investments in Securities (Cost $5,730,071) |  | 5748884 |
| Total Investments 119.4% (Cost $5,730,071) |  | $5748884 |
| **Financial Derivative Instruments (e) (0.7)**%(Cost or Premiums, net $0) |  | (31593) |
| Other Assets and Liabilities, net (18.7)% |  | (901421) |
| Net Assets 100.0% |  | $4815870 |

---

------

<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(b)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(c)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(d)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Lending<br>Rate | Settlement<br>Date | Maturity<br>Date | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| BOS | BOS | 4.320%  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 896700 | &nbsp;&nbsp; U.S. Treasury Bonds 2.500% - 3.125% due 11/15/2041 - 05/15/2047 | &nbsp;&nbsp; U.S. Treasury Bonds 2.500% - 3.125% due 11/15/2041 - 05/15/2047 | $(914980) | $896700 | 896700 | $897124 |
| BPS | BPS | 4.200  | 01/03/2023 | 01/04/2023 | 01/04/2023 | 161900 | &nbsp;&nbsp; U.S. Treasury Notes 3.000% due 06/30/2024 | &nbsp;&nbsp; U.S. Treasury Notes 3.000% due 06/30/2024 | (165345) | 161900 | 161900 | 161900 |
|  |  | 4.310  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 5900 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% due 05/15/2030 | &nbsp;&nbsp; U.S. Treasury Notes 0.625% due 05/15/2030 | (6031) | 5900 | 5900 | 5903 |
| FICC | FICC | 1.900  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 12571 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | (12822) | 12571 | 12571 | 12574 |
| JPS | JPS | 4.350  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 60000 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 02/15/2050 | &nbsp;&nbsp; U.S. Treasury Bonds 2.000% due 02/15/2050 | (57477) | 60000 | 60000 | 60029 |
| MBC | MBC | 4.310  | 12/28/2022 | 01/04/2023 | 01/04/2023 | 76500 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 02/15/2051 | &nbsp;&nbsp; U.S. Treasury Inflation Protected Securities 0.125% due 02/15/2051 | (28811) | 76500 | 76500 | 76555 |
|  |  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.750% - 2.000% due 02/15/2023 - 01/31/2028 | &nbsp;&nbsp; U.S. Treasury Notes 0.750% - 2.000% due 02/15/2023 - 01/31/2028 | (49988) |  |  |  |
|  |  | 4.310  | 12/29/2022 | 01/05/2023 | 01/05/2023 | 100000 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% - 3.000% due 11/15/2044 - 08/15/2049 | &nbsp;&nbsp; U.S. Treasury Bonds 2.250% - 3.000% due 11/15/2044 - 08/15/2049 | (23360) | 100000 | 100000 | 100060 |
|  |  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 1.250% due 07/31/2027 - 08/15/2031 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 1.250% due 07/31/2027 - 08/15/2031 | (80109) |  |  |  |
| MSR | MSR | 4.260  | 01/03/2023 | 01/04/2023 | 01/04/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 1.125% due 01/15/2025 - 11/30/2025 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% - 1.125% due 01/15/2025 - 11/30/2025 | (509835) | 500000 | 500000 | 500000 |
|  |  | 4.280  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 500000 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 11/30/2025 | &nbsp;&nbsp; U.S. Treasury Notes 0.375% due 11/30/2025 | (510038) | 500000 | 500000 | 500238 |
| SGY | SGY | 4.290  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 344800 | &nbsp;&nbsp; U.S. Treasury Bonds 3.000% due 02/15/2048 | &nbsp;&nbsp; U.S. Treasury Bonds 3.000% due 02/15/2048 | (305289) | 344800 | 344800 | 344964 |
|  |  |  |  |  |  |  | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 05/31/2029 | &nbsp;&nbsp; U.S. Treasury Notes 2.750% due 05/31/2029 | (45689) |  |  |  |
| SSB | SSB | 1.900  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 8203 | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | &nbsp;&nbsp; U.S. Treasury Notes 1.875% due 06/30/2026<sup>(2)</sup> | (8367) | 8203 | 8203 | 8205 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  | $**(2718141)** | $**2666574** | **2666574** | $**2667552** |
| **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Cash of $1,830 has been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. | Collateral is held in custody by the counterparty. |
| **(e)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Received | Asset | Asset | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 01/2023  | 01/2023  | CAD | 59500 | 59500 | 43620 | 0 | 0 | $(344) | (344) |
|  |  |  | 01/2023  | 01/2023  | JPY | 34542500 | 34542500 | 243191 | 0 | 0 | (20578) | (20578) |
|  |  |  | 02/2023  | 02/2023  | CAD | 11000 | 11000 | 8132 | 1 | 1 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 03/2023  | 03/2023  | JPY | 1470000 | 1470000 | 10944 | 0 | 0 | (392) | (392) |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 02/2023  | 02/2023  | AUD | 189416 | 189416 | 128552 | 0 | 0 | (653) | (653) |
|  |  |  | 03/2023  | 03/2023  | ILS | 7336 | 7336 | 2150 | 57 | 57 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 01/2023  | 01/2023  |  | 363 | 363 | 106 | 3 | 3 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 01/2023  | 01/2023  | CAD | 8500 | 8500 | 6231 | 0 | 0 | (50) | (50) |
|  |  |  | 01/2023  | 01/2023  | EUR | 1730 | 1730 | 1811 | 0 | 0 | (40) | (40) |
|  |  |  | 01/2023  | 01/2023  | $ | $1543 | 1543 | 1266 | 0 | 0 | (15) | (15) |
| &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | &nbsp;&nbsp;&nbsp;&nbsp; MYI | 01/2023  | 01/2023  |  | 8173 | 8173 | 11128 | 50 | 50 | 0 | 0 |
|  |  |  | 02/2023  | 02/2023  |  | 7017 | 7017 | 10356 | 47 | 47 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; RBC | &nbsp;&nbsp;&nbsp;&nbsp; RBC | &nbsp;&nbsp;&nbsp;&nbsp; RBC | 01/2023  | 01/2023  | JPY | 702 | 702 | 5 | 0 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 01/2023  | 01/2023  | KRW | 315452 | 315452 | 239 | 0 | 0 | (12) | (12) |
| &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | &nbsp;&nbsp;&nbsp;&nbsp; TOR | 01/2023  | 01/2023  | CAD | 47600 | 47600 | 34713 | 0 | 0 | (463) | (463) |
|  |  |  | 01/2023  | 01/2023  | JPY | 19187 | 19187 | 143 | 0 | 0 | (4) | (4) |
|  |  |  | 02/2023  | 02/2023  | CAD | 53500 | 53500 | 39015 | 0 | 0 | (521) | (521) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 03/2023  | 03/2023  | JPY | 42006000 | 42006000 | 314953 | 0 | 0 | (8679) | (8679) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **$** | **158** | **$** | **(31751)** | **(31751)** |

---

------

<br> Consolidated Schedule of Investments PIMCO Short-Term Floating NAV Portfolio III (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **(f)** | **Securities with an aggregate market value of $21,694 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $21,694 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $21,694 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $21,694 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $21,694 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 12/31/2022 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | $0 | $782697 | $0 | $782697 |
| Industrials | Industrials | 0 | 298973 | 0 | 298973 |
| Utilities | Utilities | 0 | 72455 | 0 | 72455 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| California | California | 0 | 2495 | 0 | 2495 |
| Asset-Backed Securities | Asset-Backed Securities | 0 | 5955 | 0 | 5955 |
| Sovereign Issues | Sovereign Issues | 0 | 13312 | 0 | 13312 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Certificates of Deposit | Certificates of Deposit | 0 | 30107 | 0 | 30107 |
| Commercial Paper | Commercial Paper | 0 | 162256 | 0 | 162256 |
| Repurchase Agreements | Repurchase Agreements | 0 | 2666574 | 0 | 2666574 |
| Short-Term Notes | Short-Term Notes | 0 | 1057752 | 0 | 1057752 |
| Japan Treasury Bills | Japan Treasury Bills | 0 | 594338 | 0 | 594338 |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 61970 | 0 | 61970 |
| Total Investments | Total Investments | $0 | $5748884 | $0 | $5748884 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Over the counter | Over the counter | $0 | $158 | $0 | $158 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Over the counter | Over the counter | $0 | $(31751) | $0 | $(31751) |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | $(31593) | $0 | $(31593) |
| Totals | Totals | $0 | $5717291 | $0 | $5717291 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 168.3% ¤** |  |  |
| **CORPORATE BONDS & NOTES 0.0%**  |  |  |
| **BANKING & FINANCE 0.0%**  |  |  |
| **Lehman Brothers Holdings, Inc.** <br>1.000% due 09/27/2027 ^(b) | $2000 | $8 |
| Total Corporate Bonds & Notes (Cost $1,036) |  | 8 |
| **U.S. GOVERNMENT AGENCIES 84.8%**  |  |  |
| **Fannie Mae**  |  |  |
| 1.494% due 03/25/2027 ~ | 2 | 2 |
| 1.499% due 03/25/2027 ~ | 3 | 3 |
| 1.691% due 02/01/2035 •  | 4 | 4 |
| 1.815% due 01/01/2037 •  | 1 | 1 |
| 1.816% due 04/01/2037 •  | 1 | 1 |
| 1.979% due 02/01/2034 •  | 14 | 13 |
| 1.994% due 01/01/2033 •  | 4 | 4 |
| 1.995% due 02/01/2035 •  | 72 | 70 |
| 2.000% due 12/01/2033 •  | 22 | 21 |
| 2.105% due 12/01/2035 •  | 157 | 154 |
| 2.119% due 08/01/2032 •  | 3 | 2 |
| 2.125% due 01/01/2033 •  | 6 | 6 |
| 2.155% due 03/01/2034 •  | 10 | 10 |
| 2.172% due 05/01/2037 •  | 165 | 161 |
| 2.190% due 04/01/2033 •  | 5 | 5 |
| 2.195% due 01/01/2034 •  | 1 | 1 |
| 2.214% due 03/01/2035 •  | 43 | 42 |
| 2.256% due 03/01/2033 •  | 60 | 59 |
| 2.290% due 01/01/2036 •  | 1 | 1 |
| 2.305% due 02/01/2034 •  | 31 | 31 |
| 2.322% due 03/01/2033 •  | 1 | 1 |
| 2.350% due 04/01/2034 •  | 6 | 6 |
| 2.375% due 10/01/2024 •  | 1 | 1 |
| 2.400% due 01/01/2033 •  | 3 | 3 |
| 2.408% due 03/01/2034 •  | 67 | 65 |
| 2.425% due 04/01/2035 •  | 2 | 2 |
| 2.500% due 05/01/2032 - 04/01/2035 •  | 66 | 65 |
| 2.550% due 03/01/2035 •  | 1 | 1 |
| 2.563% due 07/01/2033 •  | 162 | 158 |
| 2.601% due 12/01/2034 •  | 23 | 23 |
| 2.605% due 04/01/2033 •  | 78 | 76 |
| 2.647% due 11/01/2035 •  | 1 | 1 |
| 2.655% due 07/01/2035 •  | 21 | 21 |
| 2.656% due 01/01/2036 •  | 1 | 1 |
| 2.665% due 12/01/2032 •  | 13 | 13 |
| 2.674% due 07/01/2026 •  | 45 | 44 |
| 2.678% due 05/01/2033 •  | 4 | 4 |
| 2.697% due 07/01/2027 •  | 1 | 1 |
| 2.708% due 03/01/2030 •  | 49 | 48 |
| 2.716% due 10/01/2034 •  | 36 | 36 |
| 2.744% due 09/01/2033 •  | 15 | 15 |
| 2.770% due 11/01/2027 •  | 2 | 2 |
| 2.814% due 06/01/2032 •  | 2 | 2 |
| 2.836% due 01/01/2036 •  | 58 | 58 |
| 2.839% due 01/01/2038 •  | 1 | 1 |
| 2.840% due 02/01/2035 •  | 10 | 10 |
| 2.842% due 06/01/2037 •  | 7 | 6 |
| 2.846% due 11/01/2033 •  | 80 | 77 |
| 2.864% due 11/01/2040 •  | 2 | 2 |
| 2.873% due 02/01/2036 •  | 31 | 30 |
| 2.879% due 05/01/2032 •  | 6 | 6 |
| 2.889% due 07/01/2042 - 07/01/2044 •  | 171 | 163 |
| 2.893% due 03/01/2034 •  | 201 | 196 |
| 2.895% due 07/01/2033 •  | 30 | 29 |
| 2.907% due 07/01/2033 •  | 1 | 1 |
| 2.913% due 04/01/2033 - 09/01/2033 •  | 28 | 27 |
| 2.915% due 10/01/2032 - 09/01/2034 •  | 28 | 26 |
| 2.939% due 09/01/2041 •  | 11 | 11 |
| 2.945% due 04/01/2034 •  | 18 | 18 |
| 2.953% due 12/01/2032 •  | 64 | 64 |
| 2.980% due 02/01/2035 •  | 6 | 6 |
| 2.988% due 05/01/2036 •  | 24 | 25 |
| 3.025% due 05/01/2030 •  | 12 | 12 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.070% due 04/01/2028 •  | 12 | 11 |
| 3.098% due 02/01/2034 •  | 75 | 73 |
| 3.122% due 06/01/2035 •  | 34 | 34 |
| 3.148% due 03/01/2033 •  | 13 | 12 |
| 3.156% due 04/01/2035 •  | 9 | 9 |
| 3.201% due 01/01/2035 •  | 12 | 12 |
| 3.285% due 05/01/2036 •  | 21 | 21 |
| 3.389% due 11/01/2035 •  | 12 | 11 |
| 3.401% due 07/01/2029 •  | 5 | 5 |
| 3.429% due 02/01/2034 •  | 17 | 17 |
| 3.434% due 09/01/2035 •  | 17 | 17 |
| 3.436% due 08/01/2033 •  | 23 | 22 |
| 3.438% due 05/01/2034 •  | 5 | 5 |
| 3.448% due 01/01/2035 •  | 1 | 1 |
| 3.471% due 07/01/2037 •  | 28 | 28 |
| 3.478% due 11/01/2035 •  | 3 | 3 |
| 3.481% due 11/01/2035 •  | 13 | 13 |
| 3.486% due 01/01/2033 •  | 2 | 2 |
| 3.494% due 10/01/2033 - 04/01/2040 •  | 110 | 110 |
| 3.500% due 06/01/2034 - 11/01/2036 •  | 129 | 127 |
| 3.572% due 08/25/2042 ~ | 11 | 11 |
| 3.575% due 01/01/2033 •  | 2 | 2 |
| 3.582% due 12/01/2036 •  | 2 | 2 |
| 3.624% due 07/01/2034 •  | 49 | 50 |
| 3.625% due 09/01/2033 - 07/01/2035 •  | 69 | 68 |
| 3.632% due 12/01/2034 •  | 5 | 5 |
| 3.635% due 05/01/2036 •  | 33 | 32 |
| 3.644% due 07/01/2035 •  | 2 | 2 |
| 3.644% due 12/25/2036 ~ | 38 | 37 |
| 3.647% due 01/01/2035 •  | 7 | 7 |
| 3.703% due 07/01/2034 •  | 41 | 41 |
| 3.705% due 06/01/2036 •  | 6 | 6 |
| 3.741% due 02/01/2037 •  | 10 | 11 |
| 3.742% due 11/01/2032 •  | 3 | 3 |
| 3.743% due 08/01/2028 •  | 72 | 71 |
| 3.794% due 02/01/2035 •  | 14 | 14 |
| 3.797% due 11/01/2034 •  | 2 | 2 |
| 3.798% due 08/01/2033 •  | 1 | 1 |
| 3.807% due 07/01/2035 •  | 1 | 1 |
| 3.846% due 11/01/2034 •  | 36 | 36 |
| 3.873% due 12/01/2036 •  | 41 | 42 |
| 3.875% due 10/01/2034 •  | 6 | 6 |
| 3.878% due 06/01/2035 •  | 7 | 7 |
| 3.920% due 11/01/2034 •  | 9 | 9 |
| 3.926% due 09/01/2033 •  | 18 | 18 |
| 3.945% due 11/01/2033 •  | 117 | 115 |
| 3.950% due 11/01/2047 •  | 108 | 106 |
| 3.952% due 10/01/2035 •  | 37 | 38 |
| 3.953% due 09/01/2033 •  | 2 | 1 |
| 3.971% due 08/01/2035 •  | 14 | 15 |
| 3.977% due 07/01/2035 •  | 4 | 4 |
| 3.980% due 12/01/2035 •  | 6 | 6 |
| 3.995% due 11/01/2033 •  | 62 | 62 |
| 4.000% due 12/01/2033 - 06/01/2034 •  | 12 | 12 |
| 4.005% due 10/01/2033 •  | 22 | 22 |
| 4.027% due 11/01/2034 •  | 4 | 4 |
| 4.060% due 03/01/2030 | 426 | 416 |
| 4.062% due 01/01/2033 •  | 2 | 2 |
| 4.065% due 11/01/2033 •  | 14 | 13 |
| 4.076% due 12/25/2036 •  | 2 | 2 |
| 4.108% due 01/01/2035 •  | 19 | 19 |
| 4.120% due 10/01/2035 •  | 6 | 6 |
| 4.138% due 07/01/2035 •  | 9 | 10 |
| 4.145% due 05/01/2036 •  | 14 | 14 |
| 4.205% due 08/01/2033 •  | 6 | 6 |
| 4.225% due 12/01/2035 •  | 174 | 171 |
| 4.279% due 11/01/2031 •  | 10 | 10 |
| 4.315% due 08/01/2037 •  | 294 | 290 |
| 4.330% due 10/01/2033 •  | 62 | 61 |
| 4.345% due 06/01/2034 •  | 71 | 70 |
| 4.354% due 09/17/2027 ~ | 10 | 10 |
| 4.366% due 09/25/2042 •  | 108 | 106 |
| 4.393% due 09/01/2035 •  | 59 | 58 |
| 4.400% due 11/01/2032 •  | 6 | 6 |
| 4.500% due 11/01/2026 •  | 24 | 24 |
| 4.509% due 03/25/2034 ~ | 12 | 12 |
| 4.589% due 05/25/2035 •  | 2 | 2 |
| 4.616% due 12/25/2023 •  | 11 | 11 |
| 4.633% due 12/01/2030 •  | 1 | 1 |
| 4.689% due 01/25/2034 ~ | 7 | 7 |
| 4.717% due 05/01/2035 •  | 30 | 30 |
| 4.721% due 09/01/2035 •  | 49 | 51 |
| 4.739% due 05/18/2032 •  | 15 | 15 |
| 4.739% due 05/25/2042 ~ | 12 | 12 |
| 4.766% due 08/01/2026 | 402 | 403 |
| 4.789% due 06/25/2029 - 12/25/2033 •  | 20 | 20 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.789% due 10/18/2030 - 06/25/2032 ~ | 19 | 19 |
| 4.829% due 05/25/2036 •  | 5 | 4 |
| 4.839% due 10/25/2030 •  | 14 | 14 |
| 4.839% due 11/18/2030 ~ | 8 | 8 |
| 4.845% due 09/01/2037 •  | 147 | 147 |
| 4.847% due 12/25/2042 ~ | 68 | 65 |
| 4.889% due 08/25/2031 - 01/25/2033 •  | 23 | 22 |
| 4.939% due 12/25/2030 •  | 12 | 12 |
| 4.965% due 05/01/2034 •  | 49 | 49 |
| 5.039% due 09/25/2023 - 11/25/2031 •  | 18 | 18 |
| 5.072% due 03/01/2035 •  | 23 | 23 |
| 5.089% due 04/25/2032 ~ | 15 | 15 |
| 5.389% due 12/25/2023 ~ | 13 | 13 |
| 5.389% due 04/25/2032 •  | 9 | 9 |
| 5.539% due 04/25/2023 - 10/25/2023 •  | 2 | 2 |
| 5.589% due 01/25/2024 •  | 4 | 4 |
| 6.000% due 02/25/2044 - 08/25/2044 | 19 | 19 |
| 6.177% due 09/01/2024 •  | 54 | 54 |
| 6.250% due 05/25/2042 | 15 | 15 |
| 6.500% due 11/25/2023 - 01/25/2044 | 200 | 206 |
| 7.000% due 02/25/2023 - 02/25/2044 | 18 | 19 |
| 7.500% due 05/25/2042 | 16 | 17 |
| 8.000% due 11/25/2023 - 10/01/2026 | 4 | 4 |
| **Freddie Mac**  |  |  |
| 1.802% due 03/01/2035 •  | 9 | 9 |
| 1.955% due 12/01/2036 •  | 18 | 18 |
| 2.000% due 12/01/2034 •  | 97 | 95 |
| 2.008% due 02/01/2037 •  | 2 | 2 |
| 2.105% due 01/01/2037 •  | 2 | 2 |
| 2.119% due 01/01/2030 •  | 15 | 15 |
| 2.322% due 03/01/2036 •  | 63 | 64 |
| 2.370% due 02/01/2036 •  | 5 | 5 |
| 2.460% due 02/01/2035 •  | 34 | 33 |
| 2.490% due 12/01/2032 •  | 3 | 3 |
| 2.509% due 01/01/2035 •  | 2 | 2 |
| 2.511% due 04/01/2036 •  | 92 | 91 |
| 2.530% due 03/01/2036 •  | 114 | 112 |
| 2.580% due 04/01/2034 •  | 40 | 39 |
| 2.583% due 03/01/2032 •  | 21 | 21 |
| 2.597% due 03/01/2036 •  | 2 | 2 |
| 2.655% due 09/01/2037 •  | 203 | 201 |
| 2.889% due 02/25/2045 •  | 110 | 110 |
| 2.928% due 04/01/2034 •  | 1 | 1 |
| 2.962% due 03/01/2035 •  | 19 | 19 |
| 3.000% due 02/01/2048 | 2574 | 2295 |
| 3.009% due 01/01/2034 •  | 68 | 66 |
| 3.039% due 12/01/2035 •  | 8 | 8 |
| 3.096% due 04/01/2032 •  | 51 | 50 |
| 3.248% due 10/25/2044 •  | 260 | 259 |
| 3.250% due 04/01/2032 •  | 7 | 7 |
| 3.284% due 01/01/2036 •  | 8 | 8 |
| 3.340% due 05/01/2035 •  | 61 | 60 |
| 3.448% due 07/25/2044 •  | 1213 | 1215 |
| 3.491% due 07/01/2035 •  | 1 | 1 |
| 3.581% due 09/01/2034 •  | 7 | 6 |
| 3.591% due 09/01/2030 •  | 41 | 40 |
| 3.627% due 07/01/2033 •  | 1 | 1 |
| 3.729% due 08/01/2035 •  | 3 | 3 |
| 3.730% due 07/01/2035 •  | 8 | 8 |
| 3.847% due 01/01/2036 •  | 2 | 2 |
| 3.851% due 06/01/2035 •  | 4 | 4 |
| 3.915% due 08/01/2035 •  | 86 | 85 |
| 3.934% due 04/01/2030 •  | 24 | 24 |
| 3.975% due 08/01/2033 •  | 3 | 3 |
| 3.981% due 08/01/2035 •  | 24 | 24 |
| 4.021% due 09/01/2035 •  | 3 | 3 |
| 4.051% due 12/01/2034 •  | 2 | 2 |
| 4.090% due 09/01/2035 •  | 1 | 1 |
| 4.125% due 11/01/2029 •  | 10 | 10 |
| 4.129% due 01/01/2030 •  | 55 | 53 |
| 4.152% due 10/01/2027 •  | 3 | 3 |
| 4.165% due 11/01/2034 •  | 121 | 119 |
| 4.182% due 07/01/2037 •  | 72 | 71 |
| 4.200% due 07/01/2033 •  | 5 | 5 |
| 4.230% due 11/01/2036 •  | 233 | 226 |
| 4.235% due 02/01/2036 •  | 5 | 5 |
| 4.250% due 09/01/2035 •  | 12 | 12 |
| 4.290% due 07/01/2036 •  | 68 | 66 |
| 4.303% due 11/01/2036 •  | 1 | 1 |
| 4.335% due 08/01/2037 •  | 68 | 67 |
| 4.350% due 11/01/2033 •  | 13 | 13 |
| 4.353% due 09/01/2034 •  | 105 | 103 |
| 4.375% due 11/01/2033 - 10/01/2034 •  | 49 | 48 |
| 4.379% due 08/01/2023 •  | 1 | 1 |
| 4.405% due 11/01/2036 •  | 2 | 2 |
| 4.493% due 09/01/2035 •  | 39 | 38 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 4.500% due 04/15/2032 | 129 | 127 |
| 4.618% due 03/15/2036 •  | 1 | 1 |
| 4.649% due 08/25/2031 ~ | 202 | 200 |
| 4.668% due 02/15/2029 •  | 3 | 3 |
| 4.668% due 03/15/2029 ~ | 15 | 15 |
| 4.669% due 09/25/2031 •  | 105 | 104 |
| 4.718% due 07/15/2026 - 11/15/2032 •  | 18 | 17 |
| 4.718% due 01/15/2033 ~ | 27 | 27 |
| 4.739% due 06/25/2029 ~ | 47 | 46 |
| 4.768% due 03/15/2024 - 09/15/2026 •  | 9 | 9 |
| 4.768% due 08/15/2029 ~ | 11 | 11 |
| 4.789% due 05/25/2043 ~ | 706 | 682 |
| 4.818% due 05/15/2023 - 10/15/2026 ~ | 16 | 15 |
| 4.818% due 01/15/2032 •  | 2 | 2 |
| 4.868% due 08/15/2029 - 02/15/2032 ~ | 35 | 35 |
| 4.868% due 03/15/2032 •  | 5 | 5 |
| 4.918% due 06/15/2029 - 12/15/2031 ~ | 28 | 29 |
| 5.500% due 10/15/2032 | 4 | 4 |
| 6.000% due 01/15/2029 - 05/01/2035 | 14 | 14 |
| 7.000% due 07/15/2027 | 7 | 8 |
| **Ginnie Mae**  |  |  |
| 1.625% due 12/20/2045 •  | 92 | 89 |
| 1.750% due 10/20/2029 •  | 169 | 163 |
| 2.625% (H15T1Y + 1.500%) due 02/20/2025 - 07/20/2026 ~ | 4 | 3 |
| 2.625% due 01/20/2027 - 09/20/2045 •  | 413 | 404 |
| 2.875% due 04/20/2033 •  | 21 | 21 |
| 4.508% due 09/20/2067 •  | 6103 | 6076 |
| **Ginnie Mae, TBA**  |  |  |
| 2.500% due 02/01/2053 | 900 | 781 |
| 3.500% due 02/01/2053 (f) | 5200 | 4782 |
| 4.000% due 01/01/2053 | 200 | 189 |
| 4.500% due 01/01/2053 | 13400 | 13001 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 3.000% due 08/01/2028 - 04/01/2030 | 119 | 114 |
| 3.500% due 11/01/2044 - 02/01/2050 | 2615 | 2425 |
| **Uniform Mortgage-Backed Security, TBA**  |  |  |
| 2.500% due 01/01/2037 - 12/01/2051 | 4200 | 3565 |
| 3.000% due 01/01/2038 | 13100 | 12271 |
| 3.000% due 02/01/2053 (f) | 19800 | 17397 |
| 3.500% due 02/01/2049 (f) | 100 | 91 |
| 3.500% due 02/01/2053 | 40850 | 37141 |
| 4.000% due 01/01/2053 (f) | 36200 | 33955 |
| 4.000% due 03/01/2053 | 35500 | 33315 |
| 4.500% due 02/01/2053 | 9500 | 9145 |
| 6.000% due 01/01/2053 - 02/01/2053 | 21300 | 21603 |
| Total U.S. Government Agencies (Cost $212,743) |  | 209713 |
| **U.S. TREASURY OBLIGATIONS 2.9%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 3.125% due 02/15/2043 (g)(i) | 4730 | 4040 |
| 4.000% due 11/15/2042 (a) | 1800 | 1763 |
| 4.000% due 11/15/2052 | 1300 | 1302 |
| Total U.S. Treasury Obligations (Cost $8,724) |  | 7105 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 41.1%**  |  |  |
| **Adjustable Rate Mortgage Trust**  |  |  |
| 3.611% due 11/25/2035 ^~  | 86 | 66 |
| 3.711% due 03/25/2035 ~  | 15 | 15 |
| **Arbor Multifamily Mortgage Securities Trust** <br>2.756% due 05/15/2053 | 1200 | 1024 |
| **Ashford Hospitality Trust**  |  |  |
| 5.768% due 06/15/2035 •  | 400 | 385 |
| 6.168% due 06/15/2035 •  | 300 | 286 |
| 7.068% due 06/15/2035 •  | 400 | 378 |
| **BAMLL Commercial Mortgage Securities Trust**  |  |  |
| 5.518% due 03/15/2034 •  | 100 | 97 |
| 5.918% due 03/15/2034 •  | 3170 | 3074 |
| **Banc of America Funding Trust**  |  |  |
| 3.418% due 05/25/2035 ~  | 5230 | 4929 |
| 4.245% due 11/20/2035 ^~  | 129 | 114 |
| **Banc of America Mortgage Trust**  |  |  |
| 3.307% due 06/25/2034 ~  | 17 | 16 |
| 3.507% due 02/25/2034 ~  | 86 | 84 |
| 3.798% due 11/25/2033 ~  | 21 | 19 |
| 4.014% due 05/25/2033 ~  | 31 | 29 |
| 4.071% due 01/25/2034 ~  | 15 | 15 |
| 4.144% due 09/25/2033 ~  | 55 | 49 |
| 4.204% due 10/25/2035 ^~  | 11 | 10 |
| **Barclays Commercial Mortgage Securities Trust** <br>4.314% due 12/15/2051 | 800 | 763 |
| **BCAP LLC Trust** <br>6.500% due 02/26/2036 ~ | 432 | 417 |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 3.149% due 02/25/2034 ~  | 202 | 191 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 3.169% due 07/25/2034 ~  | 13 | 12 |
| 3.239% due 04/25/2033 ~  | 16 | 15 |
| 3.250% due 02/25/2033 ~  | 1 | 1 |
| 3.373% due 02/25/2034 ~  | 31 | 29 |
| 3.589% due 10/25/2033 ~  | 4 | 3 |
| 3.830% due 01/25/2034 ~  | 46 | 43 |
| 3.874% due 01/25/2035 ~  | 20 | 19 |
| 4.010% due 01/25/2034 ~  | 143 | 138 |
| 4.340% due 02/25/2033 ~  | 1 | 1 |
| 4.960% due 01/25/2035 ~  | 17 | 15 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.586% due 11/25/2036 ^~  | 250 | 134 |
| 4.709% due 02/25/2034 •  | 195 | 173 |
| 4.729% due 08/25/2036 ^~  | 4 | 3 |
| **CD Mortgage Trust** <br>3.431% due 08/15/2050 | 400 | 368 |
| **Chase Mortgage Finance Trust**  |  |  |
| 3.492% due 02/25/2037 ~  | 209 | 199 |
| 3.941% due 12/25/2035 ^~  | 30 | 26 |
| 3.946% due 12/25/2035 ^~  | 22 | 20 |
| **Citigroup Commercial Mortgage Trust** <br>3.778% due 09/10/2058 | 900 | 857 |
| **Citigroup Mortgage Loan Trust**  |  |  |
| 3.325% due 03/25/2034 ~  | 28 | 26 |
| 3.950% due 05/25/2035 •  | 16 | 15 |
| 4.168% due 08/25/2034 ~  | 1 | 1 |
| 5.189% due 08/25/2035 ^•  | 90 | 86 |
| 6.080% due 09/25/2035 •  | 41 | 40 |
| 6.470% due 11/25/2035 ~  | 25 | 24 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 2.690% due 08/25/2035 ~  | 1045 | 952 |
| 3.377% due 10/25/2035 ^~  | 8 | 7 |
| 4.789% due 06/25/2037 •  | 779 | 682 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 3.127% due 06/20/2035 ~  | 43 | 40 |
| 3.647% due 12/25/2033 ~  | 31 | 29 |
| 3.792% due 11/25/2034 ~  | 822 | 743 |
| 3.872% due 08/25/2034 ^~  | 120 | 103 |
| 4.739% due 08/25/2035 ^•  | 62 | 14 |
| 5.500% due 11/25/2035 ^  | 68 | 36 |
| 6.537% due 02/20/2036 ^•  | 20 | 18 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>3.440% due 11/25/2032 ~ | 5 | 5 |
| **Credit Suisse First Boston Mortgage-Backed Pass-Through Certificates**  |  |  |
| 3.139% due 07/25/2033 ~  | 47 | 45 |
| 3.522% due 07/25/2033 ~  | 240 | 224 |
| 3.706% due 01/25/2034 ~  | 111 | 104 |
| 3.984% due 10/25/2033 ~  | 21 | 20 |
| **Credit Suisse Mortgage Capital Trust**  |  |  |
| 2.691% due 03/25/2060 ~  | 788 | 755 |
| 3.023% due 08/25/2060 ~  | 648 | 622 |
| **CSAIL Commercial Mortgage Trust** <br>3.329% due 06/15/2052 | 200 | 177 |
| **Ellington Financial Mortgage Trust** <br>2.006% due 05/25/2065 ~ | 53 | 52 |
| **Extended Stay America Trust** <br>5.398% due 07/15/2038 ~ | 3807 | 3703 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 3.662% due 08/25/2034 ~  | 43 | 44 |
| 4.759% due 07/25/2035 ~  | 88 | 60 |
| **First Horizon Mortgage Pass-Through Trust**  |  |  |
| 4.659% due 02/25/2035 ~  | 25 | 22 |
| 5.449% due 02/25/2035 ~  | 208 | 195 |
| **FWD Securitization Trust** <br>2.240% due 01/25/2050 ~ | 186 | 166 |
| **GCAT Trust**  |  |  |
| 1.091% due 05/25/2066 ~  | 5703 | 4563 |
| 1.348% due 05/25/2066 ~  | 588 | 473 |
| 1.503% due 05/25/2066 ~  | 588 | 464 |
| **GMAC Mortgage Corp. Loan Trust** <br>3.600% due 11/19/2035 ~ | 37 | 31 |
| **GS Mortgage Securities Corp. Trust**  |  |  |
| 3.104% due 05/10/2034  | 2100 | 1900 |
| 3.924% due 10/10/2032  | 1700 | 1635 |
| **GS Mortgage-Backed Securities Corp. Trust** <br>1.750% due 12/25/2060 ~ | 3160 | 2872 |
| **GSR Mortgage Loan Trust**  |  |  |
| 2.880% due 03/25/2033 •  | 2 | 2 |
| 3.028% due 06/25/2034 ~  | 6 | 5 |
| 3.154% due 06/25/2034 ~  | 13 | 12 |
| 3.171% due 05/25/2035 ~  | 42 | 35 |
| 3.487% due 08/25/2034 ~  | 24 | 22 |
| 3.767% due 09/25/2035 ~  | 2073 | 1946 |
| 4.250% due 09/25/2034 ~  | 1179 | 1114 |
| 4.739% due 01/25/2034 ~  | 61 | 61 |
| 6.000% due 03/25/2032  | 2 | 2 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **HarborView** **Mortgage Loan Trust**  |  |  |
| 4.719% due 02/19/2046 •  | 422 | 341 |
| 4.779% due 05/19/2035 ~  | 20 | 18 |
| **Impac CMB Trust** <br>5.029% due 08/25/2035 •  | 532 | 484 |
| **IndyMac Adjustable Rate Mortgage Trust** <br>3.544% due 01/25/2032 ~ | 10 | 9 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 4.769% due 09/25/2046 •  | 243 | 211 |
| 5.169% due 05/25/2034 •  | 19 | 17 |
| **JP Morgan Alternative Loan Trust** <br>5.500% due 11/25/2036 ^~ | 19 | 8 |
| **JP Morgan Chase Commercial Mortgage Securities Trust** <br>5.418% due 12/15/2036 •  | 500 | 464 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.062% due 11/25/2033 ~  | 6 | 6 |
| 3.346% due 07/25/2035 ~  | 126 | 117 |
| 3.416% due 04/25/2035 ~  | 9 | 9 |
| 3.453% due 07/25/2035 ~  | 98 | 92 |
| 3.708% due 07/25/2035 ~  | 3 | 3 |
| 3.879% due 11/25/2035 ^~  | 73 | 64 |
| 4.059% due 09/25/2034 ~  | 1 | 1 |
| 4.191% due 11/25/2033 ~  | 5 | 5 |
| 4.233% due 10/25/2035 ~  | 121 | 105 |
| **Legacy Mortgage Asset Trust**  |  |  |
| 1.750% due 07/25/2061 þ  | 3044 | 2767 |
| 2.734% due 01/25/2060 þ  | 365 | 357 |
| **MASTR Adjustable Rate Mortgages Trust**  |  |  |
| 2.478% due 02/25/2034 ~  | 153 | 127 |
| 2.925% due 12/25/2033 ~  | 16 | 14 |
| 3.565% due 01/25/2036 ~  | 27 | 25 |
| 3.817% due 01/25/2034 ~  | 4 | 3 |
| 3.855% due 08/25/2034 ~  | 201 | 195 |
| 3.874% due 11/21/2034 ~  | 27 | 25 |
| 4.062% due 08/25/2034 ~  | 247 | 234 |
| 4.243% due 07/25/2034 ~  | 189 | 182 |
| 4.500% due 09/25/2033 ~  | 97 | 87 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 2.848% due 04/25/2035 ~  | 159 | 141 |
| 3.046% due 02/25/2035 ~  | 45 | 42 |
| 3.189% due 02/25/2034 ~  | 19 | 15 |
| 4.038% due 09/25/2033 ~  | 5 | 4 |
| 4.386% due 03/25/2028 •  | 49 | 46 |
| 5.009% due 08/25/2028 ~  | 323 | 308 |
| 5.049% due 06/25/2028 •  | 56 | 51 |
| **MFA Trust**  |  |  |
| 1.014% due 01/26/2065 ~  | 723 | 663 |
| 1.324% due 01/26/2065 ~  | 258 | 237 |
| 1.479% due 03/25/2065 ~  | 253 | 234 |
| 1.632% due 01/26/2065 ~  | 258 | 237 |
| **Mill City Mortgage Loan Trust** <br>2.750% due 08/25/2059 ~ | 696 | 654 |
| **Morgan Stanley Bank of America Merrill Lynch Trust** <br>3.732% due 05/15/2048 | 700 | 666 |
| **Morgan Stanley Capital Trust** <br>2.428% due 04/05/2042 ~ | 1800 | 1376 |
| **Morgan Stanley Mortgage Loan Trust** <br>4.709% due 01/25/2035 •  | 652 | 578 |
| **New Residential Mortgage Loan Trust**  |  |  |
| 2.750% due 07/25/2059 ~  | 2840 | 2652 |
| 2.750% due 11/25/2059 ~  | 3528 | 3232 |
| 3.500% due 10/25/2059 ~  | 94 | 87 |
| **New York Mortgage Trust** <br>1.670% due 08/25/2061 þ | 3138 | 2828 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>3.189% due 10/25/2035 ~ | 19 | 12 |
| **Pepper Residential Securities Trust**  |  |  |
| 5.239% due 11/18/2060 •  | 109 | 109 |
| 5.353% due 06/20/2060 •  | 184 | 183 |
| **Prime Mortgage Trust**  |  |  |
| 4.789% due 02/25/2034 •  | 12 | 12 |
| 6.000% due 02/25/2034  | 5 | 5 |
| **Residential Asset Mortgage Products Trust** <br>8.500% due 12/25/2031 | 530 | 264 |
| **Residential Funding Mortgage Securities, Inc. Trust**  |  |  |
| 5.289% due 02/25/2036 ^~  | 61 | 51 |
| 6.500% due 03/25/2032  | 7 | 6 |
| **RESIMAC Bastille Trust** <br>5.102% due 09/05/2057 •  | 70 | 70 |
| **RESIMAC Premier** <br>5.267% due 02/07/2052 •  | 364 | 363 |
| **Sequoia Mortgage Trust**  |  |  |
| 3.932% due 07/20/2034 ~  | 13 | 12 |
| 4.008% due 03/20/2035 ~  | 114 | 103 |
| 5.113% due 04/20/2033 •  | 12 | 11 |
| 5.153% due 10/20/2027 •  | 32 | 31 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| 5.215% due 05/20/2034 ~  | 126 | 125 |
| **Starwood Mortgage Residential Trust**  |  |  |
| 1.027% due 11/25/2055 ~  | 286 | 265 |
| 1.439% due 11/25/2055 ~  | 143 | 133 |
| 1.486% due 04/25/2065 ~  | 215 | 198 |
| 1.593% due 11/25/2055 ~  | 143 | 132 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 3.980% due 09/25/2034 ~  | 40 | 38 |
| 4.629% due 03/25/2035 •  | 72 | 53 |
| 4.689% due 09/25/2034 •  | 82 | 71 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 5.019% due 11/19/2033 •  | 15 | 14 |
| 5.019% due 05/19/2035 •  | 95 | 84 |
| 5.039% due 02/19/2035 ~  | 1329 | 1198 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates**  |  |  |
| 3.127% due 09/25/2033 ~  | 14 | 13 |
| 3.988% due 11/25/2033 ~  | 10 | 10 |
| 4.616% due 03/25/2033 ~  | 84 | 82 |
| 5.041% due 06/25/2033 ~  | 270 | 261 |
| **Towd Point Mortgage Trust**  |  |  |
| 1.636% due 04/25/2060 ~  | 4697 | 4136 |
| 2.710% due 01/25/2060 ~  | 4402 | 4055 |
| 2.750% due 06/25/2057 ~  | 433 | 413 |
| 2.900% due 10/25/2059 ~  | 5547 | 5177 |
| 3.722% due 03/25/2058 ~  | 1322 | 1249 |
| 5.389% due 05/25/2058 ~  | 5884 | 5834 |
| 5.389% due 10/25/2059 ~  | 204 | 202 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.048% due 08/25/2046 ~  | 25 | 22 |
| 3.096% due 08/25/2046 •  | 1171 | 894 |
| 3.248% due 11/25/2042 ~  | 62 | 56 |
| 3.448% due 08/25/2042 •  | 5 | 5 |
| 3.548% due 09/25/2046 •  | 2859 | 2619 |
| 3.813% due 10/25/2035 ^~  | 356 | 324 |
| 3.833% due 09/25/2035 ~  | 165 | 146 |
| 4.159% due 08/25/2033 ~  | 232 | 214 |
| 4.237% due 10/25/2033 ~  | 81 | 76 |
| 4.929% due 12/25/2045 •  | 1299 | 1137 |
| 4.969% due 07/25/2045 ~  | 3544 | 3243 |
| 4.969% due 10/25/2045 ~  | 1103 | 1020 |
| 4.969% due 12/25/2045 •  | 988 | 893 |
| 5.189% due 01/25/2045 •  | 509 | 469 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.975% due 02/25/2033 ~  | 1 | 1 |
| 3.912% due 11/25/2030 ~  | 35 | 34 |
| 3.984% due 06/25/2033 ~  | 7 | 7 |
| 7.000% due 03/25/2034  | 15 | 14 |
| **Wells Fargo Commercial Mortgage Trust**  |  |  |
| 2.725% due 02/15/2053  | 600 | 510 |
| 3.809% due 12/15/2048  | 300 | 285 |
| 4.023% due 03/15/2052  | 300 | 280 |
| 5.370% due 12/13/2031 •  | 2815 | 2778 |
| 5.620% due 12/13/2031 ~  | 2335 | 2297 |
| 6.365% due 12/13/2031 ~  | 160 | 155 |
| **Wells Fargo Mortgage-Backed Securities Trust** <br>4.076% due 08/25/2035 ~ | 4 | 4 |
| **Worldwide Plaza Trust** <br>3.526% due 11/10/2036 | 1000 | 860 |
| Total Non-Agency Mortgage-Backed Securities (Cost $110,286) |  | 101503 |
| **ASSET-BACKED SECURITIES 38.8%**  |  |  |
| **AccessLex Institute** <br>5.057% due 05/25/2036 •  | 549 | 532 |
| **Accredited Mortgage Loan Trust** <br>4.655% due 01/25/2035 ~ | 445 | 408 |
| **Apex Credit CLO Ltd.** <br>5.736% due 09/20/2029 ~ | 3209 | 3157 |
| **Apidos CLO** <br>5.253% due 04/20/2031 •  | 1500 | 1479 |
| **Apres Static CLO Ltd.** <br>5.149% due 10/15/2028 ~ | 553 | 546 |
| **Ares CLO Ltd.** <br>4.949% due 01/15/2029 ~ | 1050 | 1037 |
| **Arivo Acceptance Auto Loan Receivables Trust** <br>1.190% due 01/15/2027 | 344 | 333 |
| **Barings CLO Ltd.** <br>5.043% due 01/20/2028 •  | 1909 | 1901 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 3.235% due 10/25/2036 ~  | 674 | 520 |
| 5.389% due 11/25/2042 •  | 121 | 118 |
| **Benefit Street Partners CLO Ltd.** <br>5.109% due 01/17/2032 ~ | 3000 | 2938 |
| **BXMT Ltd.** <br>5.322% due 11/15/2037 ~ | 1000 | 985 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Carrington** **Mortgage Loan Trust**  |  |  |
| 5.099% due 04/17/2031 ~  | 6200 | 6090 |
| 5.363% due 10/20/2029 •  | 1254 | 1239 |
| **CIT Mortgage Loan Trust** <br>5.739% due 10/25/2037 •  | 1327 | 1321 |
| **College Avenue Student Loans LLC**  |  |  |
| 1.600% due 07/25/2051  | 837 | 719 |
| 3.280% due 12/28/2048  | 1370 | 1230 |
| 4.130% due 12/26/2047  | 731 | 681 |
| 5.489% due 07/25/2051 •  | 478 | 462 |
| 5.589% due 12/26/2047 ~  | 532 | 522 |
| **Commonbond Student Loan Trust** <br>1.980% due 08/25/2050 | 604 | 515 |
| **Countrywide Asset-Backed Certificates** <br>4.809% due 08/25/2034 •  | 1396 | 1307 |
| **Countrywide Asset-Backed Certificates Trust** <br>4.929% due 12/25/2034 •  | 1472 | 1387 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>6.039% due 05/25/2043 •  | 128 | 128 |
| **Credit-Based Asset Servicing & Securitization LLC** <br>6.780% due 05/25/2035 þ | 368 | 325 |
| **Dryden CLO Ltd.** <br>5.114% due 01/17/2033 •  | 1900 | 1863 |
| **ECMC Group Student Loan Trust** <br>5.389% due 07/25/2069 •  | 671 | 656 |
| **EFS Volunteer LLC** <br>5.208% due 10/25/2035 •  | 178 | 177 |
| **EquiFirst Mortgage Loan Trust** <br>5.451% due 09/25/2033 •  | 55 | 53 |
| **Galaxy CLO Ltd.** <br>5.049% due 10/15/2030 •  | 2000 | 1956 |
| **HERA Commercial Mortgage Ltd.** <br>5.389% due 02/18/2038 ~ | 500 | 484 |
| **Home Equity Asset Trust** <br>4.989% due 11/25/2032 ~ | 8 | 7 |
| **Home Equity Mortgage Loan Asset-Backed Trust** <br>5.169% due 10/25/2035 ~ | 1600 | 1438 |
| **HSI Asset Securitization Corp. Trust** <br>4.489% due 10/25/2036 •  | 5 | 2 |
| **IndyMac Home Equity Mortgage Loan Asset-Backed Trust** <br>6.372% due 05/25/2033 ~ | 406 | 385 |
| **KKR CLO Ltd.** <br>5.134% due 07/18/2030 ~ | 943 | 934 |
| **LCCM Trust** <br>5.768% due 11/15/2038 ~ | 3800 | 3651 |
| **LCM LP** <br>5.283% due 10/20/2027 •  | 284 | 283 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.949% due 10/25/2034 •  | 736 | 674 |
| 5.089% due 03/25/2032 ~  | 16 | 15 |
| 5.244% due 07/25/2034 ~  | 212 | 201 |
| **Madison Park Funding Ltd.** <br>5.233% due 04/20/2032 ~ | 1500 | 1474 |
| **Merrill Lynch Mortgage Investors Trust** <br>5.409% due 07/25/2035 ~ | 90 | 90 |
| **Morgan Stanley ABS Capital, Inc. Trust** <br>5.034% due 09/25/2035 ~ | 851 | 847 |
| **Morgan Stanley Dean Witter Capital, Inc. Trust** <br>5.739% due 02/25/2033 •  | 64 | 63 |
| **Mountain View CLO LLC** <br>5.169% due 10/16/2029 •  | 1308 | 1294 |
| **Nassau Ltd.** <br>5.229% due 10/15/2029 •  | 1549 | 1529 |
| **Nationstar NIM Ltd.** <br>8.000% due 06/25/2037 | 24 | 0 |
| **Navient Private Education Loan Trust** <br>5.218% due 11/15/2068 •  | 153 | 150 |
| **Navient Private Education Refi Loan Trust**  |  |  |
| 1.170% due 09/16/2069  | 818 | 726 |
| 3.010% due 12/15/2059  | 1320 | 1203 |
| 3.130% due 02/15/2068  | 360 | 340 |
| 3.190% due 02/18/2042  | 32 | 32 |
| 3.520% due 06/16/2042  | 29 | 28 |
| **Navient Student Loan Trust** <br>4.000% due 12/15/2059 | 1723 | 1669 |
| **Nelnet Student Loan Trust** <br>1.420% due 04/20/2062 | 2344 | 2084 |
| **Neuberger Berman CLO Ltd.** <br>5.283% due 04/20/2031 ~ | 1500 | 1475 |
| **NovaStar Mortgage Funding Trust** <br>5.129% due 02/25/2034 ~ | 1674 | 1631 |
| **OZLM Ltd.** <br>5.393% due 01/20/2031 ~ | 2400 | 2361 |
| **Pagaya AI Debt Selection Trust** <br>1.530% due 08/15/2029 | 1151 | 1110 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **Palmer** **Square Loan Funding Ltd.** <br>5.475% due 02/20/2028 •  | 219 | 218 |
| **PRET LLC**  |  |  |
| 1.843% due 09/25/2051 þ  | 3088 | 2767 |
| 1.992% due 02/25/2061 þ  | 3856 | 3495 |
| 2.487% due 10/25/2051 þ  | 3245 | 2946 |
| **Ready Capital Mortgage Financing LLC** <br>6.539% due 02/25/2035 •  | 413 | 403 |
| **Renaissance Home Equity Loan Trust**  |  |  |
| 5.089% due 08/25/2032 ~  | 10 | 9 |
| 5.489% due 09/25/2037 •  | 3298 | 1567 |
| **Residential Asset Securities Corp. Trust** <br>4.649% due 07/25/2036 •  | 1857 | 1846 |
| **SLM Private Credit Student Loan Trust**  |  |  |
| 5.039% due 12/15/2039 ~  | 222 | 210 |
| 5.059% due 06/15/2039 •  | 3072 | 2895 |
| 5.099% due 06/15/2039 ~  | 1384 | 1314 |
| **SMB Private Education Loan Trust**  |  |  |
| 1.290% due 07/15/2053  | 1373 | 1212 |
| 1.600% due 09/15/2054  | 975 | 867 |
| 2.230% due 09/15/2037  | 415 | 379 |
| 2.840% due 06/15/2037  | 411 | 384 |
| 2.880% due 09/15/2034  | 122 | 117 |
| 3.940% due 02/16/2055  | 1270 | 1175 |
| 4.668% due 02/16/2055 •  | 1451 | 1408 |
| **SoFi Professional Loan Program LLC**  |  |  |
| 2.340% due 04/25/2033  | 336 | 329 |
| 2.630% due 07/25/2040  | 473 | 464 |
| 2.650% due 09/25/2040  | 676 | 647 |
| 2.740% due 05/25/2040  | 270 | 266 |
| **Sound Point CLO Ltd.**  |  |  |
| 5.223% due 10/20/2030 •  | 2000 | 1973 |
| 5.225% due 01/23/2029 ~  | 747 | 737 |
| 5.338% due 07/25/2030 •  | 1600 | 1576 |
| **Soundview Home Loan Trust** <br>5.689% due 11/25/2033 •  | 21 | 21 |
| **Starwood Commercial Mortgage Trust** <br>5.520% due 07/15/2038 •  | 1844 | 1807 |
| **Terwin Mortgage Trust** <br>5.514% due 04/25/2036 ~ | 1410 | 1390 |
| **TruPS Financials Note Securitization Ltd.** <br>6.316% due 09/20/2039 •  | 2048 | 1946 |
| **Upstart Securitization Trust** <br>1.310% due 11/20/2031 | 865 | 828 |
| Total Asset-Backed Securities (Cost $101,621) |  | 95961 |
| **SHORT-TERM INSTRUMENTS 0.7%**  |  |  |
| **REPURCHASE AGREEMENTS (e) 0.6%** |  | 1458 |
| **U.S. TREASURY BILLS 0.1%**  |  |  |
| 3.323% due 01/10/2023 (c)(d)(i) | 306 | 306 |
| Total Short-Term Instruments (Cost $1,764) |  | 1764 |
| Total Investments in Securities (Cost $436,174) |  | 416054 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 6.3%**  |  |  |
| **SHORT-TERM INSTRUMENTS 6.3%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 6.3%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 1594700 | 15494 |
| Total Short-Term Instruments (Cost $15,491) |  | 15494 |
| Total Investments in Affiliates (Cost $15,491) |  | 15494 |
| Total Investments 174.6% (Cost $451,665) |  | $431548 |
| **Financial Derivative Instruments (f)(h) (0.0)**%(Cost or Premiums, net $2,474) |  | (115) |
| Other Assets and Liabilities, net (74.6)% |  | (184291) |
| Net Assets 100.0% |  | $247142 |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(b)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(c)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(d)** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** | **Coupon represents a yield to maturity.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(e)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | Principal<br>Amount | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 01/03/2023 | 1458 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | &nbsp;&nbsp; U.S. Treasury Bills 0.000% due 06/29/2023 | (1487) | (1487) | 1458 | $1458 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  |  | **(1487)** | **(1487)** | **1458** | $**1458** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Description | Coupon | Maturity<br>Date | Maturity<br>Date | Principal<br>Amount | Proceeds | Proceeds | Payable for<br>Short Sales |
| U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% | U.S. Government Agencies (17.0)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 2.000% | 01/01/2053 | 01/01/2053 | 6700 | $ | (5421) | $(5453) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 3.500 | 01/01/2053 | 01/01/2053 | 1200 |  | (1103) | (1091) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.000 | 01/01/2053 | 01/01/2053 | 37900 |  | (36245) | (35549) |
| **Total Short Sales (17.0)%** | **Total Short Sales (17.0)%** | **Total Short Sales (17.0)%** | **Total Short Sales (17.0)%** | **Total Short Sales (17.0)%** |  |  |  |  | **$** | **(42769)** | $**(42093)** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| **(f)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** | **OPTIONS ON EXCHANGE-TRADED FUTURES CONTRACTS** |
| Description | Description | Description | Strike<br>Price | Expiration<br>Date | Expiration<br>Date | Expiration<br>Date | # of<br>Contracts | Premiums<br>(Received) | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value |
| Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | Put - CME 3-Month SOFR Active Contract December 2023 Futures  | 96.500 | 12/15/2023 | 12/15/2023 | 12/15/2023 | 5 | (5) | (5) | (5) | (15) |
| Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | Call - CME 3-Month SOFR Active Contract December 2023 Futures  | 98.000 | 12/15/2023 | 12/15/2023 | 12/15/2023 | 5 | (4) | (4) | (4) | (1) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | $**(9)** | **(9)** | **(9)** | **(16)** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset | Asset | Liability |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 16 | $2149 | 2149 | 2149 | 2149 | $(23) | $ | 0 | 0 | (8) |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** | **SHORT** **FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Liability |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2024 | 10 | (2387) | $46 | 46 | 1 | 1 | 1 | 0 |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2025 | 6 | (1450) | 16 | 16 | 0 | 0 | 0 | (1) |
| 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 3-Month SOFR Active Contract December Futures  | 03/2026 | 6 | (1452) | 15 | 15 | 0 | 0 | 0 | (1) |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2024 | 7 | (1684) | 24 | 24 | 0 | 0 | 0 | 0 |
| 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 3-Month SOFR Active Contract June Futures  | 09/2025 | 6 | (1452) | 16 | 16 | 0 | 0 | 0 | (1) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2024 | 9 | (2157) | 36 | 36 | 1 | 1 | 1 | 0 |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2025 | 6 | (1451) | 16 | 16 | 0 | 0 | 0 | (1) |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2026 | 6 | (1452) | 15 | 15 | 0 | 0 | 0 | (1) |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2024 | 6 | (1448) | 18 | 18 | 0 | 0 | 0 | 1 |
| 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 3-Month SOFR Active Contract September Futures  | 12/2025 | 4 | (968) | 10 | 10 | 0 | 0 | 0 | 1 |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 357 | (40090) | 109 | 109 | 50 | 50 | 50 | 0 |
| U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | 03/2023 | 32 | (4011) | (2) | (2) | 5 | 5 | 5 | 0 |
|  |  |  |  |  |  |  |  | 319 | $ | 57 | 57 | $ | (3) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **296** | **$** | **57** | **57** | **$** | **(11)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Receive<sup>(1)</sup> | 1-Day USD-SOFR Compounded-OIS | 2.450% | Annual | 12/20/2024 | 12/20/2024 | $12000 | $(1) | 180 | 179 | 179 | $6 | 6 | $0 |
| Receive<sup>(1)</sup> | 1-Day USD-SOFR Compounded-OIS | 2.350 | Annual | 01/17/2025 | 01/17/2025 | 6000 | 1 | 88 | 89 | 89 | 2 | 2 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2025 | 06/15/2025 | 11900 | 333 | 428 | 761 | 761 | 15 | 15 | 0 |
| Receive<sup>(1)</sup> | 1-Day USD-SOFR Compounded-OIS | 2.300 | Annual | 01/17/2026 | 01/17/2026 | 1000 | 0 | 24 | 24 | 24 | 1 | 1 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.573 | Annual | 02/28/2027 | 02/28/2027 | 500 | (1) | (44) | (45) | (45) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.928 | Annual | 03/25/2027 | 03/25/2027 | 800 | (2) | (58) | (60) | (60) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.620 | Annual | 04/18/2027 | 04/18/2027 | 700 | (2) | (62) | (64) | (64) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.783 | Annual | 04/22/2027 | 04/22/2027 | 600 | (2) | (49) | (51) | (51) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.788 | Annual | 05/03/2027 | 05/03/2027 | 600 | (2) | (49) | (51) | (51) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.250 | Annual | 06/17/2027 | 06/17/2027 | 1200 | (5) | (75) | (80) | (80) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.370 | Annual | 06/21/2027 | 06/21/2027 | 900 | (4) | (51) | (55) | (55) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.605 | Annual | 06/28/2027 | 06/28/2027 | 800 | (4) | (36) | (40) | (40) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.850 | Annual | 08/30/2027 | 08/30/2027 | 700 | (3) | (26) | (29) | (29) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/07/2027 | 09/07/2027 | 400 | (2) | (11) | (13) | (13) | 0 | 0 | (1) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.450 | Annual | 10/04/2027 | 10/04/2027 | 1190 | 0 | 72 | 72 | 72 | 3 | 3 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.900 | Annual | 10/04/2027 | 10/04/2027 | 3400 | (25) | (110) | (135) | (135) | 0 | 0 | (7) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.955 | Annual | 10/04/2027 | 10/04/2027 | 800 | (6) | (24) | (30) | (30) | 0 | 0 | (2) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/13/2027 | 12/13/2027 | 700 | (2) | 2 | 0 | 0 | 2 | 2 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.618 | Annual | 02/09/2029 | 02/09/2029 | 7100 | (17) | (788) | (805) | (805) | 0 | 0 | (17) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.888 | Annual | 03/22/2029 | 03/22/2029 | 600 | (2) | (58) | (60) | (60) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 2.185 | Annual | 04/21/2029 | 04/21/2029 | 500 | (1) | (41) | (42) | (42) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.000 | Annual | 06/15/2029 | 06/15/2029 | 920 | (37) | (111) | (148) | (148) | 0 | 0 | (2) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2029 | 06/15/2029 | 580 | (62) | (4) | (66) | (66) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/08/2029 | 09/08/2029 | 400 | (3) | (11) | (14) | (14) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.100 | Annual | 09/09/2029 | 09/09/2029 | 400 | (3) | (10) | (13) | (13) | 0 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 1.650 | Annual | 02/08/2032 | 02/08/2032 | 400 | (1) | (59) | (60) | (60) | 0 | 0 | (1) |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.770 | Annual | 02/14/2032 | 400 |  | (1) |  | (55) |  | (56) |  | 0 |  | (1) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.730 | Annual | 02/24/2032 | 400 |  | (1) |  | (57) |  | (58) |  | 0 |  | (1) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.765 | Annual | 03/16/2032 | 100 |  | 0 |  | (14) |  | (14) |  | 0 |  | 0 |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.817 | Annual | 04/05/2032 | 1600 |  | (8) |  | (215) |  | (223) |  | 0 |  | (6) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.872 | Annual | 04/06/2032 | 800 |  | (4) |  | (104) |  | (108) |  | 0 |  | (3) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.250 | Annual | 06/15/2032 | 3430 |  | (247) |  | (414) |  | (661) |  | 0 |  | (10) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2032 | 2640 |  | (120) |  | (276) |  | (396) |  | 0 |  | (8) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 2.680 | Annual | 07/11/2032 | 400 |  | (6) |  | (23) |  | (29) |  | 0 |  | (1) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 2.690 | Annual | 07/11/2032 | 400 |  | (6) |  | (23) |  | (29) |  | 0 |  | (1) |
| Pay | Pay | 1-Day USD-SOFR Compounded-OIS | 3.050 | Annual | 09/06/2032 | 600 |  | (5) |  | (21) |  | (26) |  | 0 |  | (2) |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 3.610 | Annual | 12/12/2032 | 300 |  | (1) |  | 0 |  | (1) |  | 1 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 3.350 | Annual | 12/14/2032 | 100 |  | 0 |  | 2 |  | 2 |  | 0 |  | 0 |
| Receive | Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2052 | 16000 |  | 1923 |  | 2550 |  | 4473 |  | 65 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.270 | Semi-Annual | 11/04/2023 | 26900 |  | (197) |  | (799) |  | (996) |  | 0 |  | (15) |
| Pay | Pay | 3-Month USD-LIBOR | 1.000 | Semi-Annual | 01/26/2024 | 800 |  | (1) |  | (36) |  | (37) |  | 0 |  | (1) |
| Pay<sup>(1)</sup> | Pay<sup>(1)</sup> | 3-Month USD-LIBOR | 1.700 | Semi-Annual | 03/06/2024 | 1700 |  | (2) |  | (54) |  | (56) |  | 0 |  | (1) |
| Receive | Receive | 3-Month USD-LIBOR | 0.928 | Semi-Annual | 05/06/2026 | 900 |  | (1) |  | 99 |  | 98 |  | 1 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 3.000 | Semi-Annual | 06/19/2026 | 25300 |  | (899) |  | 1917 |  | 1018 |  | 40 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.250 | Semi-Annual | 12/15/2026 | 200 |  | (4) |  | 25 |  | 21 |  | 0 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 12/21/2026 | 23400 |  | 1029 |  | 1032 |  | 2061 |  | 38 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.380 | Semi-Annual | 01/04/2027 | 1100 |  | (2) |  | (112) |  | (114) |  | 0 |  | (2) |
| Pay | Pay | 3-Month USD-LIBOR | 1.570 | Semi-Annual | 01/12/2027 | 400 |  | (1) |  | (37) |  | (38) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.425 | Semi-Annual | 01/18/2027 | 800 |  | (2) |  | (80) |  | (82) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.418 | Semi-Annual | 01/20/2027 | 400 |  | (1) |  | (40) |  | (41) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.580 | Semi-Annual | 02/16/2027 | 700 |  | (2) |  | (65) |  | (67) |  | 0 |  | (1) |
| Receive | Receive | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 06/21/2027 | 2900 |  | 201 |  | 105 |  | 306 |  | 5 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 0.500 | Semi-Annual | 06/16/2028 | 38245 |  | 1607 |  | 4898 |  | 6505 |  | 6 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.265 | Semi-Annual | 09/28/2028 | 600 |  | (1) |  | (80) |  | (81) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 12/15/2028 | 2948 |  | 58 |  | (445) |  | (387) |  | 0 |  | (6) |
| Receive | Receive | 3-Month USD-LIBOR | 1.379 | Semi-Annual | 12/22/2028 | 600 |  | (1) |  | 83 |  | 82 |  | 1 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.518 | Semi-Annual | 01/20/2029 | 200 |  | 0 |  | (26) |  | (26) |  | 0 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.630 | Semi-Annual | 01/26/2029 | 400 |  | (1) |  | (49) |  | (50) |  | 0 |  | (1) |
| Receive | Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 12/10/2029 | 1900 |  | (3) |  | 226 |  | 223 |  | 4 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 12/18/2029 | 1400 |  | 43 |  | 163 |  | 206 |  | 3 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 01/15/2030 | 6300 |  | (75) |  | 908 |  | 833 |  | 13 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 02/12/2030 | 3800 |  | (67) |  | 509 |  | 442 |  | 8 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 03/10/2030 | 1800 |  | (2) |  | 210 |  | 208 |  | 4 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.250 | Semi-Annual | 06/17/2030 | 24580 |  | 926 |  | 3226 |  | 4152 |  | 0 |  | (9) |
| Receive | Receive | 3-Month USD-LIBOR | 1.000 | Semi-Annual | 12/16/2030 | 706 |  | 3 |  | 137 |  | 140 |  | 2 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 0.750 | Semi-Annual | 06/16/2031 | 500 |  | (45) |  | (68) |  | (113) |  | 0 |  | (1) |
| Receive | Receive | 3-Month USD-LIBOR | 1.405 | Semi-Annual | 09/07/2031 | 800 |  | (4) |  | 148 |  | 144 |  | 2 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.500 | Semi-Annual | 10/05/2031 | 500 |  | (1) |  | (89) |  | (90) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.535 | Semi-Annual | 10/15/2031 | 500 |  | (1) |  | (88) |  | (89) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.535 | Semi-Annual | 10/22/2031 | 300 |  | (1) |  | (52) |  | (53) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.545 | Semi-Annual | 10/26/2031 | 300 |  | (1) |  | (52) |  | (53) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.735 | Semi-Annual | 01/12/2032 | 300 |  | (1) |  | (47) |  | (48) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.655 | Semi-Annual | 01/24/2032 | 400 |  | (1) |  | (66) |  | (67) |  | 0 |  | (1) |
| Pay | Pay | 3-Month USD-LIBOR | 1.768 | Semi-Annual | 02/02/2032 | 300 |  | (1) |  | (47) |  | (48) |  | 0 |  | (1) |
| Receive | Receive | 3-Month USD-LIBOR | 1.988 | Semi-Annual | 02/09/2032 | 200 |  | 1 |  | 27 |  | 28 |  | 0 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 2.008 | Semi-Annual | 02/09/2032 | 300 |  | 1 |  | 41 |  | 42 |  | 1 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 01/15/2050 | 100 |  | (1) |  | 28 |  | 27 |  | 1 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 01/16/2050 | 300 |  | (1) |  | 103 |  | 102 |  | 1 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.750 | Semi-Annual | 01/22/2050 | 700 |  | (4) |  | 227 |  | 223 |  | 3 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.625 | Semi-Annual | 02/03/2050 | 300 |  | (1) |  | 103 |  | 102 |  | 2 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 2.000 | Semi-Annual | 03/20/2050 | 7500 |  | (32) |  | 2014 |  | 1982 |  | 0 |  | (9) |
| Pay | Pay | 3-Month USD-LIBOR | 1.524 | Semi-Annual | 01/19/2051 | 3100 |  | (25) |  | (1099) |  | (1124) |  | 0 |  | (14) |
| Receive | Receive | 3-Month USD-LIBOR | 1.967 | Semi-Annual | 06/23/2051 | 2000 |  | (15) |  | 582 |  | 567 |  | 10 |  | 0 |
| Receive | Receive | 3-Month USD-LIBOR | 1.968 | Semi-Annual | 06/23/2051 | 6000 |  | (45) |  | 1746 |  | 1701 |  | 30 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.815 | Semi-Annual | 01/24/2052 | 100 |  | (1) |  | (30) |  | (31) |  | 0 |  | 0 |
| Pay | Pay | 3-Month USD-LIBOR | 1.867 | Semi-Annual | 01/26/2052 | 100 |  | (1) |  | (29) |  | (30) |  | 0 |  | (1) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | $**4096** | **4096** | $**15534** | **15534** | $**19630** | **19630** | $**270** | **270** | $**(154)** | **(154)** |
| **(g)** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $2,187 and cash of $3,708 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(h)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** | **WRITTEN** **OPTIONS:** |
| **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** | **INTEREST RATE SWAPTIONS** |
| Counterparty | Description | Floating Rate<br>Index | Pay/Receive<br>Floating Rate | Exercise<br>Rate | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Market<br>Value |
| BOA | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.150% | 12/01/2023 | 500 | $(2) | $0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.650 | 12/01/2023 | 500 | (2) | (4) |
|  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.000 | 01/19/2023 | 100 | (1) | 0 |
|  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.500 | 01/19/2023 | 100 | (1) | (1) |
| BPS | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.150 | 01/09/2023 | 300 | (1) | 0 |
|  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.650 | 01/09/2023 | 300 | (1) | (2) |
|  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.270 | 01/23/2023 | 100 | 0 | 0 |
|  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.770 | 01/23/2023 | 100 | 0 | (1) |
| BRC | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.200 | 01/12/2023 | 300 | (1) | 0 |
|  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.800 | 01/12/2023 | 300 | (1) | (1) |
|  | Call - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.000 | 01/19/2023 | 100 | (1) | 0 |
|  | Put - OTC 10-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.500 | 01/19/2023 | 100 | (1) | (1) |
| CBK | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.690 | 04/02/2024 | 200 | (2) | (1) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.690 | 04/02/2024 | 200 | (2) | (3) |
|  | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.150 | 01/09/2023 | 300 | (1) | 0 |
|  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.650 | 01/09/2023 | 300 | (1) | (2) |
| DUB | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.920 | 10/13/2023 | 300 | (2) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.920 | 10/13/2023 | 300 | (2) | (4) |
| FAR | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.688 | 04/02/2024 | 300 | (2) | (1) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.688 | 04/02/2024 | 300 | (2) | (4) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.781 | 04/05/2024 | 300 | (2) | (1) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.781 | 04/05/2024 | 300 | (2) | (4) |
| GLM | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.920 | 10/13/2023 | 300 | (2) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.920 | 10/13/2023 | 300 | (2) | (4) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.018 | 10/20/2023 | 300 | (2) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.018 | 10/20/2023 | 300 | (2) | (4) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.140 | 10/23/2023 | 200 | (1) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.140 | 10/23/2023 | 200 | (1) | (2) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.190 | 10/23/2023 | 200 | (1) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.190 | 10/23/2023 | 200 | (1) | (2) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.225 | 10/23/2023 | 200 | (1) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.225 | 10/23/2023 | 200 | (1) | (2) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.973 | 10/25/2023 | 300 | (2) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.973 | 10/25/2023 | 300 | (2) | (4) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 2.841 | 10/27/2023 | 300 | (2) | 0 |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 2.841 | 10/27/2023 | 300 | (2) | (4) |
|  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Receive | 3.088 | 11/03/2023 | 300 | (2) | (1) |
|  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | Pay | 3.088 | 11/03/2023 | 300 | (2) | (4) |

---

------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.910 | 2.910 | 11/10/2023 | 11/10/2023 | 200 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 2.910 | 2.910 | 11/10/2023 | 11/10/2023 | 200 |  | (1) | (1) | (3) | (3) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.250 | 2.250 | 11/17/2023 | 11/17/2023 | 300 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.750 | 3.750 | 11/17/2023 | 11/17/2023 | 300 |  | (1) | (1) | (2) | (2) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.150 | 2.150 | 11/20/2023 | 11/20/2023 | 300 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.650 | 3.650 | 11/20/2023 | 11/20/2023 | 300 |  | (1) | (1) | (2) | (2) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.250 | 2.250 | 12/07/2023 | 12/07/2023 | 500 |  | (2) | (2) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.750 | 3.750 | 12/07/2023 | 12/07/2023 | 500 |  | (2) | (2) | (4) | (4) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.697 | 2.697 | 04/02/2024 | 04/02/2024 | 600 |  | (5) | (5) | (2) | (2) |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 2.697 | 2.697 | 04/02/2024 | 04/02/2024 | 600 |  | (5) | (5) | (8) | (8) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.721 | 2.721 | 04/08/2024 | 04/08/2024 | 300 |  | (2) | (2) | (1) | (1) |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 2.721 | 2.721 | 04/08/2024 | 04/08/2024 | 300 |  | (2) | (2) | (4) | (4) |
| JPM | JPM | Call - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 3.200 | 3.200 | 01/12/2023 | 01/12/2023 | 200 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 5-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.800 | 3.800 | 01/12/2023 | 01/12/2023 | 200 |  | (1) | (1) | (1) | (1) |
| MYC | MYC | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.993 | 2.993 | 10/11/2023 | 10/11/2023 | 300 |  | (2) | (2) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 2.993 | 2.993 | 10/11/2023 | 10/11/2023 | 300 |  | (2) | (2) | (4) | (4) |
| NGF | NGF | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 3.020 | 3.020 | 11/06/2023 | 11/06/2023 | 200 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 3.020 | 3.020 | 11/06/2023 | 11/06/2023 | 200 |  | (1) | (1) | (3) | (3) |
|  |  | Call - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Receive | Receive | 2.845 | 2.845 | 11/13/2023 | 11/13/2023 | 200 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC 1-Year Interest Rate Swap  | 3-Month USD-LIBOR | 3-Month USD-LIBOR | Pay | Pay | 2.845 | 2.845 | 11/13/2023 | 11/13/2023 | 200 |  | (1) | (1) | (3) | (3) |
|  |  |  |  |  |  |  |  |  |  |  |  | $ | (90) | (90) | $(94) | (94) |
| **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** | **OPTIONS ON SECURITIES** |
| Counterparty | Counterparty | Description | Description | Description |  | Strike<br>Price | Strike<br>Price | Expiration<br>Date | Expiration<br>Date |  | Notional<br>Amount<sup>(1)</sup> |  | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| BOA | BOA | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | $ | $99.813 | 99.813 | 02/06/2023 | 02/06/2023 |  | 100 | $ | (1) | (1) | $(1) | (1) |
|  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 100.000 | 100.000 | 02/06/2023 | 02/06/2023 |  | 100 |  | (1) | (1) | (1) | (1) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 101.813 | 101.813 | 02/06/2023 | 02/06/2023 |  | 100 |  | (1) | (1) | 0 | 0 |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 102.000 | 102.000 | 02/06/2023 | 02/06/2023 |  | 100 |  | (1) | (1) | 0 | 0 |
| JPM | JPM | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  |  | 97.000 | 97.000 | 03/06/2023 | 03/06/2023 |  | 200 |  | (2) | (2) | (3) | (3) |
|  |  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  | Put - OTC Fannie Mae 4.500% due 03/01/2053  |  | 97.156 | 97.156 | 03/06/2023 | 03/06/2023 |  | 200 |  | (2) | (2) | (3) | (3) |
|  |  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  |  | 99.000 | 99.000 | 03/06/2023 | 03/06/2023 |  | 200 |  | (1) | (1) | (1) | (1) |
|  |  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  | Call - OTC Fannie Mae 4.500% due 03/01/2053  |  | 99.156 | 99.156 | 03/06/2023 | 03/06/2023 |  | 200 |  | (1) | (1) | 0 | 0 |
|  |  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  |  | 98.766 | 98.766 | 03/06/2023 | 03/06/2023 |  | 200 |  | (2) | (2) | (3) | (3) |
|  |  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  |  | 100.766 | 100.766 | 03/06/2023 | 03/06/2023 |  | 200 |  | (1) | (1) | (1) | (1) |
| SAL | SAL | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  | Put - OTC Fannie Mae 5.000% due 03/01/2053  |  | 97.578 | 97.578 | 03/06/2023 | 03/06/2023 |  | 100 |  | (1) | (1) | (1) | (1) |
|  |  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  | Call - OTC Fannie Mae 5.000% due 03/01/2053  |  | 99.578 | 99.578 | 03/06/2023 | 03/06/2023 |  | 100 |  | (1) | (1) | (1) | (1) |
|  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 99.750 | 99.750 | 02/06/2023 | 02/06/2023 |  | 500 |  | (3) | (3) | (3) | (3) |
|  |  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Put - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 100.000 | 100.000 | 02/06/2023 | 02/06/2023 |  | 200 |  | (1) | (1) | (1) | (1) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 101.750 | 101.750 | 02/06/2023 | 02/06/2023 |  | 500 |  | (3) | (3) | (1) | (1) |
|  |  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  | Call - OTC Uniform Mortgage-Backed Security, TBA 5.500% due 02/01/2053  |  | 102.000 | 102.000 | 02/06/2023 | 02/06/2023 |  | 200 |  | (1) | (1) | 0 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  | $ | (23) | (23) | $(20) | (20) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **$** | **(113)** | **(113)** | $**(114)** | **(114)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDICES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> | <u>Swap Agreements, at Value</u><sup>(4)</sup> |
| Counterparty | Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/(Received) | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| BOA | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | CMBX.NA.AAA.6 Index  | 0.500% | 0.500% | Monthly | 05/11/2063 | 05/11/2063 | 05/11/2063 | $44 | $(1) | (1) | $1 | $0 | 0 | $0 |

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------

<br> Schedule of Investments PIMCO Short-Term Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
|  |  | CMBX.NA.AAA.7 Index  | 0.500 | Monthly | Monthly | 01/17/2047 |  | 21959 |  | (632) |  | 653 | 653 |  | 21 | 0 |
| FBF | FBF | CMBX.NA.AAA.12 Index  | 0.500 | Monthly | Monthly | 08/17/2061 |  | 200 |  | (1) |  | (1) | (1) |  | 0 | (2) |
|  |  | CMBX.NA.AAA.6 Index  | 0.500 | Monthly | Monthly | 05/11/2063 |  | 16 |  | 0 |  | 0 | 0 |  | 0 | 0 |
| GST | GST | CMBX.NA.AAA.10 Index  | 0.500 | Monthly | Monthly | 11/17/2059 |  | 36050 |  | (647) |  | 568 | 568 |  | 0 | (79) |
|  |  | CMBX.NA.AAA.6 Index  | 0.500 | Monthly | Monthly | 05/11/2063 |  | 2 |  | 0 |  | 0 | 0 |  | 0 | 0 |
|  |  | CMBX.NA.AAA.8 Index  | 0.500 | Monthly | Monthly | 10/17/2057 |  | 3150 |  | (183) |  | 186 | 186 |  | 3 | 0 |
|  |  | CMBX.NA.AAA.9 Index  | 0.500 | Monthly | Monthly | 09/17/2058 |  | 99 |  | (4) |  | 4 | 4 |  | 0 | 0 |
| MYC | MYC | CMBX.NA.AAA.6 Index  | 0.500 | Monthly | Monthly | 05/11/2063 |  | 8 |  | 0 |  | 0 | 0 |  | 0 | 0 |
| SAL | SAL | CMBX.NA.AAA.10 Index  | 0.500 | Monthly | Monthly | 11/17/2059 |  | 3100 |  | (24) |  | 17 | 17 |  | 0 | (7) |
|  |  | CMBX.NA.AAA.11 Index  | 0.500 | Monthly | Monthly | 11/18/2054 |  | 2400 |  | 11 |  | (22) | (22) |  | 0 | (11) |
|  |  | CMBX.NA.AAA.12 Index  | 0.500 | Monthly | Monthly | 08/17/2061 |  | 9000 |  | (19) |  | (53) | (53) |  | 0 | (72) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **(1500)** | **$** | $**1353** | **1353** | **$** | $**24** | $**(171)** |
| **(i)** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $517 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Portfolio is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Portfolio will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Portfolio could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 2 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |  |
| Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | Banking & Finance | $0 | 0 | $ | $8 | 8 | $0 | 0 | 0 | $ | $8 | 8 |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | 0 | 0 |  | 209713 | 209713 | 0 | 0 | 0 |  | 209713 | 209713 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 |  | 7105 | 7105 | 0 | 0 | 0 |  | 7105 | 7105 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 |  | 101503 | 101503 | 0 | 0 | 0 |  | 101503 | 101503 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 |  | 95961 | 95961 | 0 | 0 | 0 |  | 95961 | 95961 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 |  | 1458 | 1458 | 0 | 0 | 0 |  | 1458 | 1458 |  |
| U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 |  | 306 | 306 | 0 | 0 | 0 |  | 306 | 306 |  |
|  |  |  |  |  | $0 | 0 | $ | $416054 | 416054 | $0 | 0 | 0 | $ | $416054 | 416054 |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $15494 | 15494 | $ | $0 | 0 | $0 | 0 | 0 | $ | $15494 | 15494 |  |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $15494 | 15494 | $ | $416054 | 416054 | $0 | 0 | 0 | $ | $431548 | 431548 |  |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | $0 | 0 | $ | $(42093) | (42093) | $0 | 0 | 0 | $ | $(42093) | (42093) |  |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 0 |  | 327 | 327 | 0 | 0 | 0 |  | 327 | 327 |  |
| Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | 0 | 0 |  | 24 | 24 | 0 | 0 | 0 |  | 24 | 24 |  |
|  |  |  |  |  | $0 | 0 | $ | $351 | 351 | $0 | 0 | 0 | $ | $351 | 351 |  |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 0 |  | (181) | (181) | 0 | 0 | 0 |  | (181) | (181) |  |
| Over the counter | Over the counter | Over the counter | Over the counter | Over the counter | 0 | 0 |  | (285) | (285) | 0 | 0 | 0 |  | (285) | (285) |  |
|  |  |  |  |  | $0 | 0 | $ | $(466) | (466) | $0 | 0 | 0 | $ | $(466) | (466) |  |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | Total Financial Derivative Instruments | $0 | 0 | $ | $(115) | (115) | $0 | 0 | 0 | $ | $(115) | (115) |  |
| Totals | Totals | Totals | Totals | Totals | $15494 | 15494 | $ | $373846 | 373846 | $0 | 0 | 0 | $ | $389340 | 389340 |  |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio December 31, 2022 (Unaudited)

---

| | | |
|:---|:---|:---|
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 139.8% ¤** |  |  |
| **U.S. GOVERNMENT AGENCIES 5.3%**  |  |  |
| **Fannie Mae**  |  |  |
| 2.395% due 12/01/2029 •  | $4 | $4 |
| 2.560% due 08/01/2036 •  | 14 | 14 |
| 2.709% due 03/01/2035 •  | 130 | 130 |
| 2.888% due 06/01/2043 •  | 244 | 233 |
| 2.889% due 02/01/2041 - 10/01/2044 •  | 942 | 897 |
| 3.050% due 12/01/2029 •  | 1 | 1 |
| 3.175% due 12/01/2032 •  | 2 | 2 |
| 3.234% due 05/01/2025 •  | 1 | 1 |
| 3.257% due 01/01/2036 •  | 128 | 128 |
| 3.389% due 11/01/2035 •  | 50 | 49 |
| 3.481% due 11/01/2035 •  | 60 | 59 |
| 3.644% due 12/25/2036 ~ | 116 | 114 |
| 3.887% due 03/25/2036 ~ | 51 | 51 |
| 4.065% due 03/25/2032 •  | 180 | 178 |
| 4.247% due 10/01/2032 •  | 3 | 3 |
| 4.270% due 09/01/2028 •  | 3 | 3 |
| 4.509% due 06/25/2033 •  | 76 | 73 |
| 4.509% due 03/25/2034 ~ | 50 | 50 |
| 4.609% due 07/25/2032 ~ | 137 | 135 |
| 4.723% due 10/01/2025 •  | 3 | 3 |
| 4.739% due 05/25/2042 ~ | 90 | 89 |
| 4.848% due 08/01/2028 •  | 5 | 5 |
| 5.289% due 04/25/2032 ~ | 32 | 32 |
| **Freddie Mac**  |  |  |
| 0.000% due 07/15/2030 - 01/15/2032 (a) | 14985 | 10987 |
| 2.051% due 02/01/2035 •  | 139 | 136 |
| 2.350% due 02/01/2032 •  | 1 | 1 |
| 2.889% due 02/25/2045 •  | 236 | 237 |
| 3.157% due 07/01/2029 •  | 3 | 3 |
| 3.248% due 10/25/2044 •  | 745 | 743 |
| 3.333% due 05/01/2032 •  | 4 | 4 |
| 3.431% due 01/01/2032 •  | 3 | 3 |
| 3.448% due 07/25/2044 •  | 445 | 447 |
| 3.508% due 06/01/2035 •  | 512 | 519 |
| 4.136% due 07/25/2031 •  | 286 | 282 |
| 4.500% due 06/15/2035 - 09/15/2035 | 426 | 415 |
| 4.605% due 02/01/2025 •  | 1 | 1 |
| 4.818% due 06/15/2030 - 12/15/2032 •  | 25 | 24 |
| 4.868% due 06/15/2031 ~ | 10 | 10 |
| 5.000% due 01/15/2034 | 1403 | 1397 |
| 5.018% due 02/15/2027 •  | 1 | 1 |
| 5.500% due 11/01/2038 - 10/01/2039 | 46 | 46 |
| 6.500% due 10/25/2043 | 355 | 357 |
| **Ginnie Mae**  |  |  |
| 1.750% (H15T1Y + 1.500%) due 10/20/2023 ~ | 1 | 1 |
| 2.000% (H15T1Y + 1.500%) due 10/20/2024 ~ | 2 | 2 |
| 2.625% (H15T1Y + 1.500%) due 02/20/2024 - 08/20/2026 ~ | 64 | 64 |
| 2.625% due 03/20/2025 - 02/20/2030 •  | 198 | 192 |
| 2.875% (H15T1Y + 1.500%) due 04/20/2023 - 05/20/2024 ~ | 11 | 11 |
| 2.875% due 04/20/2027 - 04/20/2032 •  | 8 | 7 |
| 3.000% due 05/20/2030 •  | 31 | 30 |
| **Israel Government AID Bond**<br>0.000% due 11/01/2024 (c) | 39013 | 35857 |
| **Resolution Funding Corp. STRIPS(c)**<br>0.000% due 01/15/2030 | 18000 | 13154 |
| **Small Business Administration**  |  |  |
| 4.750% (PRIME - 2.250%) due 05/25/2025 ~ | 20 | 20 |
| **U.S. Small Business Administration**  |  |  |
| 4.500% due 03/01/2023 | 4 | 4 |
| 4.760% due 09/01/2025 | 941 | 915 |
| 4.770% due 04/01/2024 | 107 | 105 |
| 4.930% due 01/01/2024 | 58 | 57 |
| 5.240% due 08/01/2023 | 35 | 35 |
| **Uniform Mortgage-Backed Security**  |  |  |
| 4.000% due 05/01/2030 - 12/01/2041 | 908 | 874 |
| 4.500% due 04/01/2028 - 11/01/2029 | 121 | 120 |
| Total U.S. Government Agencies (Cost $69,553) |  | 69315 |
| **U.S. TREASURY OBLIGATIONS 130.4%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 1.375% due 11/15/2040 | 37030 | 24094 |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| 1.375% due 08/15/2050 (e) | 354600 | 197170 |
| 1.625% due 11/15/2050 | 214700 | 127826 |
| 1.750% due 08/15/2041 | 12400 | 8492 |
| 1.875% due 02/15/2041 (e) | 110500 | 78162 |
| 2.250% due 02/15/2052 | 600 | 417 |
| 2.375% due 02/15/2042 (e) | 8200 | 6265 |
| 2.750% due 11/15/2042 (e) | 110900 | 88997 |
| 2.875% due 05/15/2043 (e) | 140960 | 115185 |
| 3.000% due 05/15/2042 (e) | 191000 | 160772 |
| 3.000% due 11/15/2044 | 237300 | 196069 |
| 3.125% due 02/15/2043 | 41250 | 35230 |
| 3.125% due 08/15/2044 | 45000 | 38067 |
| 3.250% due 05/15/2042 (e) | 12100 | 10614 |
| 3.625% due 08/15/2043 (e) | 53000 | 48772 |
| 3.625% due 02/15/2044 (e) | 55000 | 50499 |
| 3.750% due 11/15/2043 | 36220 | 33982 |
| 4.375% due 02/15/2038 | 78530 | 82285 |
| 4.500% due 05/15/2038 | 31463 | 33444 |
| **U.S. Treasury Notes**  |  |  |
| 0.250% due 07/31/2025 | 77900 | 70308 |
| 1.875% due 08/31/2024 | 8680 | 8304 |
| 2.125% due 03/31/2024 (g) | 4700 | 4554 |
| 2.125% due 07/31/2024 (g) | 21600 | 20781 |
| 2.125% due 09/30/2024 | 27200 | 26107 |
| 2.125% due 11/30/2024 (g) | 4000 | 3830 |
| 2.250% due 03/31/2024 | 69500 | 67442 |
| 2.250% due 10/31/2024 | 49610 | 47657 |
| 2.250% due 11/15/2024 | 38950 | 37418 |
| 2.250% due 11/15/2025 | 47400 | 44875 |
| 2.375% due 02/29/2024 (g) | 4870 | 4744 |
| 2.375% due 08/15/2024 (g) | 4300 | 4150 |
| 2.500% due 01/31/2024 | 12050 | 11770 |
| 2.875% due 11/30/2023 (g) | 5010 | 4928 |
| 2.875% due 05/15/2028 | 9680 | 9136 |
| Total U.S. Treasury Obligations (Cost $2,285,168) |  | 1702346 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 3.5%**  |  |  |
| **Bear Stearns Adjustable Rate Mortgage Trust**  |  |  |
| 2.875% due 04/25/2033 ~  | 1 | 1 |
| 3.239% due 04/25/2033 ~  | 14 | 14 |
| 3.250% due 02/25/2033 ~  | 4 | 4 |
| 3.818% due 04/25/2033 ~  | 11 | 11 |
| 4.010% due 01/25/2034 ~  | 92 | 89 |
| 4.191% due 11/25/2034 ~  | 241 | 216 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.586% due 11/25/2036 ^~  | 12286 | 6580 |
| 3.602% due 11/25/2036 ~  | 5766 | 3286 |
| 4.709% due 02/25/2034 •  | 697 | 617 |
| **Chevy Chase Funding LLC Mortgage-Backed Certificates** <br>4.639% due 08/25/2035 ~ | 125 | 112 |
| **Citigroup Mortgage Loan Trust** <br>3.950% due 05/25/2035 •  | 80 | 75 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 3.048% due 02/25/2036 •  | 156 | 139 |
| 4.533% due 02/20/2047 ^•  | 2609 | 1979 |
| 4.709% due 02/25/2047 •  | 240 | 204 |
| 4.749% due 05/25/2047 ~  | 1482 | 1248 |
| 4.773% due 03/20/2046 •  | 1922 | 1500 |
| 4.789% due 05/25/2036 ~  | 31 | 26 |
| 4.809% due 05/25/2035 •  | 328 | 293 |
| 4.949% due 12/25/2035 ~  | 159 | 139 |
| 5.500% due 03/25/2036 ^  | 849 | 377 |
| **Countrywide Home Loan Mortgage Pass-Through Trust**  |  |  |
| 2.980% due 04/25/2035 ~  | 203 | 157 |
| 3.501% due 09/20/2036 ^~  | 2003 | 1735 |
| 4.849% due 05/25/2035 ~  | 535 | 432 |
| 4.969% due 04/25/2035 •  | 49 | 45 |
| 5.049% due 02/25/2035 ~  | 333 | 296 |
| 5.069% due 02/25/2035 ~  | 182 | 152 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>0.098% due 06/25/2032 ~ | 1 | 1 |
| **Downey Savings & Loan Association Mortgage Loan Trust** <br>4.859% due 08/19/2045 •  | 183 | 153 |
| **GreenPoint Mortgage Funding Trust** <br>4.829% due 06/25/2045 ~ | 239 | 218 |
| **GSR Mortgage Loan Trust** <br>3.161% due 04/25/2036 ~ | 1808 | 1255 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 4.599% due 03/19/2037 •  | 695 | 614 |
| 4.779% due 05/19/2035 ~  | 580 | 517 |
| **Impac CMB Trust** <br>5.389% due 07/25/2033 ~ | 8 | 8 |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **IndyMac** **INDX Mortgage Loan Trust** <br>5.029% due 02/25/2035 ~ | 808 | 695 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.346% due 07/25/2035 ~  | 201 | 186 |
| 3.381% due 02/25/2036 ^~  | 338 | 265 |
| **MASTR Adjustable Rate Mortgages Trust** <br>3.180% due 05/25/2034 ~ | 74 | 69 |
| **Merrill Lynch Mortgage Investors Trust** <br>6.709% due 12/25/2032 ~ | 25 | 22 |
| **Residential Accredit Loans, Inc. Trust**  |  |  |
| 3.408% due 09/25/2045 •  | 194 | 170 |
| 4.689% due 08/25/2035 •  | 464 | 350 |
| **Residential Asset Mortgage Products Trust** <br>8.500% due 10/25/2031 | 189 | 189 |
| **Residential Funding Mortgage Securities, Inc. Trust** <br>6.500% due 03/25/2032 | 12 | 12 |
| **Sequoia Mortgage Trust**  |  |  |
| 5.039% due 10/19/2026 ~  | 112 | 107 |
| 5.053% due 07/20/2033 ~  | 316 | 288 |
| 5.058% due 07/20/2033 ~  | 224 | 197 |
| **Structured Adjustable Rate Mortgage Loan Trust** <br>3.448% due 01/25/2035 ^•  | 194 | 161 |
| **Structured Asset Mortgage Investments Trust**  |  |  |
| 4.829% due 05/25/2036 •  | 7479 | 5723 |
| 4.919% due 07/19/2034 ~  | 45 | 41 |
| 5.039% due 03/19/2034 •  | 94 | 87 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 2.499% due 12/25/2046 ~  | 806 | 705 |
| 2.585% due 03/25/2034 ~  | 33 | 32 |
| 2.737% due 05/25/2046 ~  | 269 | 223 |
| 2.778% due 01/25/2047 •  | 370 | 336 |
| 3.028% due 06/25/2046 •  | 1085 | 1002 |
| 3.030% due 12/25/2046 •  | 535 | 499 |
| 3.048% due 02/25/2046 ~  | 838 | 738 |
| 3.096% due 07/25/2046 •  | 2975 | 2421 |
| 3.096% due 08/25/2046 •  | 7490 | 5718 |
| 3.248% due 11/25/2042 ~  | 138 | 125 |
| 3.548% due 09/25/2046 •  | 1047 | 960 |
| 3.548% due 10/25/2046 ~  | 384 | 340 |
| 4.909% due 11/25/2045 ~  | 542 | 486 |
| 4.929% due 12/25/2045 •  | 212 | 197 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.269% due 05/25/2033 ~  | 33 | 31 |
| Total Non-Agency Mortgage-Backed Securities (Cost $61,447) |  | 44868 |
| **ASSET-BACKED SECURITIES 0.3%**  |  |  |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.469% due 05/25/2037 ~  | 19 | 13 |
| 4.838% due 06/15/2031 ~  | 268 | 251 |
| **Citigroup Global Markets Mortgage Securities, Inc.** <br>5.739% due 01/25/2032 •  | 56 | 57 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>4.598% due 01/25/2032 •  | 28 | 27 |
| **Credit-Based Asset Servicing & Securitization Trust** <br>2.909% due 01/25/2037 ^•  | 874 | 281 |
| **GE-WMC Mortgage Securities Trust** <br>4.469% due 08/25/2036 •  | 41 | 18 |
| **GSAMP Trust**  |  |  |
| 4.459% due 12/25/2036 ~  | 410 | 205 |
| 4.569% due 11/25/2035 •  | 135 | 15 |
| **Home Equity Asset Trust** <br>5.309% due 02/25/2033 ~ | 1 | 1 |
| **HSI Asset Securitization Corp. Trust** <br>4.489% due 10/25/2036 •  | 94 | 38 |
| **JP Morgan Mortgage Acquisition Trust** <br>4.549% due 08/25/2036 •  | 27 | 12 |
| **Lehman ABS Mortgage Loan Trust** <br>4.479% due 06/25/2037 •  | 368 | 261 |
| **Long Beach Mortgage Loan Trust** <br>4.949% due 10/25/2034 •  | 1548 | 1418 |
| **MASTR Asset-Backed Securities Trust** <br>4.489% due 11/25/2036 •  | 77 | 25 |
| **Merrill Lynch Mortgage Investors Trust** <br>4.629% due 02/25/2037 •  | 269 | 82 |
| **Morgan Stanley ABS Capital, Inc. Trust** <br>4.449% due 05/25/2037 ~ | 150 | 131 |
| **Morgan Stanley IXIS Real Estate Capital Trust** <br>4.439% due 11/25/2036 •  | 31 | 11 |
| **New Century Home Equity Loan Trust** <br>4.749% due 05/25/2036 •  | 217 | 211 |
| **Renaissance Home Equity Loan Trust** <br>5.089% due 08/25/2032 ~ | 2 | 2 |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | |
|:---|:---|:---|
| **Securitized** **Asset-Backed Receivables LLC Trust**  |  |  |
| 4.509% due 12/25/2036 ^•  | 1479 | 339 |
| 4.549% due 11/25/2036 ^•  | 465 | 140 |
| **Soundview Home Loan Trust**  |  |  |
| 4.469% due 06/25/2037 ~  | 204 | 146 |
| 4.509% due 11/25/2036 •  | 461 | 133 |
| Total Asset-Backed Securities (Cost $7,225) |  | 3817 |
| **SHORT-TERM INSTRUMENTS 0.3%**  |  |  |
| **REPURCHASE AGREEMENTS (d) 0.3%** |  | 4528 |
| **U.S. TREASURY BILLS 0.0%**  |  |  |
| 4.095% due 02/02/2023 (b)(c) | 277 | 276 |
| Total Short-Term Instruments (Cost $4,804) |  | 4804 |
| Total Investments in Securities (Cost $2,428,197) |  | 1825150 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 0.5%**  |  |  |
| **SHORT-TERM INSTRUMENTS 0.5%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 0.5%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 674628 | 6555 |
| Total Short-Term Instruments (Cost $6,554) |  | 6555 |
| Total Investments in Affiliates (Cost $6,554) |  | 6555 |
| Total Investments 140.3% (Cost $2,434,751) |  | $1831705 |
| **Financial Derivative Instruments (f)(i) (0.0)**%(Cost or Premiums, net $32,589) |  | (100) |
| Other Assets and Liabilities, net (40.3)% |  | (525714) |
| Net Assets 100.0% |  | $1305891 |

---

------

<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  | **NOTES TO SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(c)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **(d)** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** | **REPURCHASE AGREEMENTS:** |
| Counterparty | Maturity<br>Date | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | &nbsp;&nbsp; Collateralized By | Collateral<br>(Received) | Collateral<br>(Received) | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreements,<br>at Value | Repurchase<br>Agreement<br>Proceeds<br>to be<br>Received<sup>(1)</sup> |
| FICC | 01/03/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | &nbsp;&nbsp; U.S. Treasury Notes 0.125% due 05/15/2023 | (4619) | (4619) | 4528 | 4528 | $4528 |
| **Total Repurchase Agreements** | **Total Repurchase Agreements** | **Total Repurchase Agreements** |  |  |  |  | **(4619)** | **(4619)** | **4528** | **4528** | $**4528** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Settlement Date | Maturity Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BOS | BOS | 4.430%  | 12/27/2022 | 01/03/2023 | 01/03/2023 | 01/03/2023 | (9108) | (9108) | (9108) | (9116) | (9116) |
| BSN | BSN | 4.150  | 11/03/2022 | 01/04/2023 | 01/04/2023 | 01/04/2023 | (95821) | (95821) | (95821) | (96494) | (96494) |
| STR | STR | 4.330  | 01/03/2023 | 01/04/2023 | 01/04/2023 | 01/04/2023 | (437080) | (437080) | (437080) | (437080) | (437080) |
|  |  | 4.370  | 12/30/2022 | 01/03/2023 | 01/03/2023 | 01/03/2023 | (410681) | (410681) | (410681) | (410881) | (410881) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  | **(953571)** | **(953571)** |
| **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** | **SALE-BUYBACK TRANSACTIONS:** |
| Counterparty | Counterparty | Borrowing Rate<sup>(2)</sup> | Borrowing Date | Maturity Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Amount<br>Borrowed<sup>(2)</sup> | Payable for<br>Sale-Buyback<br>Transactions<sup>(3)</sup> | Payable for<br>Sale-Buyback<br>Transactions<sup>(3)</sup> |
| UBS | UBS | 4.120%  | 11/15/2022 | 01/12/2023 | 01/12/2023 | 01/12/2023 | (33415) | (33415) | (33415) | (33603) | (33603) |
| **Total Sale-Buyback Transactions** | **Total Sale-Buyback Transactions** |  |  |  |  |  |  |  |  | **(33603)** | **(33603)** |
| **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** | **SHORT SALES:** |
| Description | Description | Description | Description | Coupon | Maturity<br>Date | Principal<br>Amount | Principal<br>Amount | Proceeds | Proceeds | Proceeds | Payable for<br>Short Sales |
| U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% | U.S. Government Agencies (1.4)% |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.000% | 02/01/2053 | $ | 17000 | $ | (16155) | (16155) | $(15950) |
| &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Uniform Mortgage-Backed Security, TBA  | 4.500 | 02/01/2053 |  | 3000 |  | (2906) | (2906) | (2888) |
| **Total Short Sales (1.4)%** | **Total Short Sales (1.4)%** | **Total Short Sales (1.4)%** | **Total Short Sales (1.4)%** |  |  |  |  | **$** | **(19061)** | **(19061)** | $**(18838)** |
| **(e)** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** | **Securities with an aggregate market value of $555,414 have been pledged as collateral under the terms of master agreements as of December 31, 2022.** |
| <sup>(1)</sup> | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. | Includes accrued interest. |
| <sup>(2)</sup> | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended December 31, 2022 was $(375668) at a weighted average interest rate of 2.470%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(3)</sup> | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. | Payable for sale-buyback transactions includes $(34) of deferred price drop. |
| **(f)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** | **FUTURES** **CONTRACTS:** |
| **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** | **LONG FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts |  | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Asset | Liability |
| U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | U.S. Treasury 10-Year Note March Futures  | 03/2023 | 14354 | 14354 | $ | 1611909 | 1611909 | 1611909 | $(10402) | (10402) | (10402) | (10402) | $0 | 0 | 0 | 0 | (2019) |
| U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | U.S. Ultra Treasury Note March Futures  | 03/2023 | 2615 | 2615 |  | 309305 | 309305 | 309305 | (2770) | (2770) | (2770) | (2770) | 0 | 0 | 0 | 0 | (163) |
|  |  |  |  |  |  |  |  |  |  |  | (13172) | (13172) | (13172) | $ | 0 | 0 | 0 | $ | (2182) |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description |  | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts |  | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Asset | Asset | Liability |
| U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | U.S. Treasury 5-Year Note March Futures  | 03/2023 | 2406 | 2406 | $ | (259679) | (259679) | (259679) | $667 | 667 | 667 | 667 | $207 | 207 | 207 | 207 | 0 |
| U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | U.S. Treasury Long-Term Bond March Futures  | 03/2023 | 2354 | 2354 |  | (295059) | (295059) | (295059) | 1686 | 1686 | 1686 | 1686 | 368 | 368 | 368 | 368 | 0 |
| U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | U.S. Treasury Ultra Long-Term Bond March Futures  | 03/2023 | 1367 | 1367 |  | (183605) | (183605) | (183605) | 964 | 964 | 964 | 964 | 683 | 683 | 683 | 683 | 0 |
|  |  |  |  |  |  |  |  |  |  |  | 3317 | 3317 | 3317 | $ | 1258 | 1258 | 1258 | $ | 0 |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **(9855)** | **(9855)** | **(9855)** | **$** | **1258** | **1258** | **1258** | **$** | **(2182)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Market<br>Value | Market<br>Value | Asset | Asset | Liability |
| Pay<sup>(1)</sup> | 3.530% | Annual | 06/21/2024 | 06/21/2024 | $474100 | 474100 | 474100 | $1162 | 1162 | $ | (6366) | (6366) | $(5204) | (5204) | (5204) | (5204) | 0 | 0 | $(221) |
| Pay<sup>(1)</sup> | 3.130 | Annual | 06/21/2025 | 06/21/2025 | 1159500 | 1159500 | 1159500 | 1336 | 1336 |  | (5278) | (5278) | (3942) | (3942) | (3942) | (3942) | 0 | 0 | (130) |
| Receive | 1.750 | Annual | 12/21/2052 | 12/21/2052 | 53000 | 53000 | 53000 | 10095 | 10095 |  | 4513 | 4513 | 14608 | 14608 | 14608 | 14608 | 261 | 261 | 0 |
| Receive | 2.250 | Semi-Annual | 06/20/2028 | 06/20/2028 | 349800 | 349800 | 349800 | 19858 | 19858 |  | 10164 | 10164 | 30022 | 30022 | 30022 | 30022 | 651 | 651 | 0 |
| Receive | 0.750 | Semi-Annual | 03/30/2031 | 03/30/2031 | 13500 | 13500 | 13500 | 138 | 138 |  | 2796 | 2796 | 2934 | 2934 | 2934 | 2934 | 25 | 25 | 0 |
| Receive | 2.606 | Semi-Annual | 12/21/2047 | 12/21/2047 | 40000 | 40000 | 40000 | 0 | 0 |  | 6743 | 6743 | 6743 | 6743 | 6743 | 6743 | 238 | 238 | 0 |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **32589** | **$** | **$** | **12572** | **$** | **45161** | **45161** | **45161** | **$** | **1175** | **1175** | **(351)** |
| **(g)** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** | **Securities with an aggregate market value of $38,753 and cash of $15,034 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, 2022.** |
| <sup>(1)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of December 31, 2022 in valuing the Portfolio's assets and liabilities**: |  |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Level 1 | Level 1 | Level 1 | Level 2 | Level 2 | Level 2 | Level 3 | Level 3 | Level 3 | Level 3 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 | Fair Value<br>at 12/31/2022 |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | $0 | 0 | 0 | $ | $69315 | 69315 | $ | 0 | 0 | 0 | $ | $69315 | 69315 |  |
| U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 0 | 0 |  | 1702346 | 1702346 |  | 0 | 0 | 0 |  | 1702346 | 1702346 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 0 | 0 |  | 44868 | 44868 |  | 0 | 0 | 0 |  | 44868 | 44868 |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | 0 | 0 | 0 |  | 3817 | 3817 |  | 0 | 0 | 0 |  | 3817 | 3817 |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
|  | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | Repurchase Agreements | 0 | 0 | 0 |  | 4528 | 4528 |  | 0 | 0 | 0 |  | 4528 | 4528 |  |
|  | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | U.S. Treasury Bills | 0 | 0 | 0 |  | 276 | 276 |  | 0 | 0 | 0 |  | 276 | 276 |  |
|  |  |  |  |  |  | $0 | 0 | 0 | $ | $1825150 | 1825150 | $ | 0 | 0 | 0 | $ | $1825150 | 1825150 |  |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |  |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |  |
|  | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | $6555 | 6555 | 6555 | $ | $0 | 0 | $ | 0 | 0 | 0 | $ | $6555 | 6555 |  |
| Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | Total Investments | $6555 | 6555 | 6555 | $ | $1825150 | 1825150 | $ | 0 | 0 | 0 | $ | $1831705 | 1831705 |  |
| **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  | **Short Sales, at Value - Liabilities**  |  |
| U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | U.S. Government Agencies | $0 | 0 | 0 | $ | $(18838) | (18838) | $ | 0 | 0 | 0 | $ | $(18838) | (18838) |  |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | $0 | 0 | 0 | $ | $2433 | 2433 | $ | 0 | 0 | 0 | $ | $2433 | 2433 |  |

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<br> Schedule of Investments PIMCO U.S. Government and Short-Term Investments Portfolio (Cont.) December 31, 2022 (Unaudited)

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| | | | | |
|:---|:---|:---|:---|:---|
| **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  | **Financial** **Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | $0 | $(2533) | $0 | $(2533) |
| Total Financial Derivative Instruments | $0 | $(100) | $0 | $(100) |
| Totals | $6555 | $1806212 | $0 | $1812767 |
| **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** | **There were no significant transfers into or out of Level 3 during the period ended December 31, 2022.** |

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Notes to Financial Statements

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

 **1. BASIS FOR CONSOLIDATION** 

PIMCO All Asset: Multi-Real Fund (Cayman) Ltd (Cayman Islands exempted company), PIMCO International Portfolio Subsidiary, LLC (Delaware limited liability company), PIMCO Short Asset Portfolio Subsidiary, LLC (Delaware limited liability company) and PIMCO Short-Term Floating NAV III Subsidiary, LLC (Delaware limited liability company), (each a "Subsidiary") were incorporated as wholly owned subsidiaries acting as investment vehicles for the PIMCO All Asset: Multi-Real Fund, PIMCO International Portfolio, PIMCO Short Asset Portfolio and PIMCO Short-Term Floating NAV Portfolio III respectively, ("Consolidated Fund") in order to effect certain investments for the Consolidated Fund consistent with each Consolidated Fund's investment objectives and policies as specified in their respective offering memorandum and offering memorandum supplement. Each Consolidated Fund's investment portfolio has been consolidated and includes the portfolio holdings of the Consolidated Fund and its respective Subsidiary. The consolidated financial statements include the accounts of each Consolidated Fund and its respective Subsidiary, if any. All inter-company transactions and balances have been eliminated. A subscription agreement was entered into between the PIMCO All Asset: Multi-Real Fund, PIMCO International Portfolio, PIMCO Short Asset Portfolio and PIMCO Short-Term Floating NAV Portfolio III and their Subsidiaries comprising the entire issued share capital of the Subsidiary, with the intent that each Consolidated Fund will remain the sole shareholder and retain all rights. Under the Memorandum and Articles of Association of each Subsidiary, shares issued by each Subsidiary confer upon a shareholder the right to receive notice of, to attend and to vote at general meetings of the respective Subsidiary and shall confer upon the shareholder rights in a winding-up or repayment of capital and the right to participate in the profits or assets of the respective Subsidiaries. See the table below for details regarding the structure, incorporation and relationship as of period end of each Subsidiary to its respective Consolidated Fund.

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| | | | |
|:---|:---|:---|:---|
|  |  | **Date of** | **Subsidiary % of**<br> **Consolidated Fund** |
| **Fund Name** | **Subsidiary** | **Incorporation** | **Net Assets** |
| PIMCO All Asset: Multi-Real Fund | PIMCO All Asset: Multi-Real Fund (Cayman) Ltd | 06/17/2020 | 10.0% |
| PIMCO International Portfolio | PIMCO International Portfolio Subsidiary, LLC | 03/20/2014 | 21.8% |
| PIMCO Short Asset Portfolio | PIMCO Short Asset Portfolio Subsidiary, LLC | 03/01/2017 | 5.7% |
| PIMCO Short-Term Floating NAV Portfolio III | PIMCO Short-Term Floating NAV Portfolio III Subsidiary, LLC | 03/20/2014 | 12.3% |

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<sup>†</sup> A zero balance may reflect actual amounts rounding to less than 0.01%.

**2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS** 

**(a) Investment Valuation Policies** The net asset value ("NAV") of a Portfolio, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the Portfolio or class, less any liabilities, as applicable, by the total number of shares outstanding.

On each day that the New York Stock Exchange ("NYSE") is open, with respect to each Portfolio other than the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, portfolio shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) ("NYSE Close"). With respect to the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III portfolio shares are ordinarily valued as of 3:00 p.m. Eastern time, on each day that the NYSE is open. Information that becomes known to the Portfolios or their agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, each Portfolio may its NAV as of the earlier closing time or (ii) calculate its NAV as of the NYSE for that day. Each Portfolio generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, each Portfolio may calculate its NAV as of the NYSE Close for such day or such other time that the Portfolio may determine.

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Portfolios will normally use pricing data for domestic equity securities received shortly after the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close) and do not normally take into account trading, clearances or settlements that take place after the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close). A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by PIMCO to be the primary exchange. If market value pricing is used, a foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close), if the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close) occurs before the end of trading on the foreign exchange.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board has designated PIMCO as the valuation designee ("Valuation Designee") for each Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee's policies and procedures govern the Valuation Designee's selection and application of methodologies for determining and calculating the fair value of Fund investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, "Pricing Sources").

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives, and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Exchange-traded options, except equity options, futures and options on futures are valued at the settlement price determined by the relevant exchange. Swap agreements are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of a Portfolio's assets that are invested in one or more open-end management

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Notes to Financial Statements (Cont.)

investment companies (other than ETFs), a Portfolio's NAV will be calculated based on the NAVs of such investments. Open-end management investment companies may include affiliated funds.

If a foreign (non-U.S.) equity security's value has materially changed after the close of the security's primary exchange or principal market but before the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close), the security may be valued at fair value. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, a Portfolio may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close). A Portfolio may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument ("zero trigger") between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Trust is not open for business, which may result in a Portfolio's portfolio investments being affected when shareholders are unable to buy or sell shares.

Whole loans may be fair valued using inputs that take into account borrower-or loan-level (e.g., credit risk of the borrower) that is updated periodically throughout the life of each individual loan; any new borrower- or loan-level data received in written reports periodically by the Portfolio normally will be taken into account in calculating the NAV. The Portfolio's whole loan investments, including those originated by the Portfolio, generally are fair valued in accordance with procedures approved by the Board.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of a Portfolio's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Trust is not open for business. As a result, to the extent that a Portfolio holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Portfolio's next calculated NAV.

Fair valuation may require subjective determinations about the value of a security. While the Trust's and Valuation Designee's policies and procedures are intended to result in a calculation of a Portfolio's NAV that fairly reflects security values as of the time of pricing, the Trust cannot ensure that fair values accurately reflect the price that a Portfolio could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by a Portfolio may differ from the value that would be realized if the securities were sold. The Portfolios' use of fair valuation may also help to deter "stale price arbitrage" as discussed under the "Abusive Trading Practices" section in each Portfolio's Offering Memorandum.

**(b) Fair Value Hierarchy** U.S. GAAP describes fair value as the price that a Portfolio would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Sources or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for each respective Portfolio.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of a Portfolio's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for each respective Portfolio.

**(c) Valuation Techniques and the Fair Value Hierarchy**

**Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value** The valuation methods (or "techniques") and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair

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Notes to Financial Statements (Cont.)

value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-U.S. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close (or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close). These securities are valued using Pricing Sources that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or pricing services. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

Equity-linked securities are valued by referencing the last reported sale or settlement price of the linked referenced equity on the day of valuation. Foreign exchange adjustments are applied to the last reported price to convert the linked equity's trading currency to the contract's settling currency. These investments are categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Sources (normally determined as of the NYSE Close or, in the case of the PIMCO Short-Term Floating NAV Portfolio II and PIMCO Short-Term Floating NAV Portfolio III, the earlier of 3:00 p.m. Eastern time and the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, London Interbank Offered Rate forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Adviser may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Adviser does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Reference instrument valuation estimates fair value by utilizing the correlation of the security to one or more broad-based securities, market indices, and/or other financial instruments, whose pricing information is readily available. Unobservable inputs may include those used in algorithm formulas based on percentage change in the reference instruments and/or weights of each reference instrument. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source or input of the reference instrument.

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are

categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

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Notes to Financial Statements (Cont.)

When a fair valuation method is applied by the Adviser that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

**3. FEDERAL INCOME TAX MATTERS**

Each Portfolio intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the "Code") and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

A Portfolio may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Adviser has reviewed the Portfolios' tax positions for all open tax years. As of December 31, 2022, the Portfolios have recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns.

The Portfolios file U.S. federal, state, and local tax returns as required. The Portfolios' tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

The Portfolios may gain exposure to the commodities markets primarily through investments in swap agreements, futures and options. The PIMCO All Asset: Multi-Real Fund may also gain exposure indirectly to commodity markets by investing in the Multi-Real Fund (Cayman) Ltd., which may invest without limit in commodity-linked swap agreements and other commodity-linked derivative instruments.

One of the requirements for favorable tax treatment as a regulated investment company under the Code is that a Portfolio must derive at least 90% of its gross income from certain qualifying sources of income. The Internal Revenue Service ("IRS") has issued a revenue ruling which holds that income derived from commodity index-linked derivatives, if earned directly by a Portfolio, is not qualifying income under Subchapter M of the Code. The IRS has issued private letter rulings in which the IRS specifically concluded that income derived from an investment in a subsidiary that provides commodity-linked exposure through its investments will be qualifying income. Based on the reasoning in such rulings, a portfolio will continue to seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and perhaps through commodity-linked notes.

It should be noted, however, that the IRS currently has ceased the issuance of such rulings. In addition, the IRS also issued a revenue procedure, which states that the IRS will not in the future issue private letter rulings that would require a determination of whether an asset (such as a commodity index-linked note) is a "security" under the Act. The IRS issued in September 2016 proposed regulations that would have generally treated a Portfolio's income inclusion (under Subpart F of the Code) with respect to the Subsidiary as qualifying income only if there were a distribution during the same taxable year out of the earnings and profits of the Subsidiary attributable to such income inclusion. In March 2019, the IRS issued final regulations (so modifying the proposed regulations) providing that (i) it will not rule on the determination of whether a financial instrument or position is a security under the Act; (ii) any earnings and profits paid out in the same taxable year as earned by a controlled foreign corporation to a Portfolio is treated as qualifying dividends; and (iii) that income inclusion by a Portfolio of its Subsidiary's earnings would be treated as other qualifying income if derived with respect to a Portfolio's business of investing in stock, securities, or currencies.

There can be no assurance that the IRS will not change its position that income derived from commodity-linked notes and wholly- owned subsidiaries is qualifying income. Furthermore, the tax treatment of commodity-linked notes, other commodity-linked derivatives, and a Portfolio's investments in the Subsidiary may otherwise be adversely affected by future legislation, court decisions, Treasury Regulations and/or guidance issued by the IRS. Such developments could affect the character, timing and/or amount of a Portfolio's taxable income or any distributions made by a Portfolio or result in the inability of a Portfolio to operate as described in its offering memorandum.

If, during a taxable year, the Subsidiary taxable losses (and other deductible items) exceed its income and gains, the net loss will not pass through to a Portfolio as a deductible amount for income tax purposes. In the event the Subsidiary taxable gains exceed its losses and other deductible items during a taxable year, the net gain will pass through to a Portfolio as ordinary income for Federal income tax purposes.

**4. INVESTMENTS IN AFFILIATES** 

Each Portfolio may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act and rules thereunder. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Portfolios. A copy of each affiliate fund's shareholder report is available at the U.S. Securities and Exchange Commission website at www.sec.gov, on the Funds' website at www.pimco.com, or upon request, as applicable. The tables below show the Portfolios' transactions in and earnings from investments in the affiliated Funds for the period ended December 31, 2022 (amounts in thousands<sup>†</sup>):

**Investments in PIMCO Short Asset Portfolio**

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Portfolio Name** | &nbsp;&nbsp; **Market Value<br>03/31/2022** | &nbsp;&nbsp; **Purchases at<br>Cost**  | &nbsp;&nbsp; **Proceeds from<br>Sales**  | &nbsp;&nbsp; **Net<br>Realized<br>Gain (Loss)**  | &nbsp;&nbsp; **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)**  | &nbsp;&nbsp; **Market Value<br>12/31/2022**  | &nbsp;&nbsp; **Dividend<br>Income**<sup>(1)</sup>  | &nbsp;&nbsp; **Realized Net<br>Capital<br>Gain<br>Distributions**<sup>(1)</sup>  |
| &nbsp;&nbsp;&nbsp; PIMCO All Asset: Multi-RAE PLUS Fund | $&nbsp;&nbsp;&nbsp; 5506 | $&nbsp;&nbsp;&nbsp; 6 | $&nbsp;&nbsp;&nbsp; (5511) | $&nbsp;&nbsp;&nbsp; (85) | $&nbsp;&nbsp;&nbsp; 84 | $&nbsp;&nbsp;&nbsp; 0 | $&nbsp;&nbsp;&nbsp; 7 | $&nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO All Authority: Multi-RAE PLUS Fund | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 40219  | &nbsp;&nbsp;&nbsp; (20452) | &nbsp;&nbsp;&nbsp; (50) | &nbsp;&nbsp;&nbsp; (416) | &nbsp;&nbsp;&nbsp; 19301 | &nbsp;&nbsp;&nbsp; 629 | &nbsp;&nbsp;&nbsp; 0 |

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**Investments in PIMCO Short-Term Floating NAV Portfolio III**

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Notes to Financial Statements (Cont.)

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| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Portfolio Name** | &nbsp;&nbsp; **Market Value<br>03/31/2022**  | &nbsp;&nbsp; **Purchases at<br>Cost**  | &nbsp;&nbsp; **Proceeds from<br>Sales**  | &nbsp;&nbsp; **Net<br>Realized<br>Gain (Loss)**  | &nbsp;&nbsp; **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)**  | &nbsp;&nbsp; **Market Value<br>12/31/2022** | &nbsp;&nbsp; **Dividend<br>Income**<sup>(1)</sup>  | &nbsp;&nbsp; **Realized Net<br>Capital<br>Gain<br>Distributions**<sup>(1)</sup>  |
| &nbsp;&nbsp;&nbsp; PIMCO ABS and Short-Term Investments Portfolio | $&nbsp;&nbsp;&nbsp; 720008 | $&nbsp;&nbsp;&nbsp; 1905588 | $&nbsp;&nbsp;&nbsp; (2343800) | $&nbsp;&nbsp;&nbsp; (4805) | $&nbsp;&nbsp;&nbsp; 4894 | $&nbsp;&nbsp;&nbsp; 281885 | $&nbsp;&nbsp;&nbsp; 5288 | $&nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO All Asset: Multi-RAE PLUS Fund | &nbsp;&nbsp;&nbsp; 91070 | &nbsp;&nbsp;&nbsp; 282 | &nbsp;&nbsp;&nbsp; (91183) | &nbsp;&nbsp;&nbsp; (38) | &nbsp;&nbsp;&nbsp; 48 | &nbsp;&nbsp;&nbsp; 179 | &nbsp;&nbsp;&nbsp; 281 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO All Authority: Multi-RAE PLUS Fund | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 45300 | &nbsp;&nbsp;&nbsp; (45297) | &nbsp;&nbsp;&nbsp; (3) | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 12 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO All Asset: Multi-Real Fund | &nbsp;&nbsp;&nbsp; 125 | &nbsp;&nbsp;&nbsp; 614865 | &nbsp;&nbsp;&nbsp; (591200) | &nbsp;&nbsp;&nbsp; (19) | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 23771 | &nbsp;&nbsp;&nbsp; 164 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO EM Bond and Short-Term Investments Portfolio | &nbsp;&nbsp;&nbsp; 14503 | &nbsp;&nbsp;&nbsp; 224 | &nbsp;&nbsp;&nbsp; (2000) | &nbsp;&nbsp;&nbsp; (30) | &nbsp;&nbsp;&nbsp; 38 | &nbsp;&nbsp;&nbsp; 12735 | &nbsp;&nbsp;&nbsp; 223 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO High Yield and Short-Term Investments Portfolio | &nbsp;&nbsp;&nbsp; 40599 | &nbsp;&nbsp;&nbsp; 81644 | &nbsp;&nbsp;&nbsp; (107400) | &nbsp;&nbsp;&nbsp; (52) | &nbsp;&nbsp;&nbsp; 55 | &nbsp;&nbsp;&nbsp; 14846 | &nbsp;&nbsp;&nbsp; 344 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Investment Grade Credit Bond Portfolio | &nbsp;&nbsp;&nbsp; 277145 | &nbsp;&nbsp;&nbsp; 1187372 | &nbsp;&nbsp;&nbsp; (1337600) | &nbsp;&nbsp;&nbsp; (18) | &nbsp;&nbsp;&nbsp; 7 | &nbsp;&nbsp;&nbsp; 126906 | &nbsp;&nbsp;&nbsp; 2172 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Long Duration Credit Bond Portfolio | &nbsp;&nbsp;&nbsp; 165 | &nbsp;&nbsp;&nbsp; 5780216 | &nbsp;&nbsp;&nbsp; (5779400) | &nbsp;&nbsp;&nbsp; (451) | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 530 | &nbsp;&nbsp;&nbsp; 1216 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Mortgage and Short-Term Investments Portfolio | &nbsp;&nbsp;&nbsp; 167 | &nbsp;&nbsp;&nbsp; 828431 | &nbsp;&nbsp;&nbsp; (828300) | &nbsp;&nbsp;&nbsp; 26 | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 324 | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Municipal Portfolio | &nbsp;&nbsp;&nbsp; 3453 | &nbsp;&nbsp;&nbsp; 27086 | &nbsp;&nbsp;&nbsp; (27500) | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp; 4 | &nbsp;&nbsp;&nbsp; 3044 | &nbsp;&nbsp;&nbsp; 86 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Real Return Portfolio | &nbsp;&nbsp;&nbsp; 155 | &nbsp;&nbsp;&nbsp; 84835 | &nbsp;&nbsp;&nbsp; (82800) | &nbsp;&nbsp;&nbsp; 3 | &nbsp;&nbsp;&nbsp; 1 | &nbsp;&nbsp;&nbsp; 2194 | &nbsp;&nbsp;&nbsp; 36 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO Short-Term Portfolio | &nbsp;&nbsp;&nbsp; 37129 | &nbsp;&nbsp;&nbsp; 161258 | &nbsp;&nbsp;&nbsp; (182900) | &nbsp;&nbsp;&nbsp; (1) | &nbsp;&nbsp;&nbsp; 8 | &nbsp;&nbsp;&nbsp; 15494 | &nbsp;&nbsp;&nbsp; 259 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO U.S. Government and Short-Term Investments Portfolio | &nbsp;&nbsp;&nbsp; 188 | &nbsp;&nbsp;&nbsp; 510833 | &nbsp;&nbsp;&nbsp; (504500) | &nbsp;&nbsp;&nbsp; 34 | &nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 6555 | &nbsp;&nbsp;&nbsp; 133 | &nbsp;&nbsp;&nbsp; 0 |
| &nbsp;&nbsp;&nbsp; PIMCO International Portfolio | &nbsp;&nbsp;&nbsp; 133208 | &nbsp;&nbsp;&nbsp; 1785 | &nbsp;&nbsp;&nbsp; (37000) | &nbsp;&nbsp;&nbsp; (567) | &nbsp;&nbsp;&nbsp; 631 | &nbsp;&nbsp;&nbsp; 98057 | &nbsp;&nbsp;&nbsp; 1784 | &nbsp;&nbsp;&nbsp; 0 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

<sup>(1)</sup> The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

An affiliate includes any company in which a Fund owns 5% or more of the company's outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers for the period ended December 31, 2022 (amounts in thousands<sup>†</sup>, except number of shares).

**PIMCO High Yield and Short-Term Investments Portfolio**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Security Name** | &nbsp;&nbsp; **Market Value at 03/31/2022** | &nbsp;&nbsp; **Purchases**<br> **at cost** | &nbsp;&nbsp; **Proceeds from Sale** | &nbsp;&nbsp; **Net Realized Gain/(Loss)** | &nbsp;&nbsp; **Change in Unrealized Appreciation (Depreciation)** | &nbsp;&nbsp; **Market Value at 12/31/2022** | &nbsp;&nbsp; **Dividend Income** | &nbsp;&nbsp; **Shares Held at 12/31/2022** |
| &nbsp;&nbsp;&nbsp; XFIT BRANDS INC  | $&nbsp;&nbsp;&nbsp; 0 | $&nbsp;&nbsp;&nbsp; 4074 | $&nbsp;&nbsp;&nbsp; 0 | $&nbsp;&nbsp;&nbsp; 0 | $&nbsp;&nbsp;&nbsp; (3802) | $&nbsp;&nbsp;&nbsp; 272  | $&nbsp;&nbsp;&nbsp; 0 | &nbsp;&nbsp;&nbsp; 68040639 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Glossary: (abbreviations that may be used in the preceding statements)** |  |  |  |  | (Unaudited) |
| **Counterparty Abbreviations:** |  |  |  |  |  |
| **BCY** | Barclays Capital, Inc. | **FBF** | Credit Suisse International | **NGF** | Nomura Global Financial Products, Inc. |
| **BOA** | Bank of America N.A. | **FICC** | Fixed Income Clearing Corporation | **NOM** | Nomura Securities International, Inc. |
| **BOO** | BoA Securities, Inc (Repo Only) | **GLM** | Goldman Sachs Bank USA | **NXN** | Natixis New York |
| **BOS** | BofA Securities, Inc. | **GRE** | NatWest Markets Securities, Inc. | **RBC** | Royal Bank of Canada |
| **BPG** | BNP Paribas Securities Corp. | **GSC** | Goldman Sachs & Co. LLC | **RCY** | Royal Bank of Canada |
| **BPS** | BNP Paribas S.A. | **GST** | Goldman Sachs International | **RDR** | RBC Capital Markets LLC |
| **BRC** | Barclays Bank PLC | **HUS** | HSBC Bank USA N.A. | **RYL** | NatWest Markets Plc |
| **BSH** | Banco Santander S.A. - New York Branch | **IND** | Crédit Agricole Corporate and Investment Bank <br> S.A. | **SAL** | Citigroup Global Markets, Inc. |
| **BSN** | The Bank of Nova Scotia - Toronto | **JML** | JP Morgan Securities Plc | **SCX** | Standard Chartered Bank, London |
| **CBK** | Citibank N.A. | **JPM** | JP Morgan Chase Bank N.A. | **SGY** | Societe Generale, NY |
| **CDC** | Natixis Securities Americas LLC | **JPS** | J.P. Morgan Securities LLC | **SOG** | Societe Generale Paris |
| **CDI** | Natixis Singapore | **MBC** | HSBC Bank Plc | **SSB** | State Street Bank and Trust Co. |
| **CIB** | Canadian Imperial Bank of Commerce | **MEI** | Merrill Lynch International | **STR** | State Street FICC Repo |
| **CLY** | Crédit Agricole Corporate and Investment Bank | **MSC** | Morgan Stanley & Co. LLC. | **TOR** | The Toronto-Dominion Bank |
| **DEU** | Deutsche Bank Securities, Inc. | **MSR** | Morgan Stanley & Co LLC FICC Repo | **UAG** | UBS AG Stamford |
| **DUB** | Deutsche Bank AG | **MYC** | Morgan Stanley Capital Services LLC | **UBS** | UBS Securities LLC |
| **FAR** | Wells Fargo Bank National Association | **MYI** | Morgan Stanley & Co. International PLC |  |  |
| **Currency Abbreviations:** |  |  |  |  |  |
| **ARS** | Argentine Peso | **GBP** | British Pound | **NOK** | Norwegian Krone |
| **AUD** | Australian Dollar | **HKD** | Hong Kong Dollar | **NZD** | New Zealand Dollar |
| **BRL** | Brazilian Real | **HUF** | Hungarian Forint | **PEN** | Peruvian New Sol |
| **CAD** | Canadian Dollar | **IDR** | Indonesian Rupiah | **SEK** | Swedish Krona |
| **CHF** | Swiss Franc | **ILS** | Israeli Shekel | **SGD** | Singapore Dollar |
| **CLP** | Chilean Peso | **INR** | Indian Rupee | **TRY** | Turkish New Lira |
| **CNH** | Chinese Renminbi (Offshore) | **JPY** | Japanese Yen | **TWD** | Taiwanese Dollar |
| **DKK** | Danish Krone | **KRW** | South Korean Won | **USD** | United States Dollar |
| **EUR** | Euro | **MXN** | Mexican Peso | **ZAR** | South African Rand |
| **Exchange Abbreviations:** |  |  |  |  |  |
| **CME** | Chicago Mercantile Exchange | **NYMEX** | New York Mercantile Exchange | **OTC** | Over the Counter |
| **Index/Spread Abbreviations:** |  |  |  |  |  |
| **ABX.HE** | Asset-Backed Securities Index - Home Equity | **DWRTFT** | Dow Jones Wilshire REIT Total Return Index | **NDUEEGF** | iShares MSCI Emerging Markets ETF |
| **AMNAX** | Alerian Midstream Energy Total Return Index | **ERADXULT** | eRAFI International Large Strategy Index | **PIMCODB** | PIMCO Custom Commodity Basket |
| **AMZX** | Alerian MLP Total Return Index | **ERAEMLT** | eRAFI Emerging Markets Strategy Index | **PRIME** | Daily US Prime Rate |
| **BADLARPP** | Argentina Badlar Floating Rate Notes | **ERAUSLT** | eRAFI U.S. Large Strategy Index | **RADMFENT** | RAFI Dynamic Multi-Factor Emerging Markets Equity ETF |
| **BBSW3M** | 3 Month Bank Bill Swap Rate | **ERAUSST** | eRAFI U.S. Small Strategy Index | **RADMFXNT** | RAFI Dynamic Multi-Factor Developed Ex-<br> U.S. Index |
| **BCOMF1NTC** | Bloomberg Commodity Index 1-Month Forward Total Return Custom Index | **EUR001M** | 1 Month EUR Swap Rate | **RU20INTR** | Russell 2000 Total Return Index |
| **BCOMTR** | Bloomberg Commodity Index Total Return | **EUR003M** | 3 Month EUR Swap Rate | **S&P 500** | Standard & Poor's 500 Index |
| **BRENT** | Brent Crude | **H15T1Y** | 1 Year US Treasury Yield Curve Constant Maturity Rate | **SOFRINDX** | Secured Overnight Financing Rate Index |
| **CDX.EM** | Credit Derivatives Index - Emerging <br> Markets | **JMABNIC** | J.P. Morgan Nic Custom Index | **SOFRRATE** | Secured Overnight Financing Rate |
| **CDX.HY** | Credit Derivatives Index - High Yield | **JMABNIC5** | J.P. Morgan Custom Commodity Index | **SONIO** | Sterling Overnight Interbank Average Rate |
| **CDX.IG** | Credit Derivatives Index - Investment <br> Grade | **LIBOR01M** | 1 Month USD-LIBOR | **TSFR1M** | Term SOFR 1-Month |
| **CMBX** | Commercial Mortgage-Backed Index | **LIBOR03M** | 3 Month USD-LIBOR | **UKRPI** | United Kingdom Retail Prices Index |
| **CPTFEMU** | Eurozone HICP ex-Tobacco Index | **LIBOR06M** | 6 Month USD-LIBOR | **US0001M** | ICE 1-Month USD LIBOR |
| **CPURNSA** | Consumer Price All Urban Non-Seasonally Adjusted Index | **MUTKCALM** | Tokyo Overnight Average Rate | **US0003M** | ICE 3-Month USD LIBOR |
| **CSIXTR** | Credit Suisse U.S. Dollar Total Return <br> Index | **NDDUEAFE** | MSCI EAFE Index |  |  |
| **Municipal Bond or Agency Abbreviations:** |  |  |  |  |  |
| **AGM** | Assured Guaranty Municipal | **FHA** | Federal Housing Administration | **ST** | State |
| **BAM** | Build America Mutual Assurance | **NPFGC** | National Public Finance Guarantee Corp. |  |  |
| **Other Abbreviations:** |  |  |  |  |  |
| **ABS** | Asset-Backed Security | **CLO** | Collateralized Loan Obligation | **PIK** | Payment-in-Kind |
| **AID** | Agency International Development | **CMBS** | Collateralized Mortgage-Backed Security | **REIT** | Real Estate Investment Trust |
| **ALT** | Alternate Loan Trust | **DAC** | Designated Activity Company | **REMIC** | Real Estate Mortgage Investment Conduit |
| **BABs** | Build America Bonds | **EURIBOR** | Euro Interbank Offered Rate | **RMBS** | Residential Mortgage-Backed Security |
| **BBR** | Bank Bill Rate | **LIBOR** | London Interbank Offered Rate | **TBA** | To-Be-Announced |
| **BBSW** | Bank Bill Swap Reference Rate | **OAT** | Obligations Assimilables du Trésor | **TBD** | To-Be-Determined |
| **BRL-CDI** | Brazil Interbank Deposit Rate | **OIS** | Overnight Index Swap | **TBD%** | Interest rate to be determined when loan settles or at the time of funding |
| **BTP** | Buoni del Tesoro Poliennali "Long-term Treasury Bond" | **oz.** | Ounce | **WTI** | West Texas Intermediate |

---

------

## 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 Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

- **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 Mortgage and Short-Term Investments Portfolio

- **b. EDGAR series identifier (if any):** S000009853

- **c. LEI of Series:** GQTZH3G16O0ZDGTIUS87

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

- **a. Date of fiscal year-end:** 2023-03-31

- **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:** $7562984790.72

**Total Liabilities:** $6308460792.75

**Net Assets:** $1254523997.97

**Cash Not Reported:** $31048922.91

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 8566.457400 | **1-Year:** 62872.021200 | **5-Year:** 1095869.983500 | **10-Year:** 244449.728700 | **30-Year:** 2570.328900

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

- **3-Month:** 11291.143100 | **1-Year:** 5783.404500 | **5-Year:** 21102.269200 | **10-Year:** 6459.203800 | **30-Year:** 142.797500

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000027281 | -2.80%               | 7.33%                | -0.92%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-71459756.11            | $25292798.52                               |
| Month 2  | $-6290977.56             | $100051099.19                              |
| Month 3  | $54743713.72             | $-80725965.18                              |

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2018-DSNY  | BANC OF AMERICA MERRILL LYNCH BAMLL 2018 DSNY A 144A   | CUSIP: 054967AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1590000 | PA      | $1561267.59    | 0.12%             | 2034-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1R6A4 PIMCO SWAPTION 3.513 PUT USD 2023030         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10600000 | NC      | $170256.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1RDA6 PIMCO SWAPTION 3.5125 PUT USD 202303         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11000000 | NC      | $176863.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1SDA4 PIMCO SWAPTION 3.635 PUT USD 2023030         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    4800000 | NC      | $59345.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TCA3 PIMCO SWAPTION 2.77 CALL USD 2023122         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   41000000 | NC      | $653478.50     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TDA2 PIMCO SWAPTION 3.52 PUT USD 20231221         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   41000000 | NC      | $1113322.20    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TMA2 PIMCO SWAPTION 2.8 CALL USD 20231220         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6800000 | NC      | $111665.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TNA1 PIMCO SWAPTION 3.55 PUT USD 20231220         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20500000 | NC      | $541517.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TOA0 PIMCO SWAPTION 2.8 CALL USD 20231220         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    6900000 | NC      | $113307.66     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1TPA9 PIMCO SWAPTION 3.55 PUT USD 20231220         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   20500000 | NC      | $541517.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1UAA2 PIMCO SWAPTION 3.72 PUT USD 20230306         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   23000000 | NC      | $271558.70     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-E                   | BANC OF AMERICA FUNDING CORPOR BAFC 2005 E 1A1         | CUSIP: 05946XXH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237191 | PA      | $199789.20     | 0.02%             | 2035-05-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-8T2                 | BANC OF AMERICA FUNDING CORPOR BAFC 2006 8T2 A10       | CUSIP: 05951UAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     478989 | PA      | $415542.95     | 0.03%             | 2036-10-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-1                   | BANC OF AMERICA FUNDING CORPOR BAFC 2007 1 TA10        | CUSIP: 05951FAM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471045 | PA      | $408849.42     | 0.03%             | 2037-01-25      | Variable      | 6.34%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                       | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1160 | PA      | $1059.36       | 0.00%             | 2034-07-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 0.50000 06/16/21-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2551159.74   | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 1.35000 03/03/22-3Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12645593.17   | 1.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 1.40000 04/05/22-3Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13989407.12   | 1.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 1.50000 05/04/22-3Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13684961.16   | 1.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 1.50000 12/15/21-7Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20298962.77  | -1.62%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 1.98750 02/09/22-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $551254.18     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | IRS USD 2.00750 02/09/22-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $910806.17     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD FEDL01/0.20000 04/29/22-1Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1531495.87    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.17950 12/21/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2685249.45   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.22500 12/20/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1470255.90   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.25000 12/15/21-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4219947.02   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.76000 05/09/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1248787.38   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.76700 05/09/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1243710.57   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.78750 05/09/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1358954.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | OIS USD SOFR/1.87500 05/09/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1220217.50   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.00000 06/15/22-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28032774.42   | 2.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.25000 06/15/22-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3085685.77   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75000 06/15/22-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2737235.81   | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75000 06/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9433923.85    | 0.75%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75000 06/15/22-3Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11312192.31  | -0.90%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75000 06/15/22-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3649706.05    | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75000 06/15/22-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12310999.74  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.75750 03/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2075629.42    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/1.84000 07/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3833035.90    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.00000 12/21/22-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2174289.70    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.00000 12/21/22-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1172025.72    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.19750 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-858396.54    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.20400 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-854138.93    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.31300 07/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14456075.50   | 1.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.31350 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2530156.79    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.37250 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1110832.10    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.38500 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $410782.51     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.43600 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $528916.75     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.45100 06/08/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $719333.30     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.55250 06/15/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1757619.08    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.68000 07/11/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-187696.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.69000 07/11/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-185491.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/2.99750 09/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $522314.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.20500 11/09/22-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $320582.30     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.21700 11/09/22-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $322276.67     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.21750 11/09/22-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $311430.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.27500 10/06/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $632232.96     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.27500 11/09/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $925996.62     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | RFR USD SOFR/3.36750 11/28/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $621708.75     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 31750KK50 OTC EPUT FN 5.5 FEB23 99.976562 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -24000000 | NC      | $-165583.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 31750KMK5 OPTION MAR23 ECAL FN 4.5 99 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -27800000 | NC      | $-70364.58     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 31750KML3 OTC EPUT FN 4.5 MAR23 97.15625 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -27800000 | NC      | $-450157.06    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175112P7 OTC EPUT FN 4.0 JAN23 94.03125 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -14000000 | NC      | $-69286.00     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317515XZ2 OTC EPUT FN 5.0 FEB23 98.5625 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -15500000 | NC      | $-141198.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175255N9 OTC ECAL FN 5.5 JAN23 101.859375 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -35100000 | NC      | $-322.92       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175346J9 ECAL FN 5.5 FEB23 102 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -20000000 | NC      | $-35482.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317534SM8 OTC EPUT FN 4.0 JAN23 94.03125 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7000000 | NC      | $-34643.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175352C5 OTC ECAL FN 5.5 JAN23 101.859375 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -42300000 | NC      | $-389.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317536AI1 OTC ECAL FN 5.5 JAN23 101.890625 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -62900000 | NC      | $-471.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317541068 OTC EPUT FN 5.5 FEB23 100 PUT                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8600000 | NC      | $-60127.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317543GN0 OTC EPUT FN 5.0 MAR23 98.765625 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4800000 | NC      | $-65605.92     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317543V29 OTC ECAL FN 5.5 JAN23 102.25 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -86000000 | NC      | $-51.60        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317546DV8 EPUT FN 5.5 FEB23 100 PUT                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -20000000 | NC      | $-139832.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175472V8 OTC ECAL FN 4.5 MAR23 99.15625 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -27800000 | NC      | $-61980.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317551R84 EPUT FN 5.5 FEB23 99,75 PUT                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -29500000 | NC      | $-178846.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317553QJ7 ECAL FN 5.5 FEB23 101,75 CALL                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -29500000 | NC      | $-67398.65     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175544B6 OPTION MAR23 EPUT FN 4.5 PUT 97              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -27800000 | NC      | $-427619.60    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317557H41 OTC ECAL FN 5.5 FEB23 101.8125 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -11400000 | NC      | $-24476.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175638B3 OTC EPUT FN 5.5 MAR23 99.765625 PUT          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -11500000 | NC      | $-114776.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317564NP3 OTC ECAL FN 4.0 JAN23 94.703125 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -3000000 | NC      | $-3835.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317566OH5 EPUT FN 5.0 MAR23 97.578125 PUT              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17100000 | NC      | $-159558.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317573TR4 OTC ECAL FN 5.5 FEB23 102.4375 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -22000000 | NC      | $-24402.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317575BD9 OTC ECAL FN 5.0 MAR23 100.765625 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4800000 | NC      | $-15791.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317578ZK1 OTC ECAL FN 5.5 FEB23 102 CALL               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -22000000 | NC      | $-39030.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317581LR5 OTC ECAL FN 5.5 FEB23 102 CALL               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -8600000 | NC      | $-15257.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317584YB0 OTC EPUT FN 5.5 MAR23 99.78125 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -12000000 | NC      | $-120337.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317587BL6 ECAL FN 5.0 MAR23 99.578125 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17100000 | NC      | $-125428.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317591N76 OTC EPUT FN 5.5 FEB23 100 PUT                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -20000000 | NC      | $-139832.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317592624 OTC ECAL FN 5.5 FEB23 102 CALL               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -20000000 | NC      | $-35482.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175929Y1 OTC ECAL FN 4.0 JAN23 95.265625 CALL         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -14000000 | NC      | $-6035.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317592BZ5 OTC EPUT FN 5.5 FEB23 99.9375 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17000000 | NC      | $-114712.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3175940S9 OTC EPUT FN 5.5 FEB23 100.0625 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -48000000 | NC      | $-347678.40    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317594885 OPTION FEB23 99.8125 OTC EPUT FN 5.5         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -11400000 | NC      | $-71631.90     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | US 10YR NOTE (CBT)MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        489 | NC      | $-535513.68    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | US ULTRA BOND CBT MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -51 | NC      | $23432.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-E                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 E A1         | CUSIP: 06050HJH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49025 | PA      | $47687.87      | 0.00%             | 2031-06-20      | Floating      | 3.44%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2002-G                        | BANC OF AMERICA MORTGAGE SECUR BOAMS 2002 G 1A5        | CUSIP: 06050HKT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        580 | PA      | $543.13        | 0.00%             | 2032-07-20      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                      | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1        | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87387 | PA      | $78054.04      | 0.01%             | 2036-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ACQUISITION TR 2007-A               | BAYVIEW FINANCIAL ACQUISITION BAYV 2007 A 2A           | CUSIP: 07325VAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     769895 | PA      | $682065.59     | 0.05%             | 2037-05-28      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                     | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A         | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        470 | PA      | $464.13        | 0.00%             | 2030-06-25      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                  | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1        | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     690777 | PA      | $498441.06     | 0.04%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2003-SD2                         | BEAR STEARNS ASSET BACKED SECU BSABS 2003 SD2 2A       | CUSIP: 07384YLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9461 | PA      | $8442.98       | 0.00%             | 2043-06-25      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 1A1        | CUSIP: 07384MWW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97162 | PA      | $90837.29      | 0.01%             | 2033-08-25      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1        | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68865 | PA      | $64519.02      | 0.01%             | 2033-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUST RT MTGE TR 2000-                  | BEAR STEARNS ADJUSTABLE RATE M BSARM 2000 2 A1         | CUSIP: 07384MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1161 | PA      | $1084.59       | 0.00%             | 2030-11-25      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1        | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1910 | PA      | $1751.44       | 0.00%             | 2034-01-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                       | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1             | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136701 | PA      | $127129.35     | 0.01%             | 2035-05-25      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                       | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1              | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174806 | PA      | $81161.21      | 0.01%             | 2036-11-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                       | BEAR STEARNS ALT A TRUST BALTA 2006 6 31A1             | CUSIP: 073868AV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     318951 | PA      | $181798.74     | 0.01%             | 2036-11-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                       | BEAR STEARNS ALT A TRUST BALTA 2006 6 32A1             | CUSIP: 073868BE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     445774 | PA      | $238750.60     | 0.02%             | 2036-11-25      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2       | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        842 | PA      | $662.16        | 0.00%             | 2033-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1     | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A2         | CUSIP: 07384YGY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     192632 | PA      | $188590.57     | 0.02%             | 2042-11-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1   | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1       | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361951 | PA      | $342396.90     | 0.03%             | 2034-02-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD2   | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD2 2A1      | CUSIP: 07386UAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     558640 | PA      | $522359.81     | 0.04%             | 2046-09-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SECU INC 2002-                   | BEAR STEARNS ASSET BACKED SECU BSABS 2002 2 A2         | CUSIP: 07384YEN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      38768 | PA      | $38276.14      | 0.00%             | 2032-10-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-2                     | BELLA VISTA MORTGAGE TRUST BVMBS 2005 2 2A1            | CUSIP: 07820QCD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121136 | PA      | $76571.16      | 0.01%             | 2045-05-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A      | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A A1R2 144A  | CUSIP: 14310MAW7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     797575 | PA      | $786996.59     | 0.06%             | 2031-04-17      | Floating      | 5.05%                 | 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        |    4100000 | PA      | $4034630.22    | 0.32%             | 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        |    4186323 | PA      | $4144658.25    | 0.33%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| CDC MORTGAGE CAPITAL TRUST 2002-HE2                   | CDC MORTGAGE CAPITAL TRUST CDCMC 2002 HE2 M1           | CUSIP: 12506YAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21945 | PA      | $23385.57      | 0.00%             | 2033-01-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                             | CENTEX HOME EQUITY CXHE 2002 A AV                      | CUSIP: 152314EQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58924 | PA      | $56741.67      | 0.00%             | 2032-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2002-A                             | CENTEX HOME EQUITY CXHE 2002 A MV1                     | CUSIP: 152314ER7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161411 | PA      | $162468.15     | 0.01%             | 2032-01-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                 | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1         | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     381801 | PA      | $359125.22     | 0.03%             | 2032-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-1                | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 1 2A2         | CUSIP: 161546EF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103649 | PA      | $101695.20     | 0.01%             | 2032-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET-BKD 2003-5                | CHASE FUNDING MORTGAGE LOAN AS CFAB 2003 5 2A2         | CUSIP: 161546GR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21065 | PA      | $19906.37      | 0.00%             | 2033-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 1A2       | CUSIP: 16163CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19789 | PA      | $16445.54      | 0.00%             | 2036-09-25      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S5                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S5 1A22      | CUSIP: 161631AX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1504586 | PA      | $737050.24     | 0.06%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A1 144A   | CUSIP: 16678RDK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75733 | PA      | $64528.98      | 0.01%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                 | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A B1 144A   | CUSIP: 16678RAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     232594 | PA      | $206082.74     | 0.02%             | 2035-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-3A                 | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 3A A1 144A   | CUSIP: 16678RBU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      98174 | PA      | $88478.00      | 0.01%             | 2035-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                              | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                 | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6900000 | PA      | $6831253.16    | 0.54%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CIT GROUP HOME EQUITY LOAN TRUS 2002-2                | CIT GROUP HOME EQUITY LOAN TRU CITHE 2002 2 MV1        | CUSIP: 12558MBC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117938 | PA      | $116222.65     | 0.01%             | 2031-12-25      | Floating      | 5.36%                 | 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        |     757181 | PA      | $753615.92     | 0.06%             | 2037-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV2 A3A 144A | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1906703 | PA      | $1539696.72    | 0.12%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3           | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A3A 144A | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14474554 | PA      | $11688460.29   | 0.93%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M1       | CUSIP: 17309MAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      56396 | PA      | $56402.76      | 0.00%             | 2036-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL3                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL3 A3A      | CUSIP: 17312GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147201 | PA      | $105035.87     | 0.01%             | 2045-07-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                 | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1071 | PA      | $994.13        | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78956 | PA      | $63515.33      | 0.01%             | 2035-08-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                  | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1          | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      96112 | PA      | $93843.28      | 0.01%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A5        | CUSIP: 18976GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     416389 | PA      | $355904.42     | 0.03%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A3      | CUSIP: 23242GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     370017 | PA      | $269424.50     | 0.02%             | 2046-10-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C     | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1647453 | PA      | $1208187.20    | 0.10%             | 2046-10-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1       | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     450330 | PA      | $403345.24     | 0.03%             | 2035-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A2       | CUSIP: 12667GCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121589 | PA      | $94140.05      | 0.01%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 4A1       | CUSIP: 12667GCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63631 | PA      | $57738.17      | 0.00%             | 2035-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 2A1       | CUSIP: 12668AVP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158802 | PA      | $139279.81     | 0.01%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 1A3     | CUSIP: 02146VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     629436 | PA      | $468871.33     | 0.04%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1C     | CUSIP: 23243AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5747798 | PA      | $3712935.62    | 0.30%             | 2046-09-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2008-2R                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2008 2R 2A1       | CUSIP: 021482AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82116 | PA      | $42966.53      | 0.00%             | 2037-08-25      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1C     | CUSIP: 02147DAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3712215 | PA      | $2683686.62    | 0.21%             | 2046-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4      | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2392472 | PA      | $2055929.59    | 0.16%             | 2046-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1B     | CUSIP: 02146YAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     294637 | PA      | $218878.09     | 0.02%             | 2046-07-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1      | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31127 | PA      | $26154.48      | 0.00%             | 2036-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA8              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA8 2A4      | CUSIP: 02147CAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1612674 | PA      | $1051390.27    | 0.08%             | 2046-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1        | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458877 | PA      | $400583.59     | 0.03%             | 2035-12-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A           | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900990 | PA      | $813504.89     | 0.06%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-13                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 13 2A1         | CUSIP: 126698AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     832103 | PA      | $777448.00     | 0.06%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 1A           | CUSIP: 12669LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469242 | PA      | $405758.28     | 0.03%             | 2037-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2003-SD2               | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 SD2 A1 144A    | CUSIP: 126671ZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     993999 | PA      | $959343.88     | 0.08%             | 2032-09-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                      | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 2A1              | CUSIP: 12669B2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3395 | PA      | $3255.31       | 0.00%             | 2031-06-19      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2001-HYB1                      | COUNTRYWIDE HOME LOANS CWHL 2001 HYB1 3A2              | CUSIP: 12669B2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3636 | PA      | $3465.61       | 0.00%             | 2031-07-19      | Floating      | 2.12%                 | 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        |      19294 | PA      | $19141.22      | 0.00%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-20                        | COUNTRYWIDE HOME LOANS CWHL 2004 20 3A1                | CUSIP: 12669F2J1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127361 | PA      | $109312.18     | 0.01%             | 2034-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                        | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289930 | PA      | $258025.15     | 0.02%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                        | COUNTRYWIDE HOME LOANS CWHL 2004 25 2A1                | CUSIP: 12669GKF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6755 | PA      | $5624.47       | 0.00%             | 2035-02-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                        | COUNTRYWIDE HOME LOANS CWHL 2004 29 1A1                | CUSIP: 12669GHY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63611 | PA      | $56572.42      | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                         | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                 | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33114 | PA      | $26695.36      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                         | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                 | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     254134 | PA      | $219457.61     | 0.02%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                         | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                 | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15773 | PA      | $14291.92      | 0.00%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                         | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                 | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471952 | PA      | $381360.31     | 0.03%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HY10                      | COUNTRYWIDE HOME LOANS CWHL 2005 HY10 5A1              | CUSIP: 126694VR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      67605 | PA      | $52170.86      | 0.00%             | 2036-02-20      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                         | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                 | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117215 | PA      | $62459.23      | 0.00%             | 2036-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                         | COUNTRYWIDE HOME LOANS CWHL 2006 3 3A2                 | CUSIP: 126694YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31627 | PA      | $11358.25      | 0.00%             | 2036-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY4                       | COUNTRYWIDE HOME LOANS CWHL 2007 HY4 1A1               | CUSIP: 17025RAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     259327 | PA      | $225567.53     | 0.02%             | 2047-09-25      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY7                       | COUNTRYWIDE HOME LOANS CWHL 2007 HY7 A1                | CUSIP: 12544HAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     332317 | PA      | $299445.19     | 0.02%             | 2037-11-25      | Variable      | 3.73%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2007-CB1                | CREDIT BASED ASSET SERVICING A CBASS 2007 CB1 AF1A     | CUSIP: 1248MGAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     260941 | PA      | $83882.64      | 0.01%             | 2037-01-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-3                | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 3 1A6A          | CUSIP: 12638PAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1820675 | PA      | $522978.78     | 0.04%             | 2037-04-25      | Fixed         | 5.58%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2020-RPL3 | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 RPL3 A1 144A    | CUSIP: 12656PAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4204724 | PA      | $4025977.12    | 0.32%             | 2060-03-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2013-MH1                 | CREDIT SUISSE MORTGAGE TRUST CSMC 2013 MH1 A 144A      | CUSIP: 12647RAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4517627 | PA      | $3741127.82    | 0.30%             | 2053-05-27      | Variable      | 4.86%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTG SEC CORP 2002-HE1                 | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 HE1 A2        | CUSIP: 22540VUG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     106971 | PA      | $100980.59     | 0.01%             | 2032-08-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15               | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1      | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4007 | PA      | $3685.80       | 0.00%             | 2033-06-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A    | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1198629 | PA      | $967913.88     | 0.08%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                | CVS PASS THROUGH TRUST PASS THRU CE 12/28 6.036        | CUSIP: 126650BP4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     814506 | PA      | $802576.32     | 0.06%             | 2028-12-10      | Fixed         | 6.04%                 | No            |                  2 | On Loan: No      |
| DELTA FUNDING HOME EQ LN TR 1999-3                    | DELTA FUNDING HOME EQUITY LOAN DELHE 1999 3 A1A        | CUSIP: 24763LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8450 | PA      | $7862.32       | 0.00%             | 2029-09-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4              | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A1B1      | CUSIP: 251513AR8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7059 | PA      | $6013.65       | 0.00%             | 2036-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| DRYDEN CLO LTD 2018-64A                               | DRYDEN SENIOR LOAN FUND DRSLF 2018 64A A 144A          | CUSIP: 26251LAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3700000 | PA      | $3623525.81    | 0.29%             | 2031-04-18      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| DRYDEN SENIOR LOAN FUND 2015-41A                      | DRYDEN SENIOR LOAN FUND DRSLF 2015 41A AR 144A         | CUSIP: 26244KAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5400000 | PA      | $5313296.52    | 0.42%             | 2031-04-15      | Floating      | 5.05%                 | 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        |     460844 | PA      | $442795.81     | 0.04%             | 2037-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2               | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A     | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     979776 | PA      | $930363.06     | 0.07%             | 2037-05-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| EMCM MORTGAGE LOAN TRUST 2001-A                       | EMC MORTGAGE LOAN TRUST EMCM 2001 A A 144A             | CUSIP: 268668AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152473 | PA      | $142880.59     | 0.01%             | 2040-05-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                   | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2           | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2897595 | PA      | $2816075.34    | 0.22%             | 2035-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ENNIS ECONOMIC DEVELOPMENT CORPORATION INC            | ENNIS TX ECON DEV CORP ENNDEV 08/34 ZEROCPNOID 0       | CUSIP: 293430AN4<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    7990000 | PA      | $3782925.43    | 0.30%             | 2034-08-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EQUIFIRST MORTGAGE LOAN TRUST 2004-1                  | EQUIFIRST MORTGAGE LOAN TRUST EMLT 2004 1 1A1          | CUSIP: 29445FAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71384 | PA      | $67815.77      | 0.01%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1993-80                                    | FANNIE MAE FNR 1993 80 F                               | CUSIP: 31359ADY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        119 | PA      | $100.35        | 0.00%             | 2023-05-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-56                                    | FANNIE MAE FNR 1997 56 F                               | CUSIP: 31359QVQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5249 | PA      | $5235.39       | 0.00%             | 2027-09-18      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-79                                    | FANNIE MAE FNR 1997 79 PL                              | CUSIP: 31359RAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65340 | PA      | $65719.11      | 0.01%             | 2027-12-18      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1997-89                                    | FANNIE MAE FNR 1997 89 ZA                              | CUSIP: 31359RPS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21539 | PA      | $22143.33      | 0.00%             | 2027-12-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-22                                    | FANNIE MAE FNR 1998 22 FA                              | CUSIP: 31359RY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4915 | PA      | $4897.73       | 0.00%             | 2028-04-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-59                                    | FANNIE MAE FNR 1998 59 Z                               | CUSIP: 31359UB53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24069 | PA      | $24733.78      | 0.00%             | 2028-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1998-73                                    | FANNIE MAE FNR 1998 73 MZ                              | CUSIP: 31359VBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8007 | PA      | $7404.72       | 0.00%             | 2038-10-17      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 1999-37                                    | FANNIE MAE FNR 1999 37 F                               | CUSIP: 31359V6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32969 | PA      | $32641.44      | 0.00%             | 2029-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-32                                    | FANNIE MAE FNR 2000 32 FM                              | CUSIP: 31358SNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8966 | PA      | $8891.75       | 0.00%             | 2030-10-18      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-36                                    | FANNIE MAE FNR 2000 36 F                               | CUSIP: 31358SVL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31644 | PA      | $31344.92      | 0.00%             | 2030-06-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-15                                    | FANNIE MAE FNR 2001 15 Z                               | CUSIP: 31359SPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148913 | PA      | $150562.39     | 0.01%             | 2031-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-35                                    | FANNIE MAE FNR 2001 35 ZG                              | CUSIP: 313920SU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     184427 | PA      | $191085.53     | 0.02%             | 2031-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-56                                    | FANNIE MAE FNR 2001 56 KZ                              | CUSIP: 313921FR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143433 | PA      | $145203.81     | 0.01%             | 2031-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                    | FANNIE MAE FNR 2002 21 FC                              | CUSIP: 31392CRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7069 | PA      | $7092.95       | 0.00%             | 2032-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                    | FANNIE MAE FNR 2002 21 FD                              | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3535 | PA      | $3546.48       | 0.00%             | 2032-04-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-53                                    | FANNIE MAE FNR 2002 53 FK                              | CUSIP: 31392EHN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        277 | PA      | $273.36        | 0.00%             | 2032-04-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-W12                                   | FANNIEMAE WHOLE LOAN FNW 2002 W12 AV1                  | CUSIP: 31392GSR7<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |       9176 | PA      | $9102.78       | 0.00%             | 2033-02-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                   | FANNIE MAE FNR 2006 118 A2                             | CUSIP: 31396L4T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     812343 | PA      | $798260.54     | 0.06%             | 2036-12-25      | Floating      | 3.64%                 | 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        |      54953 | PA      | $54609.63      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                    | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275828 | PA      | $270432.77     | 0.02%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                    | FANNIE MAE FNR 2007 96 BF                              | CUSIP: 31396XXB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1843271 | PA      | $1828778.68    | 0.15%             | 2037-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE INTEREST STRIP 386                         | FANNIEMAE STRIP FNS 386 14                             | CUSIP: 3136FFSR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132696 | PA      | $39824.84      | 0.00%             | 2038-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMIC-1998-62                              | FANNIE MAE FNR 1998 62 ZD                              | CUSIP: 31359UL86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97241 | PA      | $96331.13      | 0.01%             | 2028-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2002-77                             | FANNIE MAE FNR 2002 77 WF                              | CUSIP: 31392F6W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14304 | PA      | $14143.31      | 0.00%             | 2032-12-18      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-111                            | FANNIE MAE FNR 2012 111 HS                             | CUSIP: 3136A9HB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337335 | PA      | $207000.62     | 0.02%             | 2042-10-25      | Floating      | 0.01%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-57                             | FANNIE MAE FNR 2012 57 SC                              | CUSIP: 3136A6HS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     378504 | PA      | $297642.99     | 0.02%             | 2042-06-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-77                             | FANNIE MAE FNR 2012 77 IO                              | CUSIP: 3136A6H98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     539360 | PA      | $18521.74      | 0.00%             | 2052-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-28                             | FANNIE MAE FNR 2013 28 YS                              | CUSIP: 3136AC5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3670518 | PA      | $490461.16     | 0.04%             | 2042-07-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-32                             | FANNIE MAE FNR 2013 32 AC                              | CUSIP: 3136ADKA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     229890 | PA      | $211070.74     | 0.02%             | 2043-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-34                             | FANNIE MAE FNR 2013 34 PS                              | CUSIP: 3136ADQR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3444480 | PA      | $201573.73     | 0.02%             | 2042-08-25      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-42                             | FANNIE MAE FNR 2014 42 SA                              | CUSIP: 3136AKPR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     569321 | PA      | $17613.94      | 0.00%             | 2044-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-43                             | FANNIE MAE FNR 2014 43 BS                              | CUSIP: 3136AKKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     778262 | PA      | $34643.32      | 0.00%             | 2044-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-45                             | FANNIE MAE FNR 2014 45 SA                              | CUSIP: 3136AKUC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     420434 | PA      | $16285.98      | 0.00%             | 2044-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-47                             | FANNIE MAE FNR 2014 47 BI                              | CUSIP: 3136AKTL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1024157 | PA      | $39594.23      | 0.00%             | 2054-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-84                             | FANNIE MAE FNR 2014 84 AI                              | CUSIP: 3136AL2X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2094400 | PA      | $14807.41      | 0.00%             | 2043-02-25      | Floating      | 0.20%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-92                             | FANNIE MAE FNR 2014 92 SB                              | CUSIP: 3136AMEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     526492 | PA      | $25026.12      | 0.00%             | 2045-01-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-10                             | FANNIE MAE FNR 2015 10 SA                              | CUSIP: 3136AMZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1048490 | PA      | $45411.36      | 0.00%             | 2045-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-19                             | FANNIE MAE FNR 2015 19 AI                              | CUSIP: 3136ANJM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     879309 | PA      | $31579.95      | 0.00%             | 2055-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-47                             | FANNIE MAE FNR 2015 47 GI                              | CUSIP: 3136APDE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88324 | PA      | $9825.52       | 0.00%             | 2044-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-50                             | FANNIE MAE FNR 2015 50 SB                              | CUSIP: 3136APNG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2362494 | PA      | $105627.09     | 0.01%             | 2045-07-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-58                             | FANNIE MAE FNR 2015 58 AI                              | CUSIP: 3136APU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524510 | PA      | $15800.28      | 0.00%             | 2055-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2015-73                             | FANNIE MAE FNR 2015 73 ES                              | CUSIP: 3136AP7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     891419 | PA      | $513746.58     | 0.04%             | 2045-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-17                             | FANNIE MAE FNR 2016 17 CS                              | CUSIP: 3136ARWA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     509282 | PA      | $27452.84      | 0.00%             | 2046-04-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-52                             | FANNIE MAE FNR 2016 52 PI                              | CUSIP: 3136AS6D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     995012 | PA      | $125532.10     | 0.01%             | 2046-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-57                             | FANNIE MAE FNR 2016 57 FN                              | CUSIP: 3136ATEK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     917056 | PA      | $891382.07     | 0.07%             | 2046-06-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-63                             | FANNIE MAE FNR 2016 63 YI                              | CUSIP: 3136ATXU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     273565 | PA      | $21185.07      | 0.00%             | 2046-04-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-64                             | FANNIE MAE FNR 2016 64 IA                              | CUSIP: 3136ATUB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2725661 | PA      | $358026.51     | 0.03%             | 2046-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2016-76                             | FANNIE MAE FNR 2016 76 CS                              | CUSIP: 3136ATY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285088 | PA      | $10855.44      | 0.00%             | 2046-10-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-28                             | FANNIE MAE FNR 2018 28 CA                              | CUSIP: 3136B1P32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     326687 | PA      | $294022.50     | 0.02%             | 2048-05-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2018-85                             | FANNIE MAE FNR 2018 85 IO                              | CUSIP: 3136B3QF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4080406 | PA      | $580069.77     | 0.05%             | 2048-12-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                             | FANNIE MAE FNR 2019 62 FA                              | CUSIP: 3136B6Z48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12393492 | PA      | $12046696.47   | 0.96%             | 2059-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-62                             | FANNIE MAE FNR 2019 62 SN                              | CUSIP: 3136B62S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2374698 | PA      | $320871.13     | 0.03%             | 2049-11-25      | Floating      | 1.61%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2021-1                              | FANNIE MAE FNR 2021 1 IY                               | CUSIP: 3136BD2F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   48157908 | PA      | $2972161.58    | 0.24%             | 2036-02-25      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE WHOLE LOAN                                 | FANNIEMAE WHOLE LOAN FNW 1998 W2 A8                    | CUSIP: 31359UPD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39719 | PA      | $39732.77      | 0.00%             | 2028-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-156                                   | FANNIE MAE FNR 1993 156 ZB                             | CUSIP: 31359DJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4263 | PA      | $4263.35       | 0.00%             | 2023-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-163                                   | FANNIE MAE FNR 1993 163 ZA                             | CUSIP: 31359D3U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        424 | PA      | $423.63        | 0.00%             | 2023-09-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1993-26                                    | FANNIE MAE FNR 1993 26 MZ                              | CUSIP: 31358TB99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $427.61        | 0.00%             | 2023-03-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1994-30                                    | FANNIE MAE FNR 1994 30 K                               | CUSIP: 31359GB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23889 | PA      | $23925.08      | 0.00%             | 2024-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1996-48                                    | FANNIE MAE FNR 1996 48 Z                               | CUSIP: 31359KXE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17196 | PA      | $17279.06      | 0.00%             | 2026-11-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2000-13                                    | FANNIE MAE FNR 2000 13 F                               | CUSIP: 31359X2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         61 | PA      | $60.52         | 0.00%             | 2023-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2001-M2                               | FANNIEMAE ACES FNA 2001 M2 Z2                          | CUSIP: 313920HM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51515 | PA      | $51237.94      | 0.00%             | 2031-06-25      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                              | FANNIEMAE ACES FNA 2020 M33 X2                         | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6681374 | PA      | $639785.28     | 0.05%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G93-16                                     | FANNIE MAE FNR G93 16 K                                | CUSIP: 31358UHV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $43.11         | 0.00%             | 2023-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G96-3                                      | FANNIE MAE FNR G96 3 Z                                 | CUSIP: 31359KV87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87786 | PA      | $90049.42      | 0.01%             | 2026-11-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2001-T4                       | FANNIEMAE GRANTOR TRUST FNGT 2001 T4 A1                | CUSIP: 31359SR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54135 | PA      | $53991.80      | 0.00%             | 2041-07-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2002-T7                       | FANNIEMAE GRANTOR TRUST FNGT 2002 T7 A1                | CUSIP: 31392DQH8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      73008 | PA      | $71972.30      | 0.01%             | 2032-07-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE GRANTOR TRUST 2003-T4                       | FANNIEMAE GRANTOR TRUST FNGT 2003 T4 1A                | CUSIP: 31393AU96<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |       7245 | PA      | $7091.52       | 0.00%             | 2033-09-26      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE STRIP 419                                   | FANNIEMAE STRIP FNS 419 C3                             | CUSIP: 31395Q5Q9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1545405 | PA      | $228449.56     | 0.02%             | 2043-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2001-W2                          | FANNIEMAE WHOLE LOAN FNW 2001 W2 AF6                   | CUSIP: 313920XZ8<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |        627 | PA      | $630.82        | 0.00%             | 2031-10-25      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W13                         | FANNIEMAE WHOLE LOAN FNW 2003 W13 AV2                  | CUSIP: 31393C7G2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |          9 | PA      | $8.71          | 0.00%             | 2033-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN-1996-W2                          | FANNIEMAE WHOLE LOAN FNW 1996 W2 A7                    | CUSIP: 31359KGH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        777 | PA      | $786.92        | 0.00%             | 2026-06-25      | Fixed         | 7.72%                 | No            |                  2 | On Loan: No      |
| FANNIEMAIE WHOLE LOAN 2002-W2                         | FANNIEMAE WHOLE LOAN FNW 2002 W2 AV1                   | CUSIP: 31392CEQ3<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |        725 | PA      | $708.51        | 0.00%             | 2032-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FEDERAL AGRICULTURE MTG CORP HM-1021                  | FEDERAL AGRICULTURAL MORTGAGE AMBS HM 1021 1           | CUSIP: 31316XAW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      39909 | PA      | $39154.87      | 0.00%             | 2030-04-25      | Fixed         | 8.85%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1B0262 FH 05/32 FLOATING VAR         | CUSIP: 31336RZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $124.68        | 0.00%             | 2032-05-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1B0806 FH 03/33 FLOATING VAR         | CUSIP: 31336SNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22442 | PA      | $21896.87      | 0.00%             | 2033-03-01      | Floating      | 2.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1G1796 FH 12/35 FLOATING VAR         | CUSIP: 3128QJ7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251349 | PA      | $253060.91     | 0.02%             | 2035-12-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1G2602 FH 10/36 FLOATING VAR         | CUSIP: 3128QS3K0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35911 | PA      | $35794.10      | 0.00%             | 2036-10-01      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1J1219 FH 10/35 FLOATING VAR         | CUSIP: 3128NHK85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35948 | PA      | $36287.41      | 0.00%             | 2035-10-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 1L0183 FH 08/35 FLOATING VAR         | CUSIP: 3128Q2FY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7492 | PA      | $7370.63       | 0.00%             | 2035-08-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 390256 FH 07/30 FLOATING VAR         | CUSIP: 31346VH93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59043 | PA      | $56856.05      | 0.00%             | 2030-07-01      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 410836 FH 08/30 FLOATING VAR         | CUSIP: 31337A4V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $624.59        | 0.00%             | 2030-08-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 608954 FH 10/23 FLOATING VAR         | CUSIP: 31354Q5P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1030 | PA      | $1018.55       | 0.00%             | 2023-10-01      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 609969 FH 10/24 FLOATING VAR         | CUSIP: 31354SCE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3044 | PA      | $3001.04       | 0.00%             | 2024-10-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 610920 FH 06/28 FLOATING VAR         | CUSIP: 31337NAV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2455 | PA      | $2401.67       | 0.00%             | 2028-06-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 755411 FH 02/27 FLOATING VAR         | CUSIP: 31349HAL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23207 | PA      | $22623.77      | 0.00%             | 2027-02-01      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 780090 FH 12/32 FLOATING VAR         | CUSIP: 31342AC31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6446 | PA      | $6276.01       | 0.00%             | 2032-12-01      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 780443 FH 03/33 FLOATING VAR         | CUSIP: 31342AP45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41024 | PA      | $41084.58      | 0.00%             | 2033-03-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 785867 FH 12/26 FLOATING VAR         | CUSIP: 31348SQU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2881 | PA      | $2827.09       | 0.00%             | 2026-12-01      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR         | CUSIP: 31348SWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9156 | PA      | $8924.08       | 0.00%             | 2028-01-01      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786190 FH 07/27 FLOATING VAR         | CUSIP: 31348S2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3390 | PA      | $3331.26       | 0.00%             | 2027-07-01      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786321 FH 11/27 FLOATING VAR         | CUSIP: 31295KAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26843 | PA      | $26417.87      | 0.00%             | 2027-11-01      | Floating      | 3.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786402 FH 09/27 FLOATING VAR         | CUSIP: 31295KDF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5175 | PA      | $5097.22       | 0.00%             | 2027-09-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786404 FH 10/27 FLOATING VAR         | CUSIP: 31295KDH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2025 | PA      | $1996.89       | 0.00%             | 2027-10-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786513 FH 07/28 FLOATING VAR         | CUSIP: 31295KGW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59810 | PA      | $58503.10      | 0.00%             | 2028-07-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786625 FH 09/28 FLOATING VAR         | CUSIP: 31295KLE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2508 | PA      | $2447.51       | 0.00%             | 2028-09-01      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 786774 FH 08/29 FLOATING VAR         | CUSIP: 31295KQ31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1204 | PA      | $1182.37       | 0.00%             | 2029-08-01      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 787010 FH 12/29 FLOATING VAR         | CUSIP: 31295KYF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7124 | PA      | $6946.22       | 0.00%             | 2029-12-01      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 787239 FH 07/30 FLOATING VAR         | CUSIP: 31295LBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2183 | PA      | $2155.58       | 0.00%             | 2030-07-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 787603 FH 10/27 FLOATING VAR         | CUSIP: 31295LNU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2656 | PA      | $2614.68       | 0.00%             | 2027-10-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 788825 FH 11/31 FLOATING VAR         | CUSIP: 31295MYW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        416 | PA      | $421.38        | 0.00%             | 2031-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 789133 FH 03/32 FLOATING VAR         | CUSIP: 31295NEE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3605 | PA      | $3514.00       | 0.00%             | 2032-03-01      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 789552 FH 05/32 FLOATING VAR         | CUSIP: 31295NTH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5307 | PA      | $5231.93       | 0.00%             | 2032-05-01      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 845524 FH 10/23 FLOATING VAR         | CUSIP: 31288VD55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8260 | PA      | $8139.77       | 0.00%             | 2023-10-01      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 845675 FH 03/27 FLOATING VAR         | CUSIP: 31288VJU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $357.64        | 0.00%             | 2027-03-01      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 845898 FH 06/24 FLOATING VAR         | CUSIP: 31288VRT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.04         | 0.00%             | 2024-06-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 845933 FH 09/24 FLOATING VAR         | CUSIP: 31288VSW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        803 | PA      | $788.73        | 0.00%             | 2024-09-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846093 FH 10/24 FLOATING VAR         | CUSIP: 31288VXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1882 | PA      | $1860.72       | 0.00%             | 2024-10-01      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846354 FH 09/26 FLOATING VAR         | CUSIP: 3128HDBX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        342 | PA      | $337.80        | 0.00%             | 2026-09-01      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846421 FH 02/27 FLOATING VAR         | CUSIP: 3128HDD22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6908 | PA      | $6801.21       | 0.00%             | 2027-02-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846512 FH 08/27 FLOATING VAR         | CUSIP: 3128HDGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2220 | PA      | $2174.35       | 0.00%             | 2027-08-01      | Floating      | 2.54%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846527 FH 11/27 FLOATING VAR         | CUSIP: 3128HDHC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1571 | PA      | $1539.23       | 0.00%             | 2027-11-01      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846535 FH 11/27 FLOATING VAR         | CUSIP: 3128HDHL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $23.56         | 0.00%             | 2027-11-01      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846744 FH 07/24 FLOATING VAR         | CUSIP: 3128HDP52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1601 | PA      | $1585.57       | 0.00%             | 2024-07-01      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846745 FH 04/29 FLOATING VAR         | CUSIP: 3128HDP60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        617 | PA      | $610.41        | 0.00%             | 2029-04-01      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846775 FH 11/29 FLOATING VAR         | CUSIP: 3128HDQ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102480 | PA      | $101363.61     | 0.01%             | 2029-11-01      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846902 FH 04/31 FLOATING VAR         | CUSIP: 3128HDU31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        132 | PA      | $129.74        | 0.00%             | 2031-04-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 846942 FH 02/31 FLOATING VAR         | CUSIP: 3128HDWB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $503.82        | 0.00%             | 2031-02-01      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR         | CUSIP: 3128HDZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1843 | PA      | $1816.65       | 0.00%             | 2029-02-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR         | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26968 | PA      | $26991.07      | 0.00%             | 2034-11-01      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 847709 FH 07/35 FLOATING VAR         | CUSIP: 3128JRR65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     107625 | PA      | $108533.10     | 0.01%             | 2035-07-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 865591 FH 03/29 FLOATING VAR         | CUSIP: 31348UF87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4699 | PA      | $4607.91       | 0.00%             | 2029-03-01      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 972103 FH 05/32 FLOATING VAR         | CUSIP: 31336CKQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91085 | PA      | $89248.14      | 0.01%             | 2032-05-01      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL 972104 FH 05/32 FLOATING VAR         | CUSIP: 31336CKR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60232 | PA      | $59045.93      | 0.00%             | 2032-05-01      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A10364 FG 06/33 FIXED 5.5            | CUSIP: 31296JMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11872 | PA      | $11977.91      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A11990 FG 08/33 FIXED 5              | CUSIP: 31296LF71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $233.96        | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14258 FG 09/33 FIXED 5.5            | CUSIP: 31296NWT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6550 | PA      | $6584.17       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14359 FG 10/33 FIXED 5.5            | CUSIP: 31296NZY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19181 | PA      | $19278.52      | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14440 FG 10/33 FIXED 5.5            | CUSIP: 31296N4Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1915 | PA      | $1978.22       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14446 FG 10/33 FIXED 5              | CUSIP: 31296N5F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55757 | PA      | $56229.29      | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14624 FG 10/33 FIXED 5              | CUSIP: 31296PD58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2754 | PA      | $2808.68       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A14805 FG 10/33 FIXED 5              | CUSIP: 31296PKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8021 | PA      | $8207.83       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A15539 FG 11/33 FIXED 5.5            | CUSIP: 31296QEL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185390 | PA      | $186475.18     | 0.01%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A15829 FG 11/33 FIXED 5.5            | CUSIP: 31296QPN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $478.62        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A16317 FG 04/31 FIXED 6.5            | CUSIP: 31296RAS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        978 | PA      | $1004.44       | 0.00%             | 2031-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A18611 FG 02/29 FIXED 5              | CUSIP: 31296TR89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3542 | PA      | $3499.96       | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A23085 FG 06/34 FIXED 5              | CUSIP: 31297ANA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14175 | PA      | $14226.40      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A23803 FG 06/34 FIXED 5              | CUSIP: 31297BGL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3991 | PA      | $4070.16       | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A24611 FG 06/34 FIXED 4.5            | CUSIP: 31297CDQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1472 | PA      | $1443.55       | 0.00%             | 2034-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A26750 FG 09/34 FIXED 5.5            | CUSIP: 31297EQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58220 | PA      | $60077.69      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A29015 FG 12/34 FIXED 5              | CUSIP: 31297HAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20117 | PA      | $20317.51      | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A29582 FG 01/35 FIXED 4.5            | CUSIP: 31297HUF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19439 | PA      | $18954.89      | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A32162 FG 03/35 FIXED 5              | CUSIP: 31297MMK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69501 | PA      | $69878.67      | 0.01%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A34515 FG 04/35 FIXED 4.5            | CUSIP: 31297QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2029 | PA      | $2004.90       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A34552 FG 04/35 FIXED 4.5            | CUSIP: 31297QBV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3270 | PA      | $3231.36       | 0.00%             | 2035-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A35283 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7329 | PA      | $7492.99       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A35287 FG 06/35 FIXED 5.5            | CUSIP: 31297Q2U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54332 | PA      | $55144.87      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A35745 FG 06/35 FIXED 5.5            | CUSIP: 31297RL21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60492 | PA      | $61363.37      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A35819 FG 07/35 FIXED 5              | CUSIP: 31297RPC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20891 | PA      | $21116.44      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A35938 FG 07/35 FIXED 5              | CUSIP: 31297RS32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79002 | PA      | $79017.06      | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A36258 FG 07/35 FIXED 5              | CUSIP: 31297R5T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116090 | PA      | $116722.31     | 0.01%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A36995 FG 09/35 FIXED 5.5            | CUSIP: 31297SXY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26641 | PA      | $26799.88      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A37326 FG 09/35 FIXED 5              | CUSIP: 31297TD75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20194 | PA      | $20664.99      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A37622 FG 09/35 FIXED 5.5            | CUSIP: 31297TPF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45112 | PA      | $45477.57      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A37900 FG 09/35 FIXED 4.5            | CUSIP: 31297TX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14560 | PA      | $14397.02      | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A37999 FG 10/35 FIXED 4.5            | CUSIP: 31297T3G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        285 | PA      | $278.94        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A38082 FG 09/35 FIXED 5              | CUSIP: 31297T6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12197 | PA      | $12329.08      | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A38107 FG 10/35 FIXED 4.5            | CUSIP: 31297UAG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33401 | PA      | $32863.45      | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A38837 FG 05/35 FIXED 4.5            | CUSIP: 31297UZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67307 | PA      | $66530.84      | 0.01%             | 2035-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A40032 FG 09/35 FIXED 5              | CUSIP: 3128K0A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1867 | PA      | $1873.93       | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A40118 FG 11/35 FIXED 4.5            | CUSIP: 3128K0DX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2435 | PA      | $2365.60       | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A43850 FG 03/36 FIXED 5              | CUSIP: 3128K4H32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13154 | PA      | $13460.78      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A43851 FG 03/36 FIXED 5              | CUSIP: 3128K4H40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28031 | PA      | $28333.93      | 0.00%             | 2036-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A43941 FG 03/36 FIXED 5.5            | CUSIP: 3128K4LW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17488 | PA      | $18097.87      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A44573 FG 04/36 FIXED 5.5            | CUSIP: 3128K5CJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17516 | PA      | $17975.71      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A45408 FG 06/35 FIXED 6.5            | CUSIP: 3128K6AH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7669 | PA      | $7878.80       | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A46278 FG 07/35 FIXED 5              | CUSIP: 3128K66P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20609 | PA      | $21089.57      | 0.00%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A46280 FG 07/35 FIXED 5              | CUSIP: 3128K66R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     204543 | PA      | $209310.04     | 0.02%             | 2035-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A46663 FG 08/35 FIXED 5              | CUSIP: 3128K7ML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108195 | PA      | $110716.29     | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A46669 FG 08/35 FIXED 4.5            | CUSIP: 3128K7MS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2200 | PA      | $2169.32       | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A46767 FG 09/35 FIXED 5.5            | CUSIP: 3128K7QU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6187 | PA      | $6225.39       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A47293 FG 10/35 FIXED 5.5            | CUSIP: 3128K8C61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31091 | PA      | $31237.04      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A47402 FG 10/35 FIXED 5              | CUSIP: 3128K8GK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2778 | PA      | $2832.61       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A48438 FG 05/36 FIXED 6.5            | CUSIP: 3128K9LT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19356 | PA      | $20526.39      | 0.00%             | 2036-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A49539 FG 06/36 FIXED 5.5            | CUSIP: 3128KAS44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43454 | PA      | $45151.91      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A50007 FG 06/36 FIXED 5.5            | CUSIP: 3128KCAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10582 | PA      | $10646.76      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A50941 FG 07/36 FIXED 6.5            | CUSIP: 3128KDBJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2055 | PA      | $2110.14       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A51435 FG 08/36 FIXED 6.5            | CUSIP: 3128KDSY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21115 | PA      | $22453.97      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A53035 FG 10/36 FIXED 6.5            | CUSIP: 3128KFLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10537 | PA      | $10933.76      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A54203 FG 11/36 FIXED 6.5            | CUSIP: 3128KGU48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9305 | PA      | $9577.41       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A55128 FG 12/36 FIXED 5.5            | CUSIP: 3128KHVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4054 | PA      | $4173.77       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A55204 FG 12/36 FIXED 5.5            | CUSIP: 3128KHX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $354.84        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A55275 FG 12/36 FIXED 5.5            | CUSIP: 3128KH2G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $123.85        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A56735 FG 01/37 FIXED 5.5            | CUSIP: 3128KKPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        792 | PA      | $821.71        | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A56911 FG 02/37 FIXED 5.5            | CUSIP: 3128KKVC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21051 | PA      | $21844.01      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A56988 FG 02/37 FIXED 5.5            | CUSIP: 3128KKXR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8803 | PA      | $9146.85       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A56993 FG 02/37 FIXED 5              | CUSIP: 3128KKXW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72097 | PA      | $72585.03      | 0.01%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A57475 FG 02/37 FIXED 5.5            | CUSIP: 3128KLJU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1717 | PA      | $1740.84       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A57663 FG 12/36 FIXED 5.5            | CUSIP: 3128KLQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1807 | PA      | $1877.59       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A58677 FG 03/37 FIXED 5.5            | CUSIP: 3128KMUA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6078 | PA      | $6294.44       | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A59302 FG 04/37 FIXED 5.5            | CUSIP: 3128KNKP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        238 | PA      | $245.11        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A60094 FG 05/37 FIXED 5.5            | CUSIP: 3128KQC79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5887 | PA      | $6008.68       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A60612 FG 05/37 FIXED 5.5            | CUSIP: 3128KQVD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11680 | PA      | $12136.44      | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A60884 FG 06/37 FIXED 5.5            | CUSIP: 3128KQ6V3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14486 | PA      | $14574.11      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A61634 FG 06/34 FIXED 5              | CUSIP: 3128KRY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24581 | PA      | $25153.82      | 0.00%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A61999 FG 06/37 FIXED 5.5            | CUSIP: 3128KSGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2961 | PA      | $2985.26       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A62249 FG 06/37 FIXED 5.5            | CUSIP: 3128KSQA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5537 | PA      | $5565.15       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A64391 FG 08/37 FIXED 6              | CUSIP: 3128KU2Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        877 | PA      | $910.43        | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A64516 FG 08/37 FIXED 6.5            | CUSIP: 3128KVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14511 | PA      | $15639.39      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A68524 FG 11/37 FIXED 6              | CUSIP: 3128L0PH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9082 | PA      | $9237.55       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A68769 FG 10/32 FIXED 5.5            | CUSIP: 3128L0W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38309 | PA      | $38500.30      | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A69653 FG 12/37 FIXED 5.5            | CUSIP: 3128L1WN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62163 | PA      | $64379.27      | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A69945 FG 12/37 FIXED 5.5            | CUSIP: 3128L2BN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     125554 | PA      | $126276.48     | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A71408 FG 01/38 FIXED 5.5            | CUSIP: 3128L4R55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94920 | PA      | $98630.59      | 0.01%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A71523 FG 01/38 FIXED 5.5            | CUSIP: 3128L4VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17881 | PA      | $18395.65      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A72667 FG 02/38 FIXED 5              | CUSIP: 3128L56C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20729 | PA      | $21127.21      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A72749 FG 02/38 FIXED 5.5            | CUSIP: 3128L6BS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     443820 | PA      | $461168.80     | 0.04%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A72770 FG 02/38 FIXED 5.5            | CUSIP: 3128L6CF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80200 | PA      | $82507.73      | 0.01%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A73872 FG 03/38 FIXED 5              | CUSIP: 3128L7JR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6892 | PA      | $7046.10       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A74678 FG 03/38 FIXED 5.5            | CUSIP: 3128L8FT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40090 | PA      | $40854.71      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75114 FG 03/38 FIXED 5.5            | CUSIP: 3128L8VF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25834 | PA      | $25955.55      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75437 FG 03/38 FIXED 5.5            | CUSIP: 3128L9BE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3989 | PA      | $4016.43       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75525 FG 04/38 FIXED 5              | CUSIP: 3128L9D67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        918 | PA      | $938.28        | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75627 FG 04/38 FIXED 5              | CUSIP: 3128L9HC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4348 | PA      | $4413.97       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75835 FG 04/38 FIXED 5.5            | CUSIP: 3128L9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2202 | PA      | $2212.76       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A75879 FG 04/38 FIXED 5              | CUSIP: 3128L9Q89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22813 | PA      | $22992.65      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A76047 FG 04/38 FIXED 5.5            | CUSIP: 3128L9WG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8782 | PA      | $9125.45       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A76298 FG 04/38 FIXED 5              | CUSIP: 3128L97K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8531 | PA      | $8518.81       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5            | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19109 | PA      | $19855.22      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A77057 FG 05/38 FIXED 5.5            | CUSIP: 3128LAZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8459 | PA      | $8667.78       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A77314 FG 05/38 FIXED 5.5            | CUSIP: 3128LBDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $271.85        | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A77399 FG 05/38 FIXED 5              | CUSIP: 3128LBGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14635 | PA      | $14622.33      | 0.00%             | 2038-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A77808 FG 05/38 FIXED 5.5            | CUSIP: 3128LBU97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18800 | PA      | $19470.72      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A78147 FG 06/38 FIXED 5.5            | CUSIP: 3128LCBQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3769 | PA      | $3859.01       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A78296 FG 06/38 FIXED 5              | CUSIP: 3128LCGD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46943 | PA      | $46800.65      | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A78697 FG 06/38 FIXED 5              | CUSIP: 3128LCUW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15673 | PA      | $15628.26      | 0.00%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A78806 FG 07/38 FIXED 5.5            | CUSIP: 3128LCYB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11457 | PA      | $11516.82      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A79792 FG 07/38 FIXED 5              | CUSIP: 3128LD2Z6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58505 | PA      | $58718.71      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A79949 FG 08/38 FIXED 6              | CUSIP: 3128LEBS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17444 | PA      | $17743.47      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A80970 FG 08/38 FIXED 5.5            | CUSIP: 312927CF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27994 | PA      | $29088.78      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A81278 FG 08/38 FIXED 5              | CUSIP: 312927M37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4584 | PA      | $4552.80       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A81280 FG 08/38 FIXED 5              | CUSIP: 312927M52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8716 | PA      | $8748.01       | 0.00%             | 2038-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A82329 FG 10/38 FIXED 5.5            | CUSIP: 312928SS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        368 | PA      | $369.96        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A82423 FG 10/38 FIXED 5              | CUSIP: 312928VQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16375 | PA      | $16350.69      | 0.00%             | 2038-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A82550 FG 10/38 FIXED 5.5            | CUSIP: 312928ZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        169 | PA      | $169.95        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A83000 FG 11/38 FIXED 5.5            | CUSIP: 312929KM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24242 | PA      | $24965.10      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A83694 FG 12/38 FIXED 5.5            | CUSIP: 312930C73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56179 | PA      | $56468.31      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A83772 FG 01/39 FIXED 5.5            | CUSIP: 312930FM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1981 | PA      | $2029.46       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A84058 FG 01/39 FIXED 5.5            | CUSIP: 312930QK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1902 | PA      | $1910.89       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A84160 FG 01/39 FIXED 5.5            | CUSIP: 312930TR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74271 | PA      | $77175.09      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A84179 FG 01/37 FIXED 4              | CUSIP: 312930UC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135332 | PA      | $130701.81     | 0.01%             | 2037-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A86492 FG 05/39 FIXED 4.5            | CUSIP: 312933F90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11480 | PA      | $11396.70      | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A88843 FG 11/37 FIXED 5.5            | CUSIP: 312935ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11455 | PA      | $11841.82      | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A89352 FG 10/39 FIXED 4.5            | CUSIP: 312936L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106633 | PA      | $105482.87     | 0.01%             | 2039-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A89387 FG 10/39 FIXED 5.5            | CUSIP: 312936NC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47243 | PA      | $48902.33      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A89404 FG 10/39 FIXED 5.5            | CUSIP: 312936NV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2298 | PA      | $2309.26       | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A89839 FG 11/39 FIXED 5              | CUSIP: 3129364Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49617 | PA      | $50424.00      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A92269 FG 05/40 FIXED 4.5            | CUSIP: 312940QW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2129285 | PA      | $2115204.13    | 0.17%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A92487 FG 06/40 FIXED 5              | CUSIP: 312940XQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55891 | PA      | $56410.10      | 0.00%             | 2040-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A92666 FG 06/40 FIXED 5.5            | CUSIP: 3129406B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34879 | PA      | $35868.37      | 0.00%             | 2040-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A92821 FG 07/40 FIXED 5              | CUSIP: 312941D20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2575 | PA      | $2612.54       | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A92922 FG 07/40 FIXED 5              | CUSIP: 312941G76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62785 | PA      | $63708.68      | 0.01%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93028 FG 07/40 FIXED 5.5            | CUSIP: 312941LH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101695 | PA      | $102207.03     | 0.01%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93156 FG 07/40 FIXED 5              | CUSIP: 312941QH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50040 | PA      | $50300.69      | 0.00%             | 2040-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93293 FG 08/40 FIXED 5.5            | CUSIP: 312941US4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22845 | PA      | $22963.44      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93343 FG 08/40 FIXED 5              | CUSIP: 312941WC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6843 | PA      | $6944.13       | 0.00%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93652 FG 09/40 FIXED 5              | CUSIP: 312942BV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $808.51        | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93853 FG 09/40 FIXED 5              | CUSIP: 312942H65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5767 | PA      | $5836.57       | 0.00%             | 2040-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A93996 FG 09/40 FIXED 4.5            | CUSIP: 312942NM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44110 | PA      | $43817.89      | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A94073 FG 09/40 FIXED 5.5            | CUSIP: 312942Q24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11017 | PA      | $11093.73      | 0.00%             | 2040-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A95755 FG 12/40 FIXED 5              | CUSIP: 312944MC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1329 | PA      | $1322.96       | 0.00%             | 2040-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A96095 FG 01/41 FIXED 5.5            | CUSIP: 312944XY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34150 | PA      | $34342.31      | 0.00%             | 2041-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A97218 FG 03/41 FIXED 5              | CUSIP: 312946AT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     344151 | PA      | $349215.40     | 0.03%             | 2041-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL A98016 FG 06/39 FIXED 4.5            | CUSIP: 3129463Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57099 | PA      | $55873.48      | 0.00%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C00442 FG 01/26 FIXED 7              | CUSIP: 31292GP34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        362 | PA      | $364.62        | 0.00%             | 2026-01-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C00781 FG 04/29 FIXED 6.5            | CUSIP: 31292G2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $666.19        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C00785 FG 06/29 FIXED 6.5            | CUSIP: 31292G2S4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2727 | PA      | $2802.63       | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C00835 FG 07/29 FIXED 6.5            | CUSIP: 31292G4U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        334 | PA      | $346.65        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01005 FG 06/30 FIXED 8              | CUSIP: 31292HDJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        565 | PA      | $594.83        | 0.00%             | 2030-06-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01051 FG 09/30 FIXED 8              | CUSIP: 31292HEY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        255 | PA      | $268.64        | 0.00%             | 2030-09-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01418 FG 10/32 FIXED 5.5            | CUSIP: 31292HSF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14494 | PA      | $14910.44      | 0.00%             | 2032-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01428 FG 11/32 FIXED 5.5            | CUSIP: 31292HSR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $826.25        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01443 FG 01/33 FIXED 5.5            | CUSIP: 31292HS88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     439907 | PA      | $452782.81     | 0.04%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01578 FG 04/33 FIXED 6.5            | CUSIP: 31292HXF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1950 | PA      | $2038.57       | 0.00%             | 2033-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01623 FG 09/33 FIXED 5.5            | CUSIP: 31292HYU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        317 | PA      | $327.05        | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C01648 FG 10/33 FIXED 5              | CUSIP: 31292HZM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3584 | PA      | $3667.88       | 0.00%             | 2033-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C03458 FG 02/40 FIXED 5              | CUSIP: 31292KZX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58895 | PA      | $59763.10      | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C31320 FG 10/29 FIXED 7              | CUSIP: 31293WPD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        273 | PA      | $273.87        | 0.00%             | 2029-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C60346 FG 10/31 FIXED 6.5            | CUSIP: 31298YL33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4908 | PA      | $5039.15       | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C71288 FG 09/32 FIXED 5.5            | CUSIP: 31287YND2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3565 | PA      | $3606.22       | 0.00%             | 2032-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C73849 FG 12/32 FIXED 5              | CUSIP: 31288CH20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        286 | PA      | $287.07        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C75023 FG 12/32 FIXED 5              | CUSIP: 31288DSL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        982 | PA      | $989.81        | 0.00%             | 2032-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C79405 FG 05/33 FIXED 5              | CUSIP: 31288JNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        212 | PA      | $216.14        | 0.00%             | 2033-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C80239 FG 11/24 FIXED 8.5            | CUSIP: 31335GHQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        115 | PA      | $115.58        | 0.00%             | 2024-11-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90675 FG 05/23 FIXED 5              | CUSIP: 31335HXC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25356 | PA      | $25270.27      | 0.00%             | 2023-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90699 FG 08/23 FIXED 5              | CUSIP: 31335HX40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22856 | PA      | $22778.14      | 0.00%             | 2023-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90804 FG 03/24 FIXED 5              | CUSIP: 31335H3M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54384 | PA      | $54248.32      | 0.00%             | 2024-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90823 FG 04/24 FIXED 5              | CUSIP: 31335H4G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4079 | PA      | $4069.18       | 0.00%             | 2024-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90831 FG 05/24 FIXED 5              | CUSIP: 31335H4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     179041 | PA      | $178592.99     | 0.01%             | 2024-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90918 FG 09/25 FIXED 5              | CUSIP: 3128P7AT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6953 | PA      | $6935.22       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90931 FG 11/25 FIXED 5              | CUSIP: 3128P7A86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178803 | PA      | $178344.18     | 0.01%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C90968 FG 05/26 FIXED 5              | CUSIP: 3128P7CD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10953 | PA      | $10821.98      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91065 FG 07/27 FIXED 6              | CUSIP: 3128P7FE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7597 | PA      | $7726.72       | 0.00%             | 2027-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91112 FG 10/27 FIXED 6              | CUSIP: 3128P7GV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7851 | PA      | $7985.24       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91116 FG 11/27 FIXED 6              | CUSIP: 3128P7GZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13812 | PA      | $14048.79      | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91129 FG 12/27 FIXED 6              | CUSIP: 3128P7HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10384 | PA      | $10562.12      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91149 FG 01/28 FIXED 6              | CUSIP: 3128P7H22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11000 | PA      | $11187.87      | 0.00%             | 2028-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91164 FG 03/28 FIXED 5              | CUSIP: 3128P7JH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75470 | PA      | $76010.70      | 0.01%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91167 FG 04/28 FIXED 5              | CUSIP: 3128P7JL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44479 | PA      | $44797.35      | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91175 FG 05/28 FIXED 5              | CUSIP: 3128P7JU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3564 | PA      | $3589.72       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91194 FG 07/28 FIXED 5              | CUSIP: 3128P7KF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        947 | PA      | $954.03        | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91211 FG 08/28 FIXED 6              | CUSIP: 3128P7KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8497 | PA      | $8642.40       | 0.00%             | 2028-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91213 FG 10/28 FIXED 6              | CUSIP: 3128P7K28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18566 | PA      | $18883.80      | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91216 FG 09/28 FIXED 6              | CUSIP: 3128P7K51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7048 | PA      | $7168.42       | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91218 FG 11/28 FIXED 6              | CUSIP: 3128P7K77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1408 | PA      | $1432.29       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91232 FG 11/28 FIXED 5              | CUSIP: 3128P7LM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12084 | PA      | $12052.37      | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91237 FG 02/29 FIXED 5              | CUSIP: 3128P7LS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15719 | PA      | $15832.11      | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5            | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     285651 | PA      | $284032.47     | 0.02%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91244 FG 04/29 FIXED 4.5            | CUSIP: 3128P7LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16548 | PA      | $16454.19      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91249 FG 05/29 FIXED 4.5            | CUSIP: 3128P7L68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1163914 | PA      | $1157319.50    | 0.09%             | 2029-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91251 FG 06/29 FIXED 4.5            | CUSIP: 3128P7L84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61888 | PA      | $61537.07      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91255 FG 06/29 FIXED 4              | CUSIP: 3128P7MC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13579 | PA      | $13238.62      | 0.00%             | 2029-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL C91389 FG 08/31 FIXED 4              | CUSIP: 3128P7RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11305 | PA      | $10965.34      | 0.00%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL D55777 FG 08/24 FIXED 8.5            | CUSIP: 31356JM26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        289 | PA      | $288.90        | 0.00%             | 2024-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL D59354 FG 04/25 FIXED 8.5            | CUSIP: 31356NMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        295 | PA      | $295.05        | 0.00%             | 2025-04-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL D97473 FG 12/27 FIXED 6              | CUSIP: 3128E4JS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9160 | PA      | $9316.84       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL D97829 FG 06/28 FIXED 5              | CUSIP: 3128E4VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46785 | PA      | $46663.39      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL D97932 FG 07/28 FIXED 5              | CUSIP: 3128E4Y55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12252 | PA      | $12220.41      | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G00399 FG 09/25 FIXED 8.5            | CUSIP: 31283GNQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $625.96        | 0.00%             | 2025-09-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G00509 FG 08/26 FIXED 8.5            | CUSIP: 31283GR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $172.98        | 0.00%             | 2026-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G00811 FG 08/27 FIXED 8.5            | CUSIP: 31283G3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $894.61        | 0.00%             | 2027-08-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01469 FG 12/32 FIXED 5.5            | CUSIP: 31283HT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1425 | PA      | $1466.28       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01507 FG 12/32 FIXED 7              | CUSIP: 31283HU86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13777 | PA      | $14265.27      | 0.00%             | 2032-12-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01515 FG 02/33 FIXED 5              | CUSIP: 31283HVG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        474 | PA      | $481.67        | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01644 FG 02/34 FIXED 5.5            | CUSIP: 31283HZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7188 | PA      | $7425.26       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01737 FG 12/34 FIXED 5              | CUSIP: 31283H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3085 | PA      | $3156.93       | 0.00%             | 2034-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01772 FG 02/35 FIXED 5              | CUSIP: 31283H6H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $314.16        | 0.00%             | 2035-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01798 FG 12/32 FIXED 5.5            | CUSIP: 31283H7K5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3551 | PA      | $3655.06       | 0.00%             | 2032-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01818 FG 05/35 FIXED 5              | CUSIP: 3128LXAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1112553 | PA      | $1137618.30    | 0.09%             | 2035-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5            | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1679065 | PA      | $1738756.68    | 0.14%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01841 FG 06/35 FIXED 5.5            | CUSIP: 3128LXBJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19967 | PA      | $20656.00      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01864 FG 01/34 FIXED 5              | CUSIP: 3128LXB90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31256 | PA      | $31983.03      | 0.00%             | 2034-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01883 FG 08/35 FIXED 5              | CUSIP: 3128LXCU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        460 | PA      | $470.58        | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01931 FG 10/35 FIXED 5.5            | CUSIP: 3128LXEC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8859 | PA      | $9191.13       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01938 FG 09/35 FIXED 5.5            | CUSIP: 3128LXEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41579 | PA      | $43114.17      | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01953 FG 10/35 FIXED 4.5            | CUSIP: 3128LXE22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     198062 | PA      | $195777.99     | 0.02%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01967 FG 11/30 FIXED 5.5            | CUSIP: 3128LXFG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10183 | PA      | $10230.78      | 0.00%             | 2030-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01974 FG 12/35 FIXED 5              | CUSIP: 3128LXFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60034 | PA      | $61433.45      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G01975 FG 06/35 FIXED 6              | CUSIP: 3128LXFQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17285 | PA      | $17914.05      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02085 FG 03/36 FIXED 6              | CUSIP: 3128LXJ68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1369 | PA      | $1425.33       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02162 FG 05/36 FIXED 5.5            | CUSIP: 3128LXMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13477 | PA      | $13985.51      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02188 FG 06/36 FIXED 5              | CUSIP: 3128LXND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20177 | PA      | $20646.94      | 0.00%             | 2036-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02236 FG 06/36 FIXED 5.5            | CUSIP: 3128LXPV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $229.60        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02249 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14231 | PA      | $14768.50      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02252 FG 07/36 FIXED 5.5            | CUSIP: 3128LXQD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21469 | PA      | $22300.94      | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02308 FG 09/36 FIXED 5.5            | CUSIP: 3128LXR51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3125 | PA      | $3242.14       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02360 FG 10/36 FIXED 5.5            | CUSIP: 3128LXTR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3118 | PA      | $3169.84       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02419 FG 10/36 FIXED 6.5            | CUSIP: 3128M4AU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8168 | PA      | $8471.50       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02424 FG 12/36 FIXED 5.5            | CUSIP: 3128M4AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147969 | PA      | $153675.41     | 0.01%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02427 FG 12/36 FIXED 5.5            | CUSIP: 3128M4A45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6712 | PA      | $6973.47       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02498 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27278 | PA      | $28694.63      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02499 FG 12/36 FIXED 6.5            | CUSIP: 3128M4DC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16923 | PA      | $17969.09      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02608 FG 02/37 FIXED 5.5            | CUSIP: 3128M4GR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7555 | PA      | $7849.76       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02620 FG 02/37 FIXED 5.5            | CUSIP: 3128M4G56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        811 | PA      | $842.30        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02683 FG 02/37 FIXED 6.5            | CUSIP: 3128M4J46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14670 | PA      | $15244.92      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02689 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21430 | PA      | $22448.01      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02700 FG 01/37 FIXED 6.5            | CUSIP: 3128M4KM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1323.41       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02788 FG 03/37 FIXED 5.5            | CUSIP: 3128M4ND1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11459 | PA      | $11905.84      | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02967 FG 05/37 FIXED 5.5            | CUSIP: 3128M4TY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128439 | PA      | $133456.46     | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G02976 FG 06/37 FIXED 5.5            | CUSIP: 3128M4T94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16712 | PA      | $17364.66      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03052 FG 06/37 FIXED 5.5            | CUSIP: 3128M4WM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3406 | PA      | $3538.71       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03073 FG 07/37 FIXED 5.5            | CUSIP: 3128M4XA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11646 | PA      | $12100.85      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03111 FG 05/37 FIXED 5.5            | CUSIP: 3128M4YG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6080 | PA      | $6317.54       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03112 FG 06/37 FIXED 6.5            | CUSIP: 3128M4YH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12186 | PA      | $12638.07      | 0.00%             | 2037-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03117 FG 11/36 FIXED 6.5            | CUSIP: 3128M4YN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68008 | PA      | $70532.42      | 0.01%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03122 FG 07/37 FIXED 5.5            | CUSIP: 3128M4YT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10772 | PA      | $11192.48      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03132 FG 07/37 FIXED 5.5            | CUSIP: 3128M4Y56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10167 | PA      | $10529.43      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5            | CUSIP: 3128M4ZV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4188 | PA      | $4351.27       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03202 FG 09/37 FIXED 5.5            | CUSIP: 3128M43K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13637 | PA      | $14168.40      | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03204 FG 11/35 FIXED 5.5            | CUSIP: 3128M43M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56544 | PA      | $58665.88      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03240 FG 05/37 FIXED 5.5            | CUSIP: 3128M44Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3687 | PA      | $3830.59       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03290 FG 08/36 FIXED 5.5            | CUSIP: 3128M47B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9922 | PA      | $10300.73      | 0.00%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03320 FG 09/37 FIXED 5.5            | CUSIP: 3128M5AV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12274 | PA      | $12753.00      | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03328 FG 09/37 FIXED 5.5            | CUSIP: 3128M5A59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8200 | PA      | $8520.14       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03368 FG 12/33 FIXED 6.5            | CUSIP: 3128M5CD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3278 | PA      | $3408.05       | 0.00%             | 2033-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5            | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     398058 | PA      | $402362.09     | 0.03%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03432 FG 11/37 FIXED 5.5            | CUSIP: 3128M5ED8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119638 | PA      | $123717.54     | 0.01%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03447 FG 10/37 FIXED 5.5            | CUSIP: 3128M5EU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5716 | PA      | $5938.75       | 0.00%             | 2037-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03458 FG 11/37 FIXED 5.5            | CUSIP: 3128M5E71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1540 | PA      | $1599.75       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03498 FG 11/37 FIXED 5.5            | CUSIP: 3128M5GF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3515 | PA      | $3652.18       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03526 FG 06/36 FIXED 5.5            | CUSIP: 3128M5HB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16933 | PA      | $17568.23      | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03591 FG 11/37 FIXED 5.5            | CUSIP: 3128M5KC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5658 | PA      | $5878.33       | 0.00%             | 2037-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03614 FG 05/37 FIXED 5.5            | CUSIP: 3128M5K33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68051 | PA      | $70704.84      | 0.01%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03696 FG 01/38 FIXED 5.5            | CUSIP: 3128M5NM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        359 | PA      | $372.53        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03780 FG 01/38 FIXED 5.5            | CUSIP: 3128M5Q94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        326 | PA      | $338.30        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5            | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221874 | PA      | $230546.63     | 0.02%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03832 FG 01/38 FIXED 5.5            | CUSIP: 3128M5SV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     834894 | PA      | $867465.09     | 0.07%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03837 FG 02/38 FIXED 5.5            | CUSIP: 3128M5S27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4542 | PA      | $4718.90       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03865 FG 12/37 FIXED 5.5            | CUSIP: 3128M5TW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12476 | PA      | $12962.90      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03870 FG 02/38 FIXED 5              | CUSIP: 3128M5T34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15890 | PA      | $16158.84      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G03964 FG 02/38 FIXED 5.5            | CUSIP: 3128M5WZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13651 | PA      | $14184.32      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04044 FG 03/38 FIXED 5.5            | CUSIP: 3128M5ZH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33034 | PA      | $34322.14      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04057 FG 12/37 FIXED 5.5            | CUSIP: 3128M5ZW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11475 | PA      | $11813.08      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04144 FG 03/38 FIXED 5.5            | CUSIP: 3128M55D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68142 | PA      | $70799.82      | 0.01%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04162 FG 04/38 FIXED 5.5            | CUSIP: 3128M55X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64605 | PA      | $67129.50      | 0.01%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04216 FG 12/37 FIXED 5.5            | CUSIP: 3128M6AR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32310 | PA      | $33535.64      | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04219 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     403220 | PA      | $418980.11     | 0.03%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04222 FG 04/38 FIXED 5.5            | CUSIP: 3128M6AX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36416 | PA      | $37836.30      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04320 FG 02/38 FIXED 6              | CUSIP: 3128M6DZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10220 | PA      | $10508.93      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04332 FG 03/38 FIXED 5              | CUSIP: 3128M6ED6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85035 | PA      | $86949.72      | 0.01%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04359 FG 06/38 FIXED 5.5            | CUSIP: 3128M6E87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     293569 | PA      | $305044.21     | 0.02%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04399 FG 07/38 FIXED 5.5            | CUSIP: 3128M6GG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12292 | PA      | $12771.27      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04448 FG 07/38 FIXED 5.5            | CUSIP: 3128M6HZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10129 | PA      | $10523.94      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04458 FG 06/38 FIXED 5.5            | CUSIP: 3128M6JB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4128 | PA      | $4288.66       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04503 FG 11/35 FIXED 5.5            | CUSIP: 3128M6KQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26925 | PA      | $27940.78      | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04527 FG 07/38 FIXED 5.5            | CUSIP: 3128M6LG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263570 | PA      | $273851.95     | 0.02%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04531 FG 01/38 FIXED 5.5            | CUSIP: 3128M6LL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19267 | PA      | $19991.93      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04538 FG 03/38 FIXED 5.5            | CUSIP: 3128M6LT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1367 | PA      | $1415.96       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04567 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30547 | PA      | $31738.36      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04573 FG 07/38 FIXED 5.5            | CUSIP: 3128M6MW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22329 | PA      | $23200.40      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04585 FG 02/38 FIXED 5.5            | CUSIP: 3128M6NA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6869 | PA      | $7136.34       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04587 FG 08/38 FIXED 5.5            | CUSIP: 3128M6NC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25269 | PA      | $26254.22      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04590 FG 03/32 FIXED 5.5            | CUSIP: 3128M6NF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        145 | PA      | $145.58        | 0.00%             | 2032-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04595 FG 12/33 FIXED 5.5            | CUSIP: 3128M6NL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15180 | PA      | $15294.68      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04598 FG 10/34 FIXED 5.5            | CUSIP: 3128M6NP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $147.78        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04604 FG 12/34 FIXED 5.5            | CUSIP: 3128M6NV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10260 | PA      | $10609.26      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04613 FG 10/37 FIXED 6              | CUSIP: 3128M6N61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3007 | PA      | $3131.40       | 0.00%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04614 FG 02/34 FIXED 6              | CUSIP: 3128M6N79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27120 | PA      | $28106.50      | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04624 FG 02/33 FIXED 6              | CUSIP: 3128M6PH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18781 | PA      | $19310.33      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04625 FG 06/36 FIXED 6              | CUSIP: 3128M6PJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11788 | PA      | $12121.34      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04626 FG 05/31 FIXED 6              | CUSIP: 3128M6PK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        230 | PA      | $234.52        | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04628 FG 05/33 FIXED 6              | CUSIP: 3128M6PM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12238 | PA      | $12468.52      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04629 FG 01/29 FIXED 6              | CUSIP: 3128M6PN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6010 | PA      | $6112.93       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04630 FG 11/29 FIXED 6              | CUSIP: 3128M6PP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        127 | PA      | $128.79        | 0.00%             | 2029-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04631 FG 01/30 FIXED 6              | CUSIP: 3128M6PQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14489 | PA      | $14747.13      | 0.00%             | 2030-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04633 FG 01/37 FIXED 5              | CUSIP: 3128M6PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5281 | PA      | $5403.98       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04684 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1324 | PA      | $1362.35       | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04688 FG 09/38 FIXED 5.5            | CUSIP: 3128M6RH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44417 | PA      | $46149.14      | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04692 FG 02/35 FIXED 5.5            | CUSIP: 3128M6RM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2019500 | PA      | $2087606.47    | 0.17%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04723 FG 03/38 FIXED 5              | CUSIP: 3128M6SL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1475 | PA      | $1509.31       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04788 FG 09/38 FIXED 5.5            | CUSIP: 3128M6UM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65698 | PA      | $68261.10      | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04794 FG 01/36 FIXED 5.5            | CUSIP: 3128M6UT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44399 | PA      | $46056.27      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04837 FG 09/37 FIXED 5.5            | CUSIP: 3128M6V62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2429 | PA      | $2523.48       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04838 FG 01/38 FIXED 5.5            | CUSIP: 3128M6V70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16853 | PA      | $17503.83      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04845 FG 05/36 FIXED 6              | CUSIP: 3128M6WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1379925 | PA      | $1443332.73    | 0.12%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04891 FG 01/38 FIXED 5.5            | CUSIP: 3128M6XU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58387 | PA      | $60578.58      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G04953 FG 09/38 FIXED 4.5            | CUSIP: 3128M6ZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7814 | PA      | $7740.11       | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05044 FG 08/38 FIXED 5.5            | CUSIP: 3128M65D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46662 | PA      | $48481.29      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05072 FG 01/39 FIXED 5.5            | CUSIP: 3128M66H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22596 | PA      | $23477.22      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05087 FG 01/37 FIXED 5              | CUSIP: 3128M66Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3076 | PA      | $3147.26       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05109 FG 11/36 FIXED 5.5            | CUSIP: 3128M7AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2393 | PA      | $2470.60       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05120 FG 12/38 FIXED 5.5            | CUSIP: 3128M7AV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178924 | PA      | $185918.39     | 0.01%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05122 FG 01/39 FIXED 5.5            | CUSIP: 3128M7AX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36422 | PA      | $37842.25      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05179 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     793704 | PA      | $824656.36     | 0.07%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05181 FG 01/39 FIXED 5.5            | CUSIP: 3128M7CS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76559 | PA      | $79544.84      | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05191 FG 12/38 FIXED 5.5            | CUSIP: 3128M7C46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26599 | PA      | $27638.86      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05267 FG 12/38 FIXED 5.5            | CUSIP: 3128M7FG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18531 | PA      | $19254.02      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05283 FG 01/39 FIXED 5.5            | CUSIP: 3128M7FY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5993 | PA      | $6227.16       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05326 FG 02/38 FIXED 5              | CUSIP: 3128M7HB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1280872 | PA      | $1310727.20    | 0.10%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05329 FG 03/39 FIXED 4.5            | CUSIP: 3128M7HE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122102 | PA      | $121106.15     | 0.01%             | 2039-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05335 FG 03/39 FIXED 5              | CUSIP: 3128M7HL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611456 | PA      | $625567.00     | 0.05%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05479 FG 03/39 FIXED 5.5            | CUSIP: 3128M7M45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132073 | PA      | $137223.37     | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05605 FG 04/39 FIXED 5.5            | CUSIP: 3128M7R24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36598 | PA      | $38025.65      | 0.00%             | 2039-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05651 FG 09/39 FIXED 5              | CUSIP: 3128M7TG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29129 | PA      | $29692.50      | 0.00%             | 2039-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05774 FG 01/40 FIXED 5              | CUSIP: 3128M7XB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95884 | PA      | $97344.21      | 0.01%             | 2040-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05852 FG 03/39 FIXED 5.5            | CUSIP: 3128M7ZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141116 | PA      | $146633.70     | 0.01%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05860 FG 02/40 FIXED 5.5            | CUSIP: 3128M7ZZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17145 | PA      | $17813.39      | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05891 FG 06/39 FIXED 5.5            | CUSIP: 3128M72Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50905 | PA      | $52890.63      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05922 FG 07/39 FIXED 5.5            | CUSIP: 3128M74F0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34496 | PA      | $35486.42      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05923 FG 02/40 FIXED 5.5            | CUSIP: 3128M74G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5534 | PA      | $5749.60       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5            | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8310 | PA      | $8634.10       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06020 FG 12/39 FIXED 5.5            | CUSIP: 3128M8AV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20082 | PA      | $20865.20      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06021 FG 01/40 FIXED 5.5            | CUSIP: 3128M8AW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67356 | PA      | $69982.86      | 0.01%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06031 FG 03/40 FIXED 5.5            | CUSIP: 3128M8A87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148690 | PA      | $154489.75     | 0.01%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06091 FG 05/40 FIXED 5.5            | CUSIP: 3128M8C44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33292 | PA      | $34590.98      | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06193 FG 05/40 FIXED 5.5            | CUSIP: 3128M8GA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60923 | PA      | $63299.51      | 0.01%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06249 FG 05/40 FIXED 6              | CUSIP: 3128M8H23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6462 | PA      | $6704.10       | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06353 FG 12/39 FIXED 5.5            | CUSIP: 3128M8MA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20351 | PA      | $21145.14      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06385 FG 08/40 FIXED 5.5            | CUSIP: 3128M8NA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24150 | PA      | $25092.35      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06614 FG 12/35 FIXED 5              | CUSIP: 3128M8VF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55027 | PA      | $55621.25      | 0.00%             | 2035-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06729 FG 08/40 FIXED 5.5            | CUSIP: 3128M8Y24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89391 | PA      | $92755.69      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06872 FG 09/39 FIXED 5.5            | CUSIP: 3128M86H2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160170 | PA      | $166415.84     | 0.01%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06951 FG 08/40 FIXED 5.5            | CUSIP: 3128M9BU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11028 | PA      | $11457.68      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G06954 FG 05/40 FIXED 6              | CUSIP: 3128M9BX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39301 | PA      | $40831.68      | 0.00%             | 2040-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G07165 FG 12/41 FIXED 4.5            | CUSIP: 3128M9JJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1832161 | PA      | $1819108.52    | 0.15%             | 2041-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G07386 FG 08/40 FIXED 5.5            | CUSIP: 3128M9RF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92561 | PA      | $96169.63      | 0.01%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08045 FG 03/35 FIXED 5              | CUSIP: 3128MJBP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12956 | PA      | $13257.66      | 0.00%             | 2035-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08111 FG 02/36 FIXED 5.5            | CUSIP: 3128MJDR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24618 | PA      | $25538.58      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08118 FG 03/36 FIXED 6.5            | CUSIP: 3128MJDY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7932 | PA      | $8432.45       | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08147 FG 08/36 FIXED 6.5            | CUSIP: 3128MJEV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85014 | PA      | $88704.92      | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08175 FG 01/37 FIXED 6.5            | CUSIP: 3128MJFR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13585 | PA      | $14441.27      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08192 FG 04/37 FIXED 5.5            | CUSIP: 3128MJGA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10402 | PA      | $10808.94      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08221 FG 09/37 FIXED 5.5            | CUSIP: 3128MJG79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3068 | PA      | $3187.69       | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08269 FG 05/38 FIXED 5.5            | CUSIP: 3128MJJP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5966 | PA      | $6199.03       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08314 FG 01/39 FIXED 5.5            | CUSIP: 3128MJK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121975 | PA      | $126744.22     | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08378 FG 10/39 FIXED 6              | CUSIP: 3128MJM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16416 | PA      | $16853.47      | 0.00%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08443 FG 04/41 FIXED 4.5            | CUSIP: 3128MJP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9584 | PA      | $9520.89       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08448 FG 05/41 FIXED 5              | CUSIP: 3128MJQA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53204 | PA      | $53870.76      | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G08456 FG 07/41 FIXED 5              | CUSIP: 3128MJQJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9838 | PA      | $9819.33       | 0.00%             | 2041-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30377 FG 12/27 FIXED 6              | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28514 | PA      | $29002.45      | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30393 FG 05/28 FIXED 6              | CUSIP: 3128CUNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8251 | PA      | $8392.68       | 0.00%             | 2028-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30412 FG 03/28 FIXED 6              | CUSIP: 3128CUN51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21842 | PA      | $22215.67      | 0.00%             | 2028-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30419 FG 11/28 FIXED 5              | CUSIP: 3128CUPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52559 | PA      | $52935.39      | 0.00%             | 2028-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30450 FG 01/29 FIXED 6              | CUSIP: 3128CUQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1644 | PA      | $1671.94       | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G30607 FG 09/32 FIXED 3.5            | CUSIP: 3128CUU87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1582400 | PA      | $1535529.07    | 0.12%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL G80135 FG 10/24 FIXED 7              | CUSIP: 31335PEG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1470 | PA      | $1467.91       | 0.00%             | 2024-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL N31300 FG 07/36 FIXED 4.5            | CUSIP: 31281BNR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5375 | PA      | $5255.12       | 0.00%             | 2036-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL P28000 FG 12/34 FIXED 5.5            | CUSIP: 3128M2AA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16072 | PA      | $16122.52      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q00626 FG 05/41 FIXED 5              | CUSIP: 3132GDVT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6332 | PA      | $6313.28       | 0.00%             | 2041-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01226 FG 06/41 FIXED 5              | CUSIP: 3132GELF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5282 | PA      | $5309.75       | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01242 FG 06/41 FIXED 5.5            | CUSIP: 3132GELX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20266 | PA      | $20400.49      | 0.00%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01304 FG 06/41 FIXED 5              | CUSIP: 3132GENV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141247 | PA      | $143324.92     | 0.01%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01325 FG 06/41 FIXED 5.5            | CUSIP: 3132GEPJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108217 | PA      | $108747.85     | 0.01%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01328 FG 06/41 FIXED 5.5            | CUSIP: 3132GEPM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1031539 | PA      | $1065301.73    | 0.08%             | 2041-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01446 FG 06/41 FIXED 5              | CUSIP: 3132GETB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13638 | PA      | $13801.70      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q01708 FG 06/41 FIXED 5              | CUSIP: 3132GE3R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15458 | PA      | $15444.21      | 0.00%             | 2041-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q12934 FG 11/42 FIXED 3              | CUSIP: 3132HPHK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30324 | PA      | $27621.16      | 0.00%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q17395 FG 04/43 FIXED 3              | CUSIP: 3132J8UV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50899 | PA      | $46418.33      | 0.00%             | 2043-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q19119 FG 06/43 FIXED 3              | CUSIP: 3132JASH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93785 | PA      | $85528.29      | 0.01%             | 2043-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q21792 FG 09/43 FIXED 4.5            | CUSIP: 3132JN7D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226398 | PA      | $223975.72     | 0.02%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q25578 FG 04/44 FIXED 4              | CUSIP: 3132M52K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110984 | PA      | $108180.96     | 0.01%             | 2044-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q35988 FG 09/45 FIXED 4              | CUSIP: 3132QSUN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     327810 | PA      | $315724.01     | 0.03%             | 2045-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q56464 FG 06/48 FIXED 4              | CUSIP: 3132Y0FE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1103404 | PA      | $1054835.84    | 0.08%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q56894 FG 06/48 FIXED 4              | CUSIP: 3132Y0UU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     764543 | PA      | $730532.28     | 0.06%             | 2048-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL Q60520 FG 12/48 FIXED 4              | CUSIP: 3132VLSJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1982547 | PA      | $1894350.24    | 0.15%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QA4115 FR 11/49 FIXED 3              | CUSIP: 31339USC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3281264 | PA      | $2941165.69    | 0.23%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QB6642 FR 12/50 FIXED 1.5            | CUSIP: 3133ADLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     123054 | PA      | $95202.91      | 0.01%             | 2050-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QB7854 FR 01/51 FIXED 2.5            | CUSIP: 3133AEWP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     719103 | PA      | $611570.63     | 0.05%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QB9007 FR 02/51 FIXED 1.5            | CUSIP: 3133AGAG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27116 | PA      | $20981.27      | 0.00%             | 2051-02-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QC2713 FR 04/51 FIXED 1.5            | CUSIP: 3133AMAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50877 | PA      | $39367.23      | 0.00%             | 2051-04-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QC8831 FR 10/51 FIXED 3              | CUSIP: 3133ATY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1423754 | PA      | $1263392.67    | 0.10%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD2618 FR 12/51 FIXED 3              | CUSIP: 3133AY4B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2234460 | PA      | $1969466.46    | 0.16%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD2732 FR 12/51 FIXED 3              | CUSIP: 3133B0A94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7619870 | PA      | $6716201.54    | 0.54%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD8806 FR 03/52 FIXED 3              | CUSIP: 3133B6YB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     363013 | PA      | $319190.22     | 0.03%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD8810 FR 03/52 FIXED 3              | CUSIP: 3133B6YF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     674512 | PA      | $593977.39     | 0.05%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD9433 FR 03/52 FIXED 3              | CUSIP: 3133B7PS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     519561 | PA      | $457430.52     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD9434 FR 03/52 FIXED 3              | CUSIP: 3133B7PT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221117 | PA      | $194883.49     | 0.02%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD9605 FR 04/52 FIXED 3              | CUSIP: 3133B7U63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     270990 | PA      | $238715.38     | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL QD9717 FR 04/52 FIXED 3              | CUSIP: 3133B7YN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     416498 | PA      | $367086.07     | 0.03%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA2134 FR 02/50 FIXED 3.5            | CUSIP: 3133KHLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     862812 | PA      | $800068.86     | 0.06%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA4216 FR 12/50 FIXED 2.5            | CUSIP: 3133KKVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4963143 | PA      | $4221947.92    | 0.34%             | 2050-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA5057 FR 04/51 FIXED 3              | CUSIP: 3133KLTN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7892906 | PA      | $6956992.69    | 0.55%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA5502 FR 06/51 FIXED 3              | CUSIP: 3133KMDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2959344 | PA      | $2608396.01    | 0.21%             | 2051-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA6354 FR 11/51 FIXED 3.5            | CUSIP: 3133KNBX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1004494 | PA      | $915822.00     | 0.07%             | 2051-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA7000 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     985574 | PA      | $837045.19     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA7001 FR 03/52 FIXED 2.5            | CUSIP: 3133KNX65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     993839 | PA      | $847299.76     | 0.07%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA7020 FR 03/52 FIXED 2.5            | CUSIP: 3133KNYR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     339253 | PA      | $288126.59     | 0.02%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RA7130 FR 04/52 FIXED 3              | CUSIP: 3133KN4P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3783687 | PA      | $3332456.22    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RB5162 FR 06/42 FIXED 3              | CUSIP: 3133KYWX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7572456 | PA      | $6772211.52    | 0.54%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RB5166 FR 07/42 FIXED 3              | CUSIP: 3133KYW39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     741695 | PA      | $663311.43     | 0.05%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RB5173 FR 08/42 FIXED 3              | CUSIP: 3133KYXA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     255064 | PA      | $228108.12     | 0.02%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RB5180 FR 08/42 FIXED 3              | CUSIP: 3133KYXH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8538 | PA      | $7636.04       | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL RC1860 FR 04/36 FIXED 2              | CUSIP: 3133L8B53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9928736 | PA      | $8867954.35    | 0.71%             | 2036-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SC0050 FR 02/40 FIXED 3              | CUSIP: 3132D9BT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5910912 | PA      | $5372305.37    | 0.43%             | 2040-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD0935 FR 04/52 FIXED 3              | CUSIP: 3132DNBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3863239 | PA      | $3397899.21    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD0940 FR 03/52 FIXED 3              | CUSIP: 3132DNBH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     600091 | PA      | $528687.70     | 0.04%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD0941 FR 04/52 FIXED 3              | CUSIP: 3132DNBJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500613 | PA      | $1325480.19    | 0.11%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD0963 FR 01/52 FIXED 3.5            | CUSIP: 3132DNB85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     876661 | PA      | $798291.82     | 0.06%             | 2052-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD7518 FR 06/50 FIXED 3              | CUSIP: 3132DVK79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16789193 | PA      | $14968435.78   | 1.19%             | 2050-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL SD8129 FR 02/51 FIXED 2.5            | CUSIP: 3132DWA60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16124774 | PA      | $13746670.93   | 1.10%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL T62071 FG 08/46 FIXED 3              | CUSIP: 3128S3JQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     693234 | PA      | $616123.46     | 0.05%             | 2046-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL U63001 FG 07/43 FIXED 3              | CUSIP: 3132JRKN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1344508 | PA      | $1210723.07    | 0.10%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL U90133 FG 08/42 FIXED 4              | CUSIP: 3132H3EE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4158761 | PA      | $3996239.68    | 0.32%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL U91696 FG 07/43 FIXED 4              | CUSIP: 3132HBXZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     539213 | PA      | $516945.43     | 0.04%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL V84392 FG 06/48 FIXED 4.5            | CUSIP: 3132L92Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53010 | PA      | $52077.02      | 0.00%             | 2048-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL W30008 FG 05/25 FIXED 7.645          | CUSIP: 3128HJAH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     203881 | PA      | $206006.20     | 0.02%             | 2025-05-01      | Fixed         | 7.64%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZK8509 FR 01/32 FIXED 2.5            | CUSIP: 3131XCN29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     516684 | PA      | $482670.57     | 0.04%             | 2032-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZK8554 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80510 | PA      | $75371.86      | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZK8567 FR 02/32 FIXED 2.5            | CUSIP: 3131XCQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62899 | PA      | $58630.75      | 0.00%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZK8982 FR 10/32 FIXED 2.5            | CUSIP: 3131XC6T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15180 | PA      | $14210.66      | 0.00%             | 2032-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZL2783 FR 03/42 FIXED 3.5            | CUSIP: 3131XJCU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4107 | PA      | $3848.56       | 0.00%             | 2042-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZN1084 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7FZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21881 | PA      | $21051.38      | 0.00%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZN1091 FR 11/33 FIXED 3.5            | CUSIP: 3131Y7F85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263288 | PA      | $253695.63     | 0.02%             | 2033-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZN2458 FR 12/33 FIXED 3.5            | CUSIP: 3131Y8WT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20691 | PA      | $19916.48      | 0.00%             | 2033-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZS3767 FR 07/43 FIXED 3.5            | CUSIP: 3132A4FG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3563 | PA      | $3338.51       | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZS8641 FR 02/32 FIXED 2.5            | CUSIP: 3132A9S65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96531 | PA      | $90364.94      | 0.01%             | 2032-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZS8678 FR 12/32 FIXED 2.5            | CUSIP: 3132A9UB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1744163 | PA      | $1598361.22    | 0.13%             | 2032-12-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                 | FED HM LN PC POOL ZT1339 FR 09/32 FIXED 3.5            | CUSIP: 3132ADPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29412 | PA      | $28429.51      | 0.00%             | 2032-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED P/T SECURITIES E3                    | FHLMC STRUCTURED PASS THROUGH FSPC E3 A                | CUSIP: 3133TCE95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11384 | PA      | $11013.85      | 0.00%             | 2032-08-15      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH T-31                    | FHLMC STRUCTURED PASS THROUGH FSPC T 31 A7             | CUSIP: 3133TR7C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81895 | PA      | $81215.22      | 0.01%             | 2031-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-34                   | FHLMC STRUCTURED PASS THROUGH FSPC T 34 A1V            | CUSIP: 3133985T2<br>LEI: N/A                  | Long             | ABS-O            | USGSE             | US        |      35102 | PA      | $34607.61      | 0.00%             | 2031-07-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                   | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A              | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46284 | PA      | $46097.82      | 0.00%             | 2031-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                   | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1            | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153635 | PA      | $154695.16     | 0.01%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC-GNMA-21                                         | FHLMC GNMA FHG 21 IB                                   | CUSIP: 3133T1XM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        763 | PA      | $14.54         | 0.00%             | 2023-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHR 2046                                              | FREDDIE MAC FHR 2046 G                                 | CUSIP: 3133TDCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4337 | PA      | $4444.16       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIRST NATIONWIDE TRUST 2001-3                         | FIRST NATIONWIDE TRUST FNT 2001 3 1A1                  | CUSIP: 22540A3S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4682 | PA      | $4421.25       | 0.00%             | 2031-08-21      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FIRST PLUS HOME LOAN TRUST 1998-3                     | FIRST PLUS HOME LOAN TRUST FPLUS 1998 3 A8             | CUSIP: 337925DU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353756 | PA      | $1478.22       | 0.00%             | 2024-05-10      | Variable      | 7.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 004582 FN 01/24 FLOATING VAR                 | CUSIP: 31360FCT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $67.67         | 0.00%             | 2024-01-01      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 021558 FN 06/25 FLOATING VAR                 | CUSIP: 3136055T0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        141 | PA      | $139.38        | 0.00%             | 2025-06-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 031848 FN 08/26 FLOATING VAR                 | CUSIP: 31361HL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        720 | PA      | $713.68        | 0.00%             | 2026-08-01      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 052597 FN 07/27 FLOATING VAR                 | CUSIP: 313617NN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        838 | PA      | $823.93        | 0.00%             | 2027-07-01      | Floating      | 3.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 060679 FN 01/28 FLOATING VAR                 | CUSIP: 31362GM40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $512.48        | 0.00%             | 2028-01-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 060680 FN 02/28 FLOATING VAR                 | CUSIP: 31362GM57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12577 | PA      | $12455.91      | 0.00%             | 2028-02-01      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 065581 FN 08/28 FLOATING VAR                 | CUSIP: 31362M2N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15981 | PA      | $15933.12      | 0.00%             | 2028-08-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 067697 FN 11/28 FLOATING VAR                 | CUSIP: 31362QGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17514 | PA      | $17281.32      | 0.00%             | 2028-11-01      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 068530 FN 09/27 FLOATING VAR                 | CUSIP: 31362REB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $123.39        | 0.00%             | 2027-09-01      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 086636 FN 01/29 FLOATING VAR                 | CUSIP: 31363EHM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3573 | PA      | $3540.52       | 0.00%             | 2029-01-01      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 124937 FN 06/23 FLOATING VAR                 | CUSIP: 31365DV69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        893 | PA      | $886.15        | 0.00%             | 2023-06-01      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 137825 FN 10/31 FLOATING VAR                 | CUSIP: 31365UA23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14643 | PA      | $14106.05      | 0.00%             | 2031-10-01      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 190880 FN 11/28 FLOATING VAR                 | CUSIP: 31368H6R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14012 | PA      | $13921.73      | 0.00%             | 2028-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 190937 FN 03/24 FLOATING VAR                 | CUSIP: 31368JBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        897 | PA      | $885.08        | 0.00%             | 2024-03-01      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 223535 FN 12/30 FLOATING VAR                 | CUSIP: 31369XHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29438 | PA      | $29311.38      | 0.00%             | 2030-12-01      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 224713 FN 02/31 FLOATING VAR                 | CUSIP: 31369YSA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14821 | PA      | $15375.49      | 0.00%             | 2031-02-01      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 246416 FN 10/23 FLOATING VAR                 | CUSIP: 31371AVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1286 | PA      | $1276.36       | 0.00%             | 2023-10-01      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 249898 FN 12/23 FLOATING VAR                 | CUSIP: 31371ERT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1245 | PA      | $1232.54       | 0.00%             | 2023-12-01      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252059 FN 08/28 FIXED 6.5                    | CUSIP: 31371G5U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        914 | PA      | $938.04        | 0.00%             | 2028-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252111 FN 09/28 FIXED 6.5                    | CUSIP: 31371HAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $837.02        | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252180 FN 10/28 FIXED 6.5                    | CUSIP: 31371HCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        824 | PA      | $845.59        | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252342 FN 04/29 FIXED 6.5                    | CUSIP: 31371HHT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        237 | PA      | $245.45        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252453 FN 03/29 FIXED 6.5                    | CUSIP: 31371HMA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        658 | PA      | $679.60        | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 252469 FN 10/28 FIXED 7.5                    | CUSIP: 31371HMS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17816 | PA      | $17816.13      | 0.00%             | 2028-10-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254006 FN 10/31 FIXED 6                      | CUSIP: 31371KDK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        205 | PA      | $209.40        | 0.00%             | 2031-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254146 FN 01/32 FIXED 6                      | CUSIP: 31371KHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3065 | PA      | $3172.88       | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254447 FN 09/32 FIXED 6                      | CUSIP: 31371KTC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5477 | PA      | $5669.88       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254478 FN 10/32 FIXED 6                      | CUSIP: 31371KUB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6390 | PA      | $6614.61       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254595 FN 01/33 FIXED 6                      | CUSIP: 31371KXY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21679 | PA      | $22442.30      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254676 FN 03/33 FIXED 6                      | CUSIP: 31371K2H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1729 | PA      | $1790.30       | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254796 FN 07/33 FIXED 6.5                    | CUSIP: 31371K7H8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5427 | PA      | $5657.04       | 0.00%             | 2033-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 254933 FN 09/33 FIXED 6.5                    | CUSIP: 31371LEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6208 | PA      | $6490.82       | 0.00%             | 2033-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 255116 FN 02/34 FIXED 6.5                    | CUSIP: 31371LK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        466 | PA      | $491.96        | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 255741 FN 06/35 FIXED 6                      | CUSIP: 31371MBJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36999 | PA      | $38304.81      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 255892 FN 09/25 FIXED 5                      | CUSIP: 31371MF93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7123 | PA      | $7062.65       | 0.00%             | 2025-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 255894 FN 10/25 FIXED 5                      | CUSIP: 31371MGB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13878 | PA      | $13827.10      | 0.00%             | 2025-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256023 FN 12/35 FIXED 6                      | CUSIP: 31371MLC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165521 | PA      | $172037.45     | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256045 FN 12/25 FIXED 5                      | CUSIP: 31371ML21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47612 | PA      | $47437.56      | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256086 FN 12/25 FIXED 5                      | CUSIP: 31371MNB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34415 | PA      | $34288.67      | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256170 FN 03/26 FIXED 5                      | CUSIP: 31371MQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56309 | PA      | $56102.83      | 0.00%             | 2026-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256175 FN 02/26 FIXED 6.5                    | CUSIP: 31371MQ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8828 | PA      | $9055.59       | 0.00%             | 2026-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256253 FN 05/26 FIXED 5                      | CUSIP: 31371MTJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        898 | PA      | $892.96        | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256343 FN 06/26 FIXED 5                      | CUSIP: 31371MWC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46309 | PA      | $45712.39      | 0.00%             | 2026-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256393 FN 09/36 FIXED 6                      | CUSIP: 31371MXW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61761 | PA      | $64444.35      | 0.01%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256449 FN 10/26 FIXED 6.5                    | CUSIP: 31371MZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36890 | PA      | $37841.02      | 0.00%             | 2026-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256450 FN 10/36 FIXED 5.5                    | CUSIP: 31371MZP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2849 | PA      | $2838.55       | 0.00%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256639 FN 02/27 FIXED 5                      | CUSIP: 31371NBG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9625 | PA      | $9589.58       | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256653 FN 03/27 FIXED 6.5                    | CUSIP: 31371NBW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14200 | PA      | $14566.41      | 0.00%             | 2027-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256789 FN 06/27 FIXED 6.5                    | CUSIP: 31371NF67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15382 | PA      | $15778.30      | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256821 FN 07/27 FIXED 6.5                    | CUSIP: 31371NG66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22694 | PA      | $23278.95      | 0.00%             | 2027-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256856 FN 08/27 FIXED 6.5                    | CUSIP: 31371NH99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        960 | PA      | $984.32        | 0.00%             | 2027-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 256946 FN 10/27 FIXED 6.5                    | CUSIP: 31371NL37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48738 | PA      | $49995.13      | 0.00%             | 2027-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257077 FN 02/23 FIXED 5.5                    | CUSIP: 31371NQ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          6 | PA      | $5.85          | 0.00%             | 2023-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257163 FN 04/28 FIXED 5                      | CUSIP: 31371NTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127475 | PA      | $128247.56     | 0.01%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257224 FN 04/23 FIXED 6                      | CUSIP: 31371NVR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $121.52        | 0.00%             | 2023-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257230 FN 06/38 FIXED 5                      | CUSIP: 31371NVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97108 | PA      | $99023.80      | 0.01%             | 2038-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257341 FN 08/23 FIXED 6                      | CUSIP: 31371NZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        218 | PA      | $217.54        | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257531 FN 11/28 FIXED 6.5                    | CUSIP: 31371PA83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7254 | PA      | $7441.29       | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 257540 FN 01/24 FIXED 6                      | CUSIP: 31371PBH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9451 | PA      | $9409.36       | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 271286 FN 02/24 FLOATING VAR                 | CUSIP: 31372FJ77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12564 | PA      | $12385.03      | 0.00%             | 2024-02-01      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 303463 FN 06/29 FLOATING VAR                 | CUSIP: 31373UB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        353 | PA      | $348.72        | 0.00%             | 2029-06-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 303744 FN 02/31 FLOATING VAR                 | CUSIP: 31373ULZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25252 | PA      | $25203.56      | 0.00%             | 2031-02-01      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 303959 FN 05/26 FLOATING VAR                 | CUSIP: 31373UTQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        581 | PA      | $574.52        | 0.00%             | 2026-05-01      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 313219 FN 11/25 FIXED VAR                    | CUSIP: 31374F4C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        463 | PA      | $470.93        | 0.00%             | 2025-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 313343 FN 02/27 FLOATING VAR                 | CUSIP: 31374GBL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3789 | PA      | $3695.10       | 0.00%             | 2027-02-01      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 313783 FN 05/36 FLOATING VAR                 | CUSIP: 31374GRC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2137 | PA      | $2068.51       | 0.00%             | 2036-05-01      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 313968 FN 12/27 FLOATING VAR                 | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6410 | PA      | $6275.91       | 0.00%             | 2027-12-01      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323044 FN 08/29 FLOATING VAR                 | CUSIP: 31374SZH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        789 | PA      | $776.38        | 0.00%             | 2029-08-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323362 FN 11/28 FIXED VAR                    | CUSIP: 31374TFB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2408 | PA      | $2491.86       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323397 FN 11/28 FIXED VAR                    | CUSIP: 31374TGE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        144 | PA      | $147.85        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323412 FN 12/28 FIXED VAR                    | CUSIP: 31374TGV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1841 | PA      | $1890.60       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323439 FN 12/28 FIXED VAR                    | CUSIP: 31374THQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $402.73        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323591 FN 03/29 FIXED VAR                    | CUSIP: 31374TNG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1547 | PA      | $1587.79       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323621 FN 01/29 FIXED VAR                    | CUSIP: 31374TPE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        690 | PA      | $708.06        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323702 FN 05/29 FIXED VAR                    | CUSIP: 31374TRX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2308 | PA      | $2388.61       | 0.00%             | 2029-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323835 FN 05/29 FIXED VAR                    | CUSIP: 31374TV48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        413 | PA      | $423.56        | 0.00%             | 2029-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 323919 FN 08/29 FLOATING VAR                 | CUSIP: 31374TYQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7703 | PA      | $7617.02       | 0.00%             | 2029-08-01      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 337708 FN 11/25 FLOATING VAR                 | CUSIP: 31375LDM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9389 | PA      | $9281.18       | 0.00%             | 2025-11-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 344313 FN 11/25 FLOATING VAR                 | CUSIP: 31375TN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        208 | PA      | $206.89        | 0.00%             | 2025-11-01      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 347714 FN 06/26 FLOATING VAR                 | CUSIP: 31375XGX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2003 | PA      | $1973.41       | 0.00%             | 2026-06-01      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 357515 FN 03/34 FIXED 5.5                    | CUSIP: 31376KDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7775 | PA      | $8021.05       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 357844 FN 07/35 FIXED 6                      | CUSIP: 31376KP59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63856 | PA      | $66360.16      | 0.01%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 357850 FN 07/35 FIXED 5.5                    | CUSIP: 31376KQB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     197584 | PA      | $204422.46     | 0.02%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 357945 FN 09/35 FIXED 6                      | CUSIP: 31376KTA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $173.30        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 362617 FN 11/26 FLOATING VAR                 | CUSIP: 31376QYN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28123 | PA      | $27702.50      | 0.00%             | 2026-11-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 362968 FN 01/26 FLOATING VAR                 | CUSIP: 31376RFH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25302 | PA      | $24920.33      | 0.00%             | 2026-01-01      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 372394 FN 03/25 FLOATING VAR                 | CUSIP: 31377BUT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $346.00        | 0.00%             | 2025-03-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 373145 FN 02/26 FLOATING VAR                 | CUSIP: 31377CP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3612 | PA      | $3594.81       | 0.00%             | 2026-02-01      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 373182 FN 05/36 FLOATING VAR                 | CUSIP: 31377CRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1587 | PA      | $1559.33       | 0.00%             | 2036-05-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 392411 FN 02/28 FIXED 6.5                    | CUSIP: 31377Z3U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7921 | PA      | $8124.82       | 0.00%             | 2028-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 404494 FN 05/27 FLOATING VAR                 | CUSIP: 31378PKF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2489 | PA      | $2439.12       | 0.00%             | 2027-05-01      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 408204 FN 01/28 FIXED 6.5                    | CUSIP: 31378TNV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $353.72        | 0.00%             | 2028-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 409335 FN 11/28 FIXED 6                      | CUSIP: 31378UV41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $128.00        | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 440657 FN 10/28 FIXED 6.5                    | CUSIP: 31380HQJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         71 | PA      | $73.09         | 0.00%             | 2028-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 440805 FN 09/28 FIXED 6                      | CUSIP: 31380HU62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $184.12        | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 443593 FN 10/28 FIXED 6                      | CUSIP: 31380LXW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        221 | PA      | $224.09        | 0.00%             | 2028-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 444035 FN 11/28 FIXED 6                      | CUSIP: 31380MHL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3772 | PA      | $3833.25       | 0.00%             | 2028-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 446726 FN 09/28 FLOATING VAR                 | CUSIP: 31380QHB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $301.10        | 0.00%             | 2028-09-01      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 449247 FN 01/29 FIXED 6                      | CUSIP: 31380TBQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        333 | PA      | $338.69        | 0.00%             | 2029-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 450838 FN 12/28 FIXED 5.5                    | CUSIP: 31380UZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3686 | PA      | $3699.00       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 452035 FN 11/28 FIXED 5.5                    | CUSIP: 31380WEG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2639 | PA      | $2648.53       | 0.00%             | 2028-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 452329 FN 12/28 FIXED 6                      | CUSIP: 31380WPN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1841 | PA      | $1870.55       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 452469 FN 11/28 FIXED 6.5                    | CUSIP: 31380WT20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        297 | PA      | $304.90        | 0.00%             | 2028-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 452875 FN 12/28 FIXED 6                      | CUSIP: 31380XCL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8569 | PA      | $8707.07       | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 456276 FN 12/28 FIXED 6                      | CUSIP: 31381B2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        233 | PA      | $236.41        | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 456455 FN 01/29 FIXED 6.5                    | CUSIP: 31381CBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        396 | PA      | $405.73        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 457239 FN 10/23 FIXED 6                      | CUSIP: 31381C4Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1984 | PA      | $2016.51       | 0.00%             | 2023-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 457301 FN 02/25 FLOATING VAR                 | CUSIP: 31381DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6492 | PA      | $6366.32       | 0.00%             | 2025-02-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 481483 FN 02/29 FIXED 6                      | CUSIP: 31382F2Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        606 | PA      | $615.42        | 0.00%             | 2029-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 490758 FN 03/29 FIXED 6.5                    | CUSIP: 31382SE72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3378 | PA      | $3486.00       | 0.00%             | 2029-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 494522 FN 04/29 FIXED 5.5                    | CUSIP: 31382WLB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17172 | PA      | $17233.86      | 0.00%             | 2029-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 495508 FN 04/29 FIXED 6.5                    | CUSIP: 31382XNZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        216 | PA      | $222.04        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 496113 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4006 | PA      | $4125.99       | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 496119 FN 04/29 FIXED 6.5                    | CUSIP: 31382YDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        830 | PA      | $851.60        | 0.00%             | 2029-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 503004 FN 06/29 FIXED 6.5                    | CUSIP: 31383GX92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $44.45         | 0.00%             | 2029-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 503934 FN 07/29 FIXED 6.5                    | CUSIP: 31383HY73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        133 | PA      | $135.99        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 504118 FN 06/29 FIXED 6                      | CUSIP: 31383JAT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2437 | PA      | $2476.86       | 0.00%             | 2029-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 505641 FN 06/29 FLOATING VAR                 | CUSIP: 31383KWA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9349 | PA      | $9020.11       | 0.00%             | 2029-06-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 517675 FN 07/29 FIXED 6.5                    | CUSIP: 31384ACL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        298 | PA      | $305.62        | 0.00%             | 2029-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535078 FN 02/29 FIXED VAR                    | CUSIP: 31384VM33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        602 | PA      | $617.31        | 0.00%             | 2029-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535126 FN 12/28 FIXED VAR                    | CUSIP: 31384VPK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20300 | PA      | $21010.68      | 0.00%             | 2028-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535415 FN 05/30 FLOATING VAR                 | CUSIP: 31384VYL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11936 | PA      | $11485.62      | 0.00%             | 2030-05-01      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535533 FN 10/30 FIXED VAR                    | CUSIP: 31384V4S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4126 | PA      | $4324.08       | 0.00%             | 2030-10-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535708 FN 02/31 FIXED VAR                    | CUSIP: 31384WDM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        114 | PA      | $116.67        | 0.00%             | 2031-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 535909 FN 05/31 FIXED VAR                    | CUSIP: 31384WKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $74.08         | 0.00%             | 2031-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 543845 FN 07/30 FIXED 8                      | CUSIP: 31385GES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1851 | PA      | $1908.83       | 0.00%             | 2030-07-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 544781 FN 02/30 FLOATING VAR                 | CUSIP: 31385HFW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32463 | PA      | $32345.57      | 0.00%             | 2030-02-01      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 544860 FN 09/34 FLOATING VAR                 | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1982 | PA      | $2020.03       | 0.00%             | 2034-09-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545010 FN 05/36 FLOATING VAR                 | CUSIP: 31385HN32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2390 | PA      | $2381.79       | 0.00%             | 2036-05-01      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545051 FN 09/29 FIXED VAR                    | CUSIP: 31385HQC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        533 | PA      | $541.67        | 0.00%             | 2029-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545204 FN 05/36 FLOATING VAR                 | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86011 | PA      | $84450.09      | 0.01%             | 2036-05-01      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545511 FN 12/31 FLOATING VAR                 | CUSIP: 31385JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2215 | PA      | $2168.23       | 0.00%             | 2031-12-01      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545944 FN 10/32 FIXED VAR                    | CUSIP: 31385JP51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        649 | PA      | $671.96        | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545980 FN 06/32 FLOATING VAR                 | CUSIP: 31385JQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16168 | PA      | $15959.66      | 0.00%             | 2032-06-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 545998 FN 11/32 FIXED VAR                    | CUSIP: 31385JRT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16559 | PA      | $17141.52      | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 547428 FN 06/30 FLOATING VAR                 | CUSIP: 31385ND97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31345 | PA      | $30103.47      | 0.00%             | 2030-06-01      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 548247 FN 09/30 FLOATING VAR                 | CUSIP: 31385PBQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3126 | PA      | $3092.50       | 0.00%             | 2030-09-01      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 554325 FN 09/30 FLOATING VAR                 | CUSIP: 31385VYW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3913 | PA      | $3770.63       | 0.00%             | 2030-09-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555203 FN 09/32 FIXED VAR                    | CUSIP: 31385WX87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6274 | PA      | $6516.97       | 0.00%             | 2032-09-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555254 FN 01/33 FIXED VAR                    | CUSIP: 31385WZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1170 | PA      | $1200.99       | 0.00%             | 2033-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555272 FN 03/33 FIXED VAR                    | CUSIP: 31385W2D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13823 | PA      | $14310.21      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555281 FN 03/33 FIXED VAR                    | CUSIP: 31385W2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10523 | PA      | $10893.33      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555285 FN 03/33 FIXED VAR                    | CUSIP: 31385W2S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73808 | PA      | $76410.99      | 0.01%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555417 FN 05/33 FIXED VAR                    | CUSIP: 31385XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36036 | PA      | $37305.10      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555436 FN 05/33 FIXED VAR                    | CUSIP: 31385XBD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53038 | PA      | $54905.79      | 0.00%             | 2033-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555528 FN 04/33 FIXED VAR                    | CUSIP: 31385XD95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72756 | PA      | $75317.14      | 0.01%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 555640 FN 07/33 FIXED VAR                    | CUSIP: 31385XHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2741 | PA      | $2837.03       | 0.00%             | 2033-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 559800 FN 09/40 FLOATING VAR                 | CUSIP: 31386C3H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37963 | PA      | $37041.04      | 0.00%             | 2040-09-01      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 559806 FN 10/30 FLOATING VAR                 | CUSIP: 31386C3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104142 | PA      | $101597.59     | 0.01%             | 2030-10-01      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 560551 FN 11/30 FIXED 6.5                    | CUSIP: 31386DWL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7466 | PA      | $7658.38       | 0.00%             | 2030-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 566470 FN 02/31 FIXED 6                      | CUSIP: 31386LJP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3984 | PA      | $4048.23       | 0.00%             | 2031-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 572165 FN 01/31 FIXED 6.5                    | CUSIP: 31386STW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        887 | PA      | $910.04        | 0.00%             | 2031-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 586228 FN 07/31 FIXED 6                      | CUSIP: 31387KHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4100 | PA      | $4167.76       | 0.00%             | 2031-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 588938 FN 06/31 FIXED 6.5                    | CUSIP: 31387NHP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2034 | PA      | $2086.09       | 0.00%             | 2031-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 594198 FN 02/31 FLOATING VAR                 | CUSIP: 31387UDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7570 | PA      | $7531.14       | 0.00%             | 2031-02-01      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 601861 FN 03/31 FIXED 6.5                    | CUSIP: 31388DTS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $772.88        | 0.00%             | 2031-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 602285 FN 08/31 FIXED 6.5                    | CUSIP: 31388ECW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9772 | PA      | $10076.35      | 0.00%             | 2031-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 606116 FN 09/31 FLOATING VAR                 | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4729 | PA      | $4645.35       | 0.00%             | 2031-09-01      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 607283 FN 10/31 FIXED 6.5                    | CUSIP: 31388KUG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $220.71        | 0.00%             | 2031-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 607351 FN 11/31 FLOATING VAR                 | CUSIP: 31388KWL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8805 | PA      | $8661.39       | 0.00%             | 2031-11-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 614894 FN 12/31 FIXED 6                      | CUSIP: 31388UC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $529.35        | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 617707 FN 05/32 FIXED 6                      | CUSIP: 31388XGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8301 | PA      | $8435.20       | 0.00%             | 2032-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 617739 FN 08/32 FIXED 6                      | CUSIP: 31388XHQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7006 | PA      | $7124.59       | 0.00%             | 2032-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 620193 FN 01/32 FIXED 6                      | CUSIP: 31389A7E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16572 | PA      | $16849.10      | 0.00%             | 2032-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 623611 FN 02/32 FIXED 6                      | CUSIP: 31389EYG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83956 | PA      | $85325.88      | 0.01%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 632578 FN 02/32 FIXED 6.5                    | CUSIP: 31389QXF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1946 | PA      | $2022.80       | 0.00%             | 2032-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 634237 FN 03/32 FIXED 6                      | CUSIP: 31389SS21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8215 | PA      | $8357.17       | 0.00%             | 2032-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 634253 FN 03/32 FIXED 6.5                    | CUSIP: 31389STJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16658 | PA      | $17093.86      | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 634302 FN 02/32 FIXED 6                      | CUSIP: 31389SU36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         37 | PA      | $37.65         | 0.00%             | 2032-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 640070 FN 03/32 FIXED 6.5                    | CUSIP: 31390ACF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        700 | PA      | $717.97        | 0.00%             | 2032-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 640225 FN 04/32 FLOATING VAR                 | CUSIP: 31390AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1250 | PA      | $1201.68       | 0.00%             | 2032-04-01      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 641859 FN 04/32 FIXED 6.5                    | CUSIP: 31390CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4122 | PA      | $4228.40       | 0.00%             | 2032-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 647400 FN 09/32 FIXED 6                      | CUSIP: 31390JGH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2602 | PA      | $2644.92       | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 648540 FN 06/32 FIXED 6                      | CUSIP: 31390KPZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7640 | PA      | $7763.05       | 0.00%             | 2032-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 651100 FN 04/33 FLOATING VAR                 | CUSIP: 31390NKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61106 | PA      | $60066.26      | 0.00%             | 2033-04-01      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 651553 FN 07/32 FLOATING VAR                 | CUSIP: 31390NZS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13554 | PA      | $13401.50      | 0.00%             | 2032-07-01      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 652260 FN 01/30 FLOATING VAR                 | CUSIP: 31390PTR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36003 | PA      | $35099.50      | 0.00%             | 2030-01-01      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 652847 FN 09/32 FIXED 6                      | CUSIP: 31390QHY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17560 | PA      | $17846.14      | 0.00%             | 2032-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 655187 FN 05/32 FIXED 8                      | CUSIP: 31390S2U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1239 | PA      | $1243.41       | 0.00%             | 2032-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 655687 FN 08/32 FIXED 6.5                    | CUSIP: 31390TNC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44439 | PA      | $45598.40      | 0.00%             | 2032-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 657573 FN 10/32 FIXED 6                      | CUSIP: 31390VQ23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4130 | PA      | $4196.54       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 658394 FN 06/33 FIXED 6                      | CUSIP: 31390WNK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        149 | PA      | $151.87        | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 661333 FN 09/32 FIXED 6.5                    | CUSIP: 31391AV22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $224.57        | 0.00%             | 2032-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 665310 FN 10/32 FIXED 6                      | CUSIP: 31391FDP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9812 | PA      | $9970.96       | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 665647 FN 10/32 FIXED 6.5                    | CUSIP: 31391FP85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1771 | PA      | $1816.24       | 0.00%             | 2032-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 666750 FN 11/32 FIXED 6                      | CUSIP: 31391GWK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1313 | PA      | $1336.03       | 0.00%             | 2032-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 667694 FN 01/33 FIXED 6                      | CUSIP: 31391HXX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        676 | PA      | $686.90        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 668342 FN 12/32 FIXED 6                      | CUSIP: 31391JP38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19778 | PA      | $20113.21      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 668895 FN 10/32 FIXED 6                      | CUSIP: 31391KC88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15356 | PA      | $15684.47      | 0.00%             | 2032-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 674740 FN 01/33 FIXED 6                      | CUSIP: 31391RS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75312 | PA      | $76529.05      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 674772 FN 01/33 FIXED 6                      | CUSIP: 31391RT51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49062 | PA      | $49875.19      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 678060 FN 01/33 FIXED 6                      | CUSIP: 31391VJD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27377 | PA      | $28181.04      | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 678128 FN 01/33 FIXED 6                      | CUSIP: 31391VLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130262 | PA      | $132757.18     | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 678132 FN 01/33 FIXED 6                      | CUSIP: 31391VLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        551 | PA      | $559.44        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 678137 FN 01/33 FIXED 6                      | CUSIP: 31391VLS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92592 | PA      | $94088.14      | 0.01%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 678888 FN 01/33 FIXED 6                      | CUSIP: 31391WF55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9131 | PA      | $9445.69       | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 683112 FN 02/33 FIXED 5.5                    | CUSIP: 31400B3V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7765 | PA      | $7910.81       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 683288 FN 02/33 FIXED 5.5                    | CUSIP: 31400CCZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        648 | PA      | $659.62        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 685049 FN 03/34 FIXED 5.5                    | CUSIP: 31400EBS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2689 | PA      | $2698.94       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 685321 FN 02/33 FIXED 6                      | CUSIP: 31400ELA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4802 | PA      | $4943.17       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 685615 FN 02/33 FIXED 6                      | CUSIP: 31400EVG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24612 | PA      | $25009.25      | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 689545 FN 01/33 FIXED 6                      | CUSIP: 31400KBN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        549 | PA      | $558.01        | 0.00%             | 2033-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 689631 FN 02/33 FIXED 5.5                    | CUSIP: 31400KEC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4975 | PA      | $4994.55       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 689635 FN 02/33 FIXED 6                      | CUSIP: 31400KEG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        440 | PA      | $447.45        | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 696940 FN 04/33 FIXED 5.5                    | CUSIP: 31400THR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3981 | PA      | $4072.77       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 702849 FN 04/33 FIXED 6                      | CUSIP: 31401AZN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3908 | PA      | $3971.22       | 0.00%             | 2033-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 703814 FN 05/33 FIXED 5.5                    | CUSIP: 31401B3X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29114 | PA      | $30007.10      | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 704096 FN 05/33 FIXED 5.5                    | CUSIP: 31401CGD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         73 | PA      | $74.80         | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 704664 FN 04/33 FIXED 5.5                    | CUSIP: 31401CZ55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7698 | PA      | $7736.07       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 708631 FN 06/33 FIXED 6                      | CUSIP: 31401HHG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1683 | PA      | $1722.09       | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 711090 FN 07/33 FIXED 5.5                    | CUSIP: 31401K7B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9342 | PA      | $9389.93       | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 713696 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5473 | PA      | $5492.88       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 713697 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3E7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19341 | PA      | $19424.64      | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 713698 FN 08/33 FIXED 5.5                    | CUSIP: 31401N3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4513 | PA      | $4529.73       | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 713947 FN 05/33 FIXED 5.5                    | CUSIP: 31401PEU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7537 | PA      | $7578.98       | 0.00%             | 2033-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 722245 FN 08/33 FIXED 5.5                    | CUSIP: 31401YL29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16536 | PA      | $16615.70      | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 724877 FN 06/33 FIXED 6                      | CUSIP: 31402CJW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7177 | PA      | $7292.60       | 0.00%             | 2033-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 724938 FN 06/33 FIXED 5.5                    | CUSIP: 31402CLT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9922 | PA      | $9957.70       | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725162 FN 02/34 FIXED VAR                    | CUSIP: 31402CTT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2412 | PA      | $2493.12       | 0.00%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725237 FN 03/34 FIXED VAR                    | CUSIP: 31402CV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48875 | PA      | $50597.56      | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725495 FN 02/34 FLOATING VAR                 | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19489 | PA      | $19140.51      | 0.00%             | 2034-02-01      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725773 FN 09/34 FIXED VAR                    | CUSIP: 31402DJS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26441 | PA      | $27306.85      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725815 FN 12/33 FIXED VAR                    | CUSIP: 31402DK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7686 | PA      | $7956.60       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725880 FN 09/34 FIXED VAR                    | CUSIP: 31402DM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        787 | PA      | $821.73        | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725943 FN 10/34 FIXED VAR                    | CUSIP: 31402DP46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6214 | PA      | $6421.47       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 725946 FN 11/34 FIXED VAR                    | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30811 | PA      | $31820.00      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 728723 FN 07/33 FIXED 5.5                    | CUSIP: 31402GSL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54756 | PA      | $56037.68      | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 730470 FN 08/33 FIXED 5.5                    | CUSIP: 31402JQX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        104 | PA      | $107.09        | 0.00%             | 2033-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735362 FN 03/35 FLOATING VAR                 | CUSIP: 31402Q5X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14745 | PA      | $14682.19      | 0.00%             | 2035-03-01      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735501 FN 05/35 FIXED VAR                    | CUSIP: 31402RDE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200552 | PA      | $211963.53     | 0.02%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735504 FN 04/35 FIXED VAR                    | CUSIP: 31402RDH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90921 | PA      | $94124.48      | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735642 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171283 | PA      | $163657.07     | 0.01%             | 2042-08-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735643 FN 08/42 FLOATING VAR                 | CUSIP: 31402RHU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     180795 | PA      | $172097.44     | 0.01%             | 2042-08-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735649 FN 12/32 FIXED VAR                    | CUSIP: 31402RH28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10246 | PA      | $10607.34      | 0.00%             | 2032-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735653 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83641 | PA      | $79682.91      | 0.01%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735654 FN 10/44 FLOATING VAR                 | CUSIP: 31402RH77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222797 | PA      | $211608.20     | 0.02%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735754 FN 07/35 FLOATING VAR                 | CUSIP: 31402RMB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27815 | PA      | $27339.29      | 0.00%             | 2035-07-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735806 FN 06/35 FLOATING VAR                 | CUSIP: 31402RNX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22496 | PA      | $22124.71      | 0.00%             | 2035-06-01      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735883 FN 03/33 FIXED VAR                    | CUSIP: 31402RRC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20109 | PA      | $20836.65      | 0.00%             | 2033-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 735903 FN 06/35 FIXED VAR                    | CUSIP: 31402RRY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12945 | PA      | $13153.93      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 739739 FN 12/33 FIXED 5.5                    | CUSIP: 31402VZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $147.06        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 739755 FN 01/34 FIXED 5.5                    | CUSIP: 31402VZU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118185 | PA      | $118839.69     | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 740173 FN 09/33 FIXED 5.5                    | CUSIP: 31402WJS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4471 | PA      | $4605.68       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 741862 FN 09/33 FIXED 5.5                    | CUSIP: 31402YFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3809 | PA      | $3931.73       | 0.00%             | 2033-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 742947 FN 10/33 FIXED 5.5                    | CUSIP: 31403AL45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         49 | PA      | $50.20         | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 745257 FN 01/36 FIXED VAR                    | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3947 | PA      | $4092.54       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 745281 FN 01/36 FIXED VAR                    | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7479 | PA      | $7743.04       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 745636 FN 06/35 FIXED VAR                    | CUSIP: 31403DLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     387602 | PA      | $401523.81     | 0.03%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 745637 FN 12/34 FIXED VAR                    | CUSIP: 31403DLS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2681 | PA      | $2804.36       | 0.00%             | 2034-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 748612 FN 01/34 FIXED 5.5                    | CUSIP: 31403GVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14699 | PA      | $14772.73      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 749219 FN 10/33 FIXED 5.5                    | CUSIP: 31403HK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1838 | PA      | $1844.24       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 750486 FN 12/33 FIXED 5.5                    | CUSIP: 31403JXP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13389 | PA      | $13456.50      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 750518 FN 12/33 FIXED 5.5                    | CUSIP: 31403JYP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8251 | PA      | $8292.70       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 750711 FN 10/33 FIXED 6.5                    | CUSIP: 31403KAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7284 | PA      | $7471.63       | 0.00%             | 2033-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 751193 FN 02/34 FIXED 5.5                    | CUSIP: 31403KRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10753 | PA      | $10804.22      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 751203 FN 01/34 FIXED 5.5                    | CUSIP: 31403KRY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2987 | PA      | $2997.47       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 751297 FN 03/34 FIXED 5.5                    | CUSIP: 31403KUW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7514 | PA      | $7541.49       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 751391 FN 03/34 FIXED 5.5                    | CUSIP: 31403KXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2768 | PA      | $2777.81       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 751965 FN 11/33 FIXED 6.5                    | CUSIP: 31403LMN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1657 | PA      | $1701.43       | 0.00%             | 2033-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 752927 FN 03/34 FIXED 5.5                    | CUSIP: 31403MPL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5606 | PA      | $5626.12       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 753079 FN 01/34 FIXED 5.5                    | CUSIP: 31403MUC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4012 | PA      | $4141.60       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 754324 FN 12/33 FIXED 5.5                    | CUSIP: 31403QAZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12007 | PA      | $12050.39      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 754785 FN 04/34 FIXED 5.5                    | CUSIP: 31403QRE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26937 | PA      | $27331.56      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 754803 FN 01/34 FIXED 5.5                    | CUSIP: 31403QRY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5404 | PA      | $5570.39       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 755327 FN 12/33 FIXED 6                      | CUSIP: 31403RD88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6790 | PA      | $6913.13       | 0.00%             | 2033-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 755724 FN 05/34 FIXED 5.5                    | CUSIP: 31403RSM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     263866 | PA      | $272392.54     | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 756181 FN 12/33 FIXED 5.5                    | CUSIP: 31403SCS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8588 | PA      | $8865.80       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 756230 FN 01/34 FIXED 5.5                    | CUSIP: 31403SEB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10017 | PA      | $10342.20      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 757021 FN 04/34 FIXED 5.5                    | CUSIP: 31403TAW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22227 | PA      | $22375.09      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 757194 FN 12/33 FIXED 5.5                    | CUSIP: 31403TGB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47599 | PA      | $47771.75      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 757772 FN 10/34 FIXED 5.5                    | CUSIP: 31403T2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11384 | PA      | $11424.78      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 758788 FN 12/33 FIXED 5.5                    | CUSIP: 31403U6Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23885 | PA      | $24588.49      | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 758789 FN 12/33 FIXED 5.5                    | CUSIP: 31403U7A3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7051 | PA      | $7283.16       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 759000 FN 01/34 FIXED 5.5                    | CUSIP: 31403VGH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59657 | PA      | $60872.76      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 759098 FN 01/34 FIXED 5.5                    | CUSIP: 31403VKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $184.21        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 759477 FN 02/34 FIXED 5.5                    | CUSIP: 31403VXE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6847 | PA      | $7062.71       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 764209 FN 04/34 FIXED 5.5                    | CUSIP: 31404CAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4572 | PA      | $4588.93       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 764229 FN 01/34 FIXED 6.5                    | CUSIP: 31404CA67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3154 | PA      | $3235.64       | 0.00%             | 2034-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 764521 FN 05/34 FIXED 5.5                    | CUSIP: 31404CLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7113 | PA      | $7149.02       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 764548 FN 03/34 FIXED 5.5                    | CUSIP: 31404CL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7678 | PA      | $7705.82       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 765345 FN 06/34 FIXED 5.5                    | CUSIP: 31404DHW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62714 | PA      | $64719.65      | 0.01%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 765414 FN 08/34 FIXED 6.5                    | CUSIP: 31404DK31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        655 | PA      | $671.86        | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 765853 FN 02/34 FIXED 5.5                    | CUSIP: 31404DZS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        684 | PA      | $687.48        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 765983 FN 02/34 FIXED 5.5                    | CUSIP: 31404D6U7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     150099 | PA      | $153146.86     | 0.01%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 766044 FN 02/34 FIXED 6.5                    | CUSIP: 31404EBM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        968 | PA      | $994.30        | 0.00%             | 2034-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 766177 FN 02/34 FIXED 5.5                    | CUSIP: 31404EFS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9748 | PA      | $10041.02      | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 766667 FN 03/34 FIXED 5.5                    | CUSIP: 31404EW44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9002 | PA      | $9117.87       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 766756 FN 03/34 FIXED 5.5                    | CUSIP: 31404EZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15157 | PA      | $15599.24      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 767506 FN 03/34 FIXED 5.5                    | CUSIP: 31404FU76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33504 | PA      | $33928.84      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 768155 FN 03/34 FIXED 5.5                    | CUSIP: 31404GMC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30134 | PA      | $30465.83      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 769017 FN 12/31 FIXED 6                      | CUSIP: 31404HK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8525 | PA      | $8662.64       | 0.00%             | 2031-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 769615 FN 03/34 FIXED 6                      | CUSIP: 31404JAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      74942 | PA      | $76399.22      | 0.01%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 769663 FN 04/34 FIXED 5.5                    | CUSIP: 31404JB87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7728 | PA      | $7756.12       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 769702 FN 04/34 FIXED 5.5                    | CUSIP: 31404JDF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24641 | PA      | $24799.53      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 769802 FN 03/34 FIXED 5.5                    | CUSIP: 31404JGK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37825 | PA      | $38211.99      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 770075 FN 03/34 FIXED 5.5                    | CUSIP: 31404JQ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29541 | PA      | $30490.38      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 770080 FN 03/34 FIXED 5                      | CUSIP: 31404JQ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84436 | PA      | $85250.38      | 0.01%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 770170 FN 03/34 FIXED 6                      | CUSIP: 31404JT39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6856 | PA      | $6975.04       | 0.00%             | 2034-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771022 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26725 | PA      | $27021.98      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771034 FN 04/34 FIXED 5.5                    | CUSIP: 31404KSX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303560 | PA      | $307113.65     | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771130 FN 04/34 FIXED 5.5                    | CUSIP: 31404KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34633 | PA      | $35096.54      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771677 FN 03/34 FIXED 6.5                    | CUSIP: 31404LJW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $519.69        | 0.00%             | 2034-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771778 FN 03/34 FIXED 5.5                    | CUSIP: 31404LM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2070 | PA      | $2137.49       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771910 FN 04/34 FIXED 5.5                    | CUSIP: 31404LR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14811 | PA      | $14878.89      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 771924 FN 05/34 FIXED 5.5                    | CUSIP: 31404LSM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25550 | PA      | $25834.67      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 772297 FN 03/34 FIXED 5.5                    | CUSIP: 31404L7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3619 | PA      | $3631.83       | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 772350 FN 03/34 FIXED 5.5                    | CUSIP: 31404MBT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80462 | PA      | $81358.94      | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773232 FN 01/35 FIXED 5.5                    | CUSIP: 31404NA97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3588 | PA      | $3708.92       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773676 FN 04/34 FIXED 5.5                    | CUSIP: 31404NQ58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10991 | PA      | $11042.74      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773696 FN 04/34 FIXED 5.5                    | CUSIP: 31404NRR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13402 | PA      | $13466.17      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773752 FN 04/34 FIXED 5.5                    | CUSIP: 31404NTH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17599 | PA      | $17685.53      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773846 FN 04/34 FIXED 5.5                    | CUSIP: 31404NWF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4708 | PA      | $4725.10       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 773925 FN 04/34 FIXED 5.5                    | CUSIP: 31404NYW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20214 | PA      | $20345.82      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 774031 FN 04/34 FIXED 5.5                    | CUSIP: 31404N4Q6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32606 | PA      | $33040.24      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 774477 FN 04/34 FIXED 5.5                    | CUSIP: 31404PM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30588 | PA      | $30930.52      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 774936 FN 04/34 FIXED 5.5                    | CUSIP: 31404P4V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21829 | PA      | $21969.27      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775012 FN 04/34 FIXED 5.5                    | CUSIP: 31404QAM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30726 | PA      | $31121.66      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775177 FN 05/34 FIXED 5.5                    | CUSIP: 31404QFS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144001 | PA      | $144576.43     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775217 FN 05/34 FIXED 5.5                    | CUSIP: 31404QG29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31411 | PA      | $31827.40      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775298 FN 05/34 FIXED 5.5                    | CUSIP: 31404QKK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59664 | PA      | $61134.04      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775474 FN 05/34 FIXED 5.5                    | CUSIP: 31404QQ36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22899 | PA      | $23216.67      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775548 FN 05/34 FIXED 5.5                    | CUSIP: 31404QTD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61782 | PA      | $63623.73      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775641 FN 05/34 FIXED 5.5                    | CUSIP: 31404QWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141669 | PA      | $146027.49     | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775776 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2765 | PA      | $2834.05       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775778 FN 05/34 FIXED 5.5                    | CUSIP: 31404Q2K4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16790 | PA      | $17019.38      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 775982 FN 07/34 FLOATING VAR                 | CUSIP: 31404RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75525 | PA      | $74496.52      | 0.01%             | 2034-07-01      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776273 FN 05/34 FIXED 5.5                    | CUSIP: 31404RMW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12735 | PA      | $12794.07      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776376 FN 05/34 FIXED 5.5                    | CUSIP: 31404RQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14984 | PA      | $15420.87      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776396 FN 04/34 FIXED 5.5                    | CUSIP: 31404RRR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4374 | PA      | $4395.94       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776554 FN 04/34 FIXED 5.5                    | CUSIP: 31404RWP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24594 | PA      | $24749.41      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776704 FN 05/34 FIXED 5.5                    | CUSIP: 31404R3M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271937 | PA      | $280837.42     | 0.02%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776973 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     213587 | PA      | $220577.54     | 0.02%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776974 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37059 | PA      | $38283.94      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 776975 FN 04/34 FIXED 5.5                    | CUSIP: 31404SFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22470 | PA      | $23165.93      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 777125 FN 04/34 FIXED 5.5                    | CUSIP: 31404SLE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3322 | PA      | $3379.33       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 777438 FN 04/34 FIXED 5.5                    | CUSIP: 31404SV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2515 | PA      | $2523.93       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 777730 FN 05/34 FIXED 5.5                    | CUSIP: 31404TA78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24218 | PA      | $24353.54      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 777820 FN 04/34 FIXED 5.5                    | CUSIP: 31404TDZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37645 | PA      | $37794.46      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 778066 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4269 | PA      | $4290.52       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 778067 FN 04/34 FIXED 5.5                    | CUSIP: 31404TMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8394 | PA      | $8424.47       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 778068 FN 05/34 FIXED 5.5                    | CUSIP: 31404TMR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9792 | PA      | $9841.81       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 778266 FN 05/34 FIXED 5.5                    | CUSIP: 31404TTX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90709 | PA      | $92911.69      | 0.01%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 778871 FN 06/34 FIXED 5.5                    | CUSIP: 31404UJQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124174 | PA      | $128212.14     | 0.01%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779022 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15316 | PA      | $15449.70      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779027 FN 06/34 FIXED 5.5                    | CUSIP: 31404UPL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44032 | PA      | $44981.47      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779242 FN 06/34 FIXED 5.5                    | CUSIP: 31404UWB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38659 | PA      | $39178.22      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779445 FN 06/34 FIXED 5.5                    | CUSIP: 31404U5E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      78416 | PA      | $80923.88      | 0.01%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779479 FN 06/34 FIXED 5.5                    | CUSIP: 31404U6Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18528 | PA      | $18613.34      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779589 FN 06/34 FIXED 5.5                    | CUSIP: 31404VC22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45404 | PA      | $46318.10      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 779643 FN 07/34 FIXED 5.5                    | CUSIP: 31404VEQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      87630 | PA      | $90561.81      | 0.01%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 780123 FN 05/34 FIXED 5.5                    | CUSIP: 31404VVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38343 | PA      | $38828.51      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 780895 FN 05/34 FIXED 5.5                    | CUSIP: 31404WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24248 | PA      | $25056.74      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781042 FN 06/34 FIXED 5.5                    | CUSIP: 31404WWB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26778 | PA      | $27015.59      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781077 FN 05/34 FIXED 5.5                    | CUSIP: 31404WXE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18204 | PA      | $18289.73      | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781083 FN 05/34 FIXED 5.5                    | CUSIP: 31404WXL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4216 | PA      | $4237.19       | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781629 FN 12/34 FIXED 5.5                    | CUSIP: 31404XLJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35121 | PA      | $36321.92      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781962 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24123 | PA      | $24279.82      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 781964 FN 06/34 FIXED 5.5                    | CUSIP: 31404XWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2326 | PA      | $2353.07       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 782244 FN 07/34 FIXED 5.5                    | CUSIP: 31404YBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      34517 | PA      | $35629.33      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 783231 FN 09/34 FIXED 6                      | CUSIP: 31405AEC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12273 | PA      | $12534.91      | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 783646 FN 06/34 FIXED 5.5                    | CUSIP: 31405ATB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5581 | PA      | $5767.36       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 783798 FN 07/34 FIXED 5.5                    | CUSIP: 31405AX32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38684 | PA      | $39950.48      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 784167 FN 06/34 FIXED 5.5                    | CUSIP: 31405BFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7194 | PA      | $7222.81       | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 785186 FN 06/34 FIXED 5.5                    | CUSIP: 31405CJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12146 | PA      | $12203.99      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 786267 FN 07/34 FIXED 5.5                    | CUSIP: 31405DQU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14544 | PA      | $14601.98      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 786384 FN 07/34 FIXED 6                      | CUSIP: 31405DUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     395346 | PA      | $408523.78     | 0.03%             | 2034-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 786521 FN 06/34 FIXED 5                      | CUSIP: 31405DYS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70021 | PA      | $69667.30      | 0.01%             | 2034-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 787022 FN 06/34 FIXED 5.5                    | CUSIP: 31405ELB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        382 | PA      | $387.27        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 787216 FN 07/34 FIXED 5.5                    | CUSIP: 31405ESD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30596 | PA      | $31006.50      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 787331 FN 07/34 FIXED 5.5                    | CUSIP: 31405EVY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $482.35        | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 788132 FN 04/32 FIXED 6                      | CUSIP: 31405FSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1267.77       | 0.00%             | 2032-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 791585 FN 09/34 FIXED 6                      | CUSIP: 31405KNA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        859 | PA      | $873.55        | 0.00%             | 2034-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 792592 FN 08/34 FIXED 6.5                    | CUSIP: 31405LRM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6560 | PA      | $6740.30       | 0.00%             | 2034-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 793765 FN 10/34 FIXED 5.5                    | CUSIP: 31405MZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100467 | PA      | $102645.76     | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 793997 FN 09/34 FIXED 5.5                    | CUSIP: 31405NDA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8850 | PA      | $8886.90       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 795111 FN 10/34 FIXED 5.5                    | CUSIP: 31405PKY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        675 | PA      | $679.45        | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 795297 FN 07/44 FLOATING VAR                 | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28208 | PA      | $26862.05      | 0.00%             | 2044-07-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 795410 FN 09/34 FIXED 6.5                    | CUSIP: 31405PVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27619 | PA      | $28581.71      | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 796013 FN 09/34 FIXED 5.5                    | CUSIP: 31405QK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1208.64       | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 796242 FN 11/34 FIXED 6.5                    | CUSIP: 31405QS74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22165 | PA      | $22737.12      | 0.00%             | 2034-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 796705 FN 09/34 FLOATING VAR                 | CUSIP: 31405RDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49372 | PA      | $49875.71      | 0.00%             | 2034-09-01      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 796797 FN 02/35 FIXED 5.5                    | CUSIP: 31405RGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104046 | PA      | $104464.49     | 0.01%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 797544 FN 04/35 FIXED 6                      | CUSIP: 31405SBM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1702 | PA      | $1739.78       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 798412 FN 10/34 FIXED 5.5                    | CUSIP: 31405TAM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1501 | PA      | $1506.74       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 798815 FN 12/34 FIXED 5.5                    | CUSIP: 31405TN81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        579 | PA      | $581.98        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 799689 FN 11/34 FIXED 5.5                    | CUSIP: 31405UNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        183 | PA      | $183.65        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 799712 FN 11/34 FIXED 5.5                    | CUSIP: 31405UN54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27640 | PA      | $27950.22      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 799982 FN 12/34 FIXED 5.5                    | CUSIP: 31405UXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        174 | PA      | $174.51        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 800412 FN 12/34 FIXED 5.5                    | CUSIP: 31405VGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233877 | PA      | $239793.62     | 0.02%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 800747 FN 10/34 FIXED 5.5                    | CUSIP: 31405VTC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65710 | PA      | $66660.13      | 0.01%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 800929 FN 10/34 FIXED 5.5                    | CUSIP: 31405VY27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9462 | PA      | $9510.26       | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 801462 FN 11/34 FIXED 5.5                    | CUSIP: 31405WMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1294 | PA      | $1300.64       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 802005 FN 11/34 FIXED 5.5                    | CUSIP: 31405XAE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29242 | PA      | $29391.70      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 802071 FN 10/34 FIXED 5.5                    | CUSIP: 31405XCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15571 | PA      | $15755.16      | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 802328 FN 11/34 FIXED 5.5                    | CUSIP: 31405XLH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4803 | PA      | $4820.74       | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 802482 FN 11/34 FIXED 5.5                    | CUSIP: 31405XRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32920 | PA      | $33417.92      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 803876 FN 12/34 FIXED 5.5                    | CUSIP: 31406ACM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11129 | PA      | $11288.00      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 804158 FN 12/34 FIXED 5.5                    | CUSIP: 31406AMF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15866 | PA      | $15966.07      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 804320 FN 11/34 FIXED 5.5                    | CUSIP: 31406ASH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33021 | PA      | $33159.37      | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 804644 FN 12/34 FIXED 5.5                    | CUSIP: 31406A5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        906 | PA      | $918.80        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 805413 FN 01/35 FIXED 5.5                    | CUSIP: 31406BYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      92054 | PA      | $95334.63      | 0.01%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 806143 FN 12/34 FIXED 5.5                    | CUSIP: 31406CS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1719 | PA      | $1727.97       | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 806211 FN 01/35 FIXED 5.5                    | CUSIP: 31406CVC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18676 | PA      | $18819.39      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 806313 FN 11/34 FIXED 6                      | CUSIP: 31406CYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5560 | PA      | $5650.28       | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | 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        |      64276 | PA      | $61245.77      | 0.00%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 807280 FN 10/34 FIXED 6.5                    | CUSIP: 31406D2M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88941 | PA      | $91539.46      | 0.01%             | 2034-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 808202 FN 01/35 FIXED 5.5                    | CUSIP: 31406E3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38705 | PA      | $39049.40      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 808373 FN 12/34 FIXED 5.5                    | CUSIP: 31406FCJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277897 | PA      | $281250.19     | 0.02%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 808413 FN 01/35 FIXED 5.5                    | CUSIP: 31406FDS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19852 | PA      | $19930.64      | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809177 FN 01/35 FLOATING VAR                 | CUSIP: 31406F6N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22810 | PA      | $22275.08      | 0.00%             | 2035-01-01      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809203 FN 01/35 FIXED 6.5                    | CUSIP: 31406GAC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28592 | PA      | $29378.99      | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809297 FN 02/35 FIXED 5.5                    | CUSIP: 31406GDA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15079 | PA      | $15622.48      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809360 FN 02/35 FIXED 5.5                    | CUSIP: 31406GE96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24087 | PA      | $24419.94      | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809617 FN 02/35 FIXED 5.5                    | CUSIP: 31406GPA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $261.29        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809816 FN 03/35 FLOATING VAR                 | CUSIP: 31406GVH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2889 | PA      | $2824.41       | 0.00%             | 2035-03-01      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 809953 FN 03/35 FIXED 6                      | CUSIP: 31406GZS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30484 | PA      | $30976.82      | 0.00%             | 2035-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 810408 FN 01/35 FIXED 5.5                    | CUSIP: 31406HKV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        775 | PA      | $777.47        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 810728 FN 12/34 FIXED 6                      | CUSIP: 31406HVV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62428 | PA      | $63436.39      | 0.01%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 810769 FN 01/35 FIXED 6                      | CUSIP: 31406HW60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13183 | PA      | $13431.38      | 0.00%             | 2035-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 811773 FN 01/35 FIXED 5.5                    | CUSIP: 31406J2E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7583 | PA      | $7846.74       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 811801 FN 02/35 FLOATING VAR                 | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14287 | PA      | $13992.29      | 0.00%             | 2035-02-01      | Floating      | 2.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 812521 FN 02/35 FIXED 6                      | CUSIP: 31406KVN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13395 | PA      | $13611.40      | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 815117 FN 05/35 FLOATING VAR                 | CUSIP: 31406NSE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14244 | PA      | $13954.87      | 0.00%             | 2035-05-01      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 815203 FN 05/35 FIXED 6                      | CUSIP: 31406NU44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14086 | PA      | $14313.91      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 819570 FN 04/35 FIXED 6                      | CUSIP: 31406TQX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111750 | PA      | $113578.26     | 0.01%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 819990 FN 04/35 FIXED 6                      | CUSIP: 31406T7B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1358 | PA      | $1383.93       | 0.00%             | 2035-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 820058 FN 05/35 FIXED 6                      | CUSIP: 31406UB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15755 | PA      | $16076.37      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 820207 FN 05/35 FIXED 6                      | CUSIP: 31406UGQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33571 | PA      | $34373.92      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 821365 FN 05/35 FLOATING VAR                 | CUSIP: 31406VQS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32434 | PA      | $32113.66      | 0.00%             | 2035-05-01      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 822615 FN 05/35 FIXED 6.5                    | CUSIP: 31406W3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37516 | PA      | $38483.31      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 823498 FN 05/35 FIXED 6                      | CUSIP: 31406X3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13653 | PA      | $13873.73      | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 824962 FN 05/35 FIXED 6                      | CUSIP: 31407AQP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5623 | PA      | $5713.64       | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 825393 FN 06/35 FIXED 6                      | CUSIP: 31407A7E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9744 | PA      | $9900.97       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 826082 FN 07/35 FLOATING VAR                 | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6407 | PA      | $6322.16       | 0.00%             | 2035-07-01      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 828063 FN 06/35 FIXED 6                      | CUSIP: 31407D5Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          9 | PA      | $9.48          | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 828064 FN 06/35 FIXED 6                      | CUSIP: 31407D5Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2638 | PA      | $2731.58       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 828580 FN 07/35 FIXED 6                      | CUSIP: 31407EQ97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3656 | PA      | $3762.52       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 828982 FN 08/35 FLOATING VAR                 | CUSIP: 31407E6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29853 | PA      | $29987.98      | 0.00%             | 2035-08-01      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 830817 FN 10/35 FIXED 6                      | CUSIP: 31407HAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27035 | PA      | $27484.36      | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831604 FN 06/36 FIXED 6                      | CUSIP: 31407H3M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        943 | PA      | $958.77        | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831618 FN 06/36 FIXED 6.5                    | CUSIP: 31407H4B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31248 | PA      | $33266.03      | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831646 FN 08/26 FIXED 6.5                    | CUSIP: 31407H5F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        426 | PA      | $439.31        | 0.00%             | 2026-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831686 FN 07/36 FIXED 6.5                    | CUSIP: 31407H6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52373 | PA      | $54599.30      | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831804 FN 10/36 FIXED 6.5                    | CUSIP: 31407JDH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23715 | PA      | $25147.45      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831927 FN 12/36 FIXED 6                      | CUSIP: 31407JHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9306 | PA      | $9717.89       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831936 FN 11/36 FIXED 6                      | CUSIP: 31407JHM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22462 | PA      | $22839.91      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 831952 FN 11/36 FIXED 6.5                    | CUSIP: 31407JH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11686 | PA      | $11987.68      | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 832238 FN 08/35 FIXED 6                      | CUSIP: 31407JS37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51586 | PA      | $52824.91      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 832445 FN 08/35 FIXED 5                      | CUSIP: 31407JZJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76649 | PA      | $78347.25      | 0.01%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 832562 FN 09/35 FLOATING VAR                 | CUSIP: 31407J5X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73117 | PA      | $72381.25      | 0.01%             | 2035-09-01      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 832802 FN 09/35 FLOATING VAR                 | CUSIP: 31407KGK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3362 | PA      | $3313.29       | 0.00%             | 2035-09-01      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 832864 FN 09/35 FIXED 5.5                    | CUSIP: 31407KJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1066.60       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 834960 FN 07/35 FIXED 6                      | CUSIP: 31407MTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3071 | PA      | $3148.06       | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 838689 FN 09/35 FIXED 6.5                    | CUSIP: 31407RXS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26737 | PA      | $27426.91      | 0.00%             | 2035-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 838927 FN 08/35 FIXED 6                      | CUSIP: 31407SA44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60145 | PA      | $62267.90      | 0.00%             | 2035-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 840274 FN 11/35 FIXED 5.5                    | CUSIP: 31407TQ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        521 | PA      | $527.15        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 841085 FN 09/35 FIXED 6                      | CUSIP: 31407UNA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6286 | PA      | $6387.53       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 841978 FN 03/35 FLOATING VAR                 | CUSIP: 31407VM36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42740 | PA      | $41370.17      | 0.00%             | 2035-03-01      | Floating      | 1.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 843026 FN 09/35 FLOATING VAR                 | CUSIP: 31407WSP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77607 | PA      | $79258.80      | 0.01%             | 2035-09-01      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 844000 FN 11/35 FLOATING VAR                 | CUSIP: 31407XUZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3708 | PA      | $3650.40       | 0.00%             | 2035-11-01      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 844214 FN 11/35 FLOATING VAR                 | CUSIP: 31407X3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59648 | PA      | $57869.01      | 0.00%             | 2035-11-01      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 844425 FN 12/35 FIXED 6                      | CUSIP: 31407YD63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5988 | PA      | $6179.58       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 844610 FN 12/35 FIXED 6                      | CUSIP: 31407YKX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7345 | PA      | $7473.00       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 844719 FN 12/35 FIXED 6                      | CUSIP: 31407YPC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5447 | PA      | $5638.81       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 845071 FN 12/35 FLOATING VAR                 | CUSIP: 31407Y2C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21813 | PA      | $21366.01      | 0.00%             | 2035-12-01      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 845357 FN 01/36 FIXED 6                      | CUSIP: 31408AE63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1522 | PA      | $1546.44       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 846597 FN 12/35 FIXED 6.5                    | CUSIP: 31408BRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8540 | PA      | $8760.58       | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | 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        |       4242 | PA      | $4155.45       | 0.00%             | 2035-11-01      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 848408 FN 12/35 FIXED 6                      | CUSIP: 31408DR55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4313 | PA      | $4459.23       | 0.00%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 848450 FN 12/35 FIXED 6                      | CUSIP: 31408DTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70612 | PA      | $71945.15      | 0.01%             | 2035-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 849700 FN 06/24 FIXED 4.5                    | CUSIP: 31408E7M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6603 | PA      | $6503.97       | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 849803 FN 05/35 FIXED 6.5                    | CUSIP: 31408FDG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6419 | PA      | $6605.17       | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 850616 FN 02/36 FLOATING VAR                 | CUSIP: 31408GAR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13901 | PA      | $13612.25      | 0.00%             | 2036-02-01      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 850655 FN 02/36 FIXED 6.5                    | CUSIP: 31408GBY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84590 | PA      | $86771.89      | 0.01%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 852029 FN 01/36 FIXED 6                      | CUSIP: 31408HSS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        763 | PA      | $775.54        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 852304 FN 02/36 FIXED 6                      | CUSIP: 31408H3M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11089 | PA      | $11283.87      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 863673 FN 03/36 FIXED 6                      | CUSIP: 31408XQ29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6038 | PA      | $6206.43       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 865171 FN 02/36 FIXED 5.5                    | CUSIP: 31409AFL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        122 | PA      | $126.30        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 867653 FN 05/36 FIXED 6                      | CUSIP: 31409C5N1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5462 | PA      | $5551.75       | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 868993 FN 05/36 FLOATING VAR                 | CUSIP: 31409ENJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24195 | PA      | $24392.49      | 0.00%             | 2036-05-01      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 871232 FN 04/36 FIXED 6                      | CUSIP: 31409G4R4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46513 | PA      | $47303.05      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 871487 FN 04/26 FIXED 6.5                    | CUSIP: 31409HF41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9228 | PA      | $9465.52       | 0.00%             | 2026-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 871488 FN 04/36 FIXED 6.5                    | CUSIP: 31409HF58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        170 | PA      | $174.51        | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 872277 FN 05/36 FIXED 6                      | CUSIP: 31409JCN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        931 | PA      | $945.92        | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 877000 FN 06/35 FLOATING VAR                 | CUSIP: 31409SKM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      66244 | PA      | $66408.45      | 0.01%             | 2035-06-01      | Floating      | 3.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 878534 FN 02/36 FIXED 6                      | CUSIP: 31409UBB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19014 | PA      | $19374.74      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 879838 FN 12/35 FIXED 5.5                    | CUSIP: 31409VPX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     219276 | PA      | $218297.71     | 0.02%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 880893 FN 04/36 FIXED 6                      | CUSIP: 31409WUS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2032 | PA      | $2065.22       | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 881602 FN 02/36 FIXED 6.5                    | CUSIP: 31409XNT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1032 | PA      | $1080.12       | 0.00%             | 2036-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 882684 FN 06/36 FIXED 6                      | CUSIP: 31409YUH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35511 | PA      | $36101.09      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886048 FN 07/36 FIXED 6                      | CUSIP: 31410DL57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24497 | PA      | $25571.26      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886110 FN 07/36 FIXED 6                      | CUSIP: 31410DN30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3292 | PA      | $3372.14       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886293 FN 07/36 FIXED 6.5                    | CUSIP: 31410DUS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191043 | PA      | $196071.63     | 0.02%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886403 FN 08/36 FIXED 6.5                    | CUSIP: 31410DX88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99948 | PA      | $102525.78     | 0.01%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886413 FN 08/36 FIXED 6.5                    | CUSIP: 31410DYJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45257 | PA      | $46438.75      | 0.00%             | 2036-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 886653 FN 08/36 FIXED 6                      | CUSIP: 31410EBW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2321 | PA      | $2371.75       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 887583 FN 07/36 FIXED 6                      | CUSIP: 31410FCU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5899 | PA      | $6166.05       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 888215 FN 12/36 FIXED VAR                    | CUSIP: 31410FYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88547 | PA      | $93630.93      | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 888352 FN 05/37 FIXED VAR                    | CUSIP: 31410F5M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1915 | PA      | $1987.14       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 888695 FN 08/37 FIXED VAR                    | CUSIP: 31410GKG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        849 | PA      | $868.31        | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 888813 FN 03/37 FIXED VAR                    | CUSIP: 31410GN66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58336 | PA      | $61749.84      | 0.00%             | 2037-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 888882 FN 08/37 FIXED VAR                    | CUSIP: 31410GRB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5089 | PA      | $5418.37       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889072 FN 12/37 FIXED VAR                    | CUSIP: 31410GW90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9500 | PA      | $9997.07       | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889390 FN 03/23 FIXED VAR                    | CUSIP: 31410KC36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         31 | PA      | $30.90         | 0.00%             | 2023-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889466 FN 05/38 FIXED VAR                    | CUSIP: 31410KFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6847 | PA      | $7144.39       | 0.00%             | 2038-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889883 FN 03/38 FIXED VAR                    | CUSIP: 31410KUG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17276 | PA      | $18054.74      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889890 FN 01/38 FIXED VAR                    | CUSIP: 31410KUP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385461 | PA      | $403333.13     | 0.03%             | 2038-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889959 FN 05/36 FIXED VAR                    | CUSIP: 31410KWU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55138 | PA      | $57398.53      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 889992 FN 06/38 FIXED VAR                    | CUSIP: 31410KXV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30159 | PA      | $31302.88      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 890151 FN 06/24 FIXED VAR                    | CUSIP: 31410K5L4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $282.96        | 0.00%             | 2024-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 890299 FN 07/40 FIXED VAR                    | CUSIP: 31410LDC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67956 | PA      | $70358.90      | 0.01%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 890362 FN 08/41 FIXED VAR                    | CUSIP: 31410LFB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4503071 | PA      | $4468224.40    | 0.36%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 892558 FN 07/36 FIXED 6                      | CUSIP: 31410NTP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11622 | PA      | $12002.81      | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 893888 FN 10/36 FIXED 6                      | CUSIP: 31410QCZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        529 | PA      | $550.40        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 893898 FN 10/36 FIXED 6                      | CUSIP: 31410QDB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7210 | PA      | $7514.16       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 895852 FN 11/35 FLOATING VAR                 | CUSIP: 31410SH59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240990 | PA      | $239707.50     | 0.02%             | 2035-11-01      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 896032 FN 08/36 FIXED 6                      | CUSIP: 31410SPR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6451 | PA      | $6559.02       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 896113 FN 06/36 FIXED 6                      | CUSIP: 31410SSA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20222 | PA      | $20573.79      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 896344 FN 10/36 FIXED 6                      | CUSIP: 31410SZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24090 | PA      | $25176.10      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 897472 FN 11/36 FIXED 6                      | CUSIP: 31410UCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2922 | PA      | $2969.22       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 898809 FN 11/36 FIXED 6                      | CUSIP: 31410VR69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4134 | PA      | $4308.04       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 898810 FN 11/36 FIXED 6                      | CUSIP: 31410VR77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6325 | PA      | $6430.18       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 899495 FN 05/37 FIXED 6                      | CUSIP: 31410WKG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76798 | PA      | $78247.60      | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 899681 FN 08/37 FIXED 6.5                    | CUSIP: 31410WRA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29271 | PA      | $30073.10      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 899732 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20399 | PA      | $21123.03      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 899735 FN 09/37 FIXED 6.5                    | CUSIP: 31410WSY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        178 | PA      | $183.37        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 900134 FN 09/36 FIXED 6                      | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21341 | PA      | $21686.15      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 900135 FN 09/36 FIXED 6.5                    | CUSIP: 31410XBC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12091 | PA      | $12449.22      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 901607 FN 11/36 FIXED 6.5                    | CUSIP: 31410YU85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7175 | PA      | $7360.09       | 0.00%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902164 FN 11/36 FIXED 6                      | CUSIP: 31411AJH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25678 | PA      | $26751.73      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902551 FN 11/36 FIXED 6                      | CUSIP: 31411AWL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2289 | PA      | $2365.76       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902610 FN 11/36 FIXED 6                      | CUSIP: 31411AYF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1771 | PA      | $1851.06       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902745 FN 11/36 FIXED 6                      | CUSIP: 31411A5E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52314 | PA      | $53582.41      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902851 FN 12/36 FIXED 6.5                    | CUSIP: 31411BBU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81848 | PA      | $83958.59      | 0.01%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 902974 FN 12/36 FIXED 6                      | CUSIP: 31411BFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90167 | PA      | $94232.05      | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 903011 FN 12/36 FIXED 6                      | CUSIP: 31411BGU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20363 | PA      | $21247.12      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 903132 FN 10/36 FIXED 6                      | CUSIP: 31411BLM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5033 | PA      | $5178.72       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 903263 FN 10/36 FIXED 6                      | CUSIP: 31411BQQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22482 | PA      | $22851.04      | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 903816 FN 12/36 FIXED 6                      | CUSIP: 31411CDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8601 | PA      | $8988.54       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 903822 FN 12/36 FIXED 6.5                    | CUSIP: 31411CD32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37326 | PA      | $38296.01      | 0.00%             | 2036-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 904015 FN 01/37 FIXED 6                      | CUSIP: 31411CK42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6183 | PA      | $6282.77       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 904453 FN 11/36 FIXED 6                      | CUSIP: 31411CZS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5923 | PA      | $6018.61       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 904601 FN 11/36 FIXED 6                      | CUSIP: 31411DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2432 | PA      | $2541.49       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 904864 FN 01/37 FIXED 6                      | CUSIP: 31411DJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1864 | PA      | $1899.58       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 905380 FN 11/36 FIXED 6.5                    | CUSIP: 31411D2M0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     296820 | PA      | $306493.37     | 0.02%             | 2036-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 906131 FN 01/37 FIXED 6                      | CUSIP: 31411EVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31786 | PA      | $33125.62      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 906472 FN 01/37 FIXED 6                      | CUSIP: 31411FCH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20412 | PA      | $20950.36      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 907337 FN 03/37 FIXED 6                      | CUSIP: 31411GBE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5727 | PA      | $5835.07       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 910930 FN 02/37 FIXED 6.5                    | CUSIP: 31411LA76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13093 | PA      | $13430.29      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 911582 FN 04/37 FIXED 5.5                    | CUSIP: 31411LXK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2525 | PA      | $2617.08       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 913929 FN 02/37 FIXED 6.5                    | CUSIP: 31411SLJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2227 | PA      | $2289.78       | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 914048 FN 03/37 FIXED 6                      | CUSIP: 31411SP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44602 | PA      | $45340.72      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 914458 FN 04/37 FIXED 6                      | CUSIP: 31411S5T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11923 | PA      | $12459.76      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 914984 FN 04/37 FIXED 6                      | CUSIP: 31411URD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6960 | PA      | $7197.00       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 917594 FN 04/37 FIXED 6                      | CUSIP: 31411XNK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25628 | PA      | $26042.09      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 917880 FN 05/37 FIXED 6                      | CUSIP: 31411XXH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12585 | PA      | $12974.64      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 918178 FN 05/37 FIXED 6                      | CUSIP: 31411YCP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1016 | PA      | $1058.94       | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 918407 FN 05/37 FIXED 6                      | CUSIP: 31411YKU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     112086 | PA      | $115007.16     | 0.01%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 918546 FN 06/37 FIXED 6                      | CUSIP: 31411YP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12214 | PA      | $12424.60      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 920169 FN 09/36 FIXED 6.5                    | CUSIP: 31412BJN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23751 | PA      | $24648.61      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 920731 FN 01/37 FIXED 6                      | CUSIP: 31412B4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7208 | PA      | $7359.36       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 922005 FN 12/36 FIXED 6                      | CUSIP: 31412DKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146847 | PA      | $150213.34     | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 922213 FN 11/36 FIXED 5.5                    | CUSIP: 31412DSA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47793 | PA      | $47965.79      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 922339 FN 02/37 FIXED 6.5                    | CUSIP: 31412DV88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23240 | PA      | $23880.47      | 0.00%             | 2037-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 922439 FN 01/37 FIXED 6                      | CUSIP: 31412DZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15556 | PA      | $15957.05      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 922919 FN 02/37 FIXED 6                      | CUSIP: 31412EK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239692 | PA      | $244697.76     | 0.02%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 923142 FN 04/36 FIXED 6                      | CUSIP: 31412ES72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      50092 | PA      | $50959.86      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 923928 FN 06/37 FIXED 6                      | CUSIP: 31412FPM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8445 | PA      | $8598.14       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 924790 FN 06/37 FIXED 6                      | CUSIP: 31412GNF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45491 | PA      | $46243.04      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 925139 FN 07/37 FIXED 6                      | CUSIP: 31412GZC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187012 | PA      | $191111.50     | 0.02%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 928184 FN 04/37 FIXED 5.5                    | CUSIP: 31412LFZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15238 | PA      | $15332.05      | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 928206 FN 04/37 FIXED 6                      | CUSIP: 31412LGP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3237 | PA      | $3378.13       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 928362 FN 06/27 FIXED 6.5                    | CUSIP: 31412LMK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7445 | PA      | $7681.72       | 0.00%             | 2027-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 928932 FN 11/37 FIXED 6.5                    | CUSIP: 31412MA99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21228 | PA      | $21934.28      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 929207 FN 03/38 FIXED 6.5                    | CUSIP: 31412MKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15022 | PA      | $15841.58      | 0.00%             | 2038-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 929728 FN 07/23 FIXED 6                      | CUSIP: 31412M4M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $13.30         | 0.00%             | 2023-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 929836 FN 08/38 FIXED 6                      | CUSIP: 31412NBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6097 | PA      | $6340.68       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 929896 FN 09/38 FIXED 6.5                    | CUSIP: 31412NC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     316669 | PA      | $327062.37     | 0.03%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 930024 FN 10/23 FIXED 6                      | CUSIP: 31412NG91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5095 | PA      | $5074.30       | 0.00%             | 2023-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 930337 FN 01/24 FIXED 6                      | CUSIP: 31412NS23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1350 | PA      | $1342.65       | 0.00%             | 2024-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 930770 FN 03/29 FIXED 4.5                    | CUSIP: 31412PCF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15664 | PA      | $15557.99      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 931056 FN 05/35 FIXED 5.5                    | CUSIP: 31412PMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49189 | PA      | $49367.05      | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 931520 FN 07/29 FIXED 4.5                    | CUSIP: 31412P4D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21591 | PA      | $21445.40      | 0.00%             | 2029-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 931950 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10767 | PA      | $11282.25      | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 931952 FN 01/37 FIXED 6.5                    | CUSIP: 31412QL98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3779 | PA      | $3977.85       | 0.00%             | 2037-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 933017 FN 10/37 FIXED 6.5                    | CUSIP: 31412SAS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12956 | PA      | $13382.30      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 933505 FN 02/38 FIXED 6                      | CUSIP: 31412SR23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60983 | PA      | $62132.90      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 933992 FN 08/23 FIXED 6                      | CUSIP: 31412TC50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        351 | PA      | $350.10        | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 934787 FN 02/39 FIXED 6                      | CUSIP: 31412T6Y4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17773 | PA      | $18065.28      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 935188 FN 06/39 FIXED 6                      | CUSIP: 31412UND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30985 | PA      | $31485.91      | 0.00%             | 2039-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 935572 FN 09/24 FIXED 4.5                    | CUSIP: 31412U2D1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75973 | PA      | $75827.34      | 0.01%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 936190 FN 05/37 FIXED 6.5                    | CUSIP: 31412VRK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55564 | PA      | $57123.12      | 0.00%             | 2037-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 937612 FN 06/37 FIXED 6                      | CUSIP: 31412XDR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312881 | PA      | $326481.88     | 0.03%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 937666 FN 06/37 FIXED 6                      | CUSIP: 31412XFF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7003 | PA      | $7321.37       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 937743 FN 05/37 FIXED 6                      | CUSIP: 31412XHU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61221 | PA      | $62240.47      | 0.00%             | 2037-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 937896 FN 07/37 FIXED 6                      | CUSIP: 31412XNM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24371 | PA      | $25469.40      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 937938 FN 06/37 FIXED 6                      | CUSIP: 31412XPX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5127 | PA      | $5211.61       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 938012 FN 07/37 FIXED 6                      | CUSIP: 31412XR97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47865 | PA      | $49434.47      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 940380 FN 07/37 FIXED 6                      | CUSIP: 31413BFV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     597083 | PA      | $618755.67     | 0.05%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 940639 FN 08/37 FIXED 6                      | CUSIP: 31413BPY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20691 | PA      | $21622.57      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 940642 FN 08/37 FIXED 6                      | CUSIP: 31413BP39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5311 | PA      | $5550.16       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 941137 FN 10/37 FIXED 6.5                    | CUSIP: 31413CBE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11521 | PA      | $11819.14      | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 941863 FN 09/37 FIXED 6                      | CUSIP: 31413CZ44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28242 | PA      | $28697.88      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942283 FN 08/37 FIXED 6                      | CUSIP: 31413DJ40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149554 | PA      | $156176.24     | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942384 FN 08/37 FIXED 5.5                    | CUSIP: 31413DM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1798 | PA      | $1804.72       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942463 FN 08/37 FIXED 6.5                    | CUSIP: 31413DQQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52636 | PA      | $54079.77      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942569 FN 08/37 FIXED 6                      | CUSIP: 31413DT23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2144 | PA      | $2187.53       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942912 FN 08/37 FIXED 6                      | CUSIP: 31413EAM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27198 | PA      | $27637.17      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 942980 FN 09/37 FIXED 6                      | CUSIP: 31413ECR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70953 | PA      | $73979.28      | 0.01%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 944021 FN 08/37 FIXED 6                      | CUSIP: 31413FG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4930 | PA      | $5039.00       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 944606 FN 07/37 FIXED 5.5                    | CUSIP: 31413F3P5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2713 | PA      | $2724.62       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 944713 FN 07/37 FIXED 6                      | CUSIP: 31413GAN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19466 | PA      | $19881.37      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 945222 FN 08/37 FIXED 6.5                    | CUSIP: 31413GSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1190 | PA      | $1220.98       | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 946646 FN 09/37 FIXED 6                      | CUSIP: 31413JET7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        861 | PA      | $879.88        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 946731 FN 09/37 FIXED 6.5                    | CUSIP: 31413JHG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        446 | PA      | $464.76        | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 946744 FN 08/37 FIXED 6                      | CUSIP: 31413JHV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62105 | PA      | $63108.83      | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 948564 FN 08/38 FIXED 6.5                    | CUSIP: 31413LJH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83559 | PA      | $85939.57      | 0.01%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 948690 FN 08/37 FIXED 6                      | CUSIP: 31413LNF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53580 | PA      | $55837.95      | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 948697 FN 08/37 FIXED 6                      | CUSIP: 31413LNN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7929 | PA      | $8060.48       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 948731 FN 08/37 FIXED 6.5                    | CUSIP: 31413LPQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32534 | PA      | $33373.49      | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 948989 FN 08/37 FIXED 6                      | CUSIP: 31413LXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3055 | PA      | $3105.47       | 0.00%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 949054 FN 09/37 FIXED 6.5                    | CUSIP: 31413LZT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45413 | PA      | $47592.33      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 949069 FN 09/37 FIXED 6.5                    | CUSIP: 31413L2A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10843 | PA      | $11135.98      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 949542 FN 10/37 FIXED 6                      | CUSIP: 31413MLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71461 | PA      | $72616.07      | 0.01%             | 2037-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 949728 FN 09/37 FIXED 6.5                    | CUSIP: 31413MSR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10060 | PA      | $10319.79      | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 953433 FN 11/37 FIXED 6.5                    | CUSIP: 31413RV29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69820 | PA      | $73011.80      | 0.01%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 953930 FN 12/37 FIXED 6.5                    | CUSIP: 31413SHF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $318.18        | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 954666 FN 09/37 FIXED 6                      | CUSIP: 31413TCB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45017 | PA      | $45996.94      | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 955007 FN 09/37 FIXED 6.5                    | CUSIP: 31413TNY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1869.75       | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 955031 FN 10/37 FIXED 6.5                    | CUSIP: 31413TPQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        510 | PA      | $527.18        | 0.00%             | 2037-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 955224 FN 12/37 FIXED 6.5                    | CUSIP: 31413TVR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73476 | PA      | $75620.11      | 0.01%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 956232 FN 11/37 FIXED 6.5                    | CUSIP: 31413UY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56619 | PA      | $58401.85      | 0.00%             | 2037-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 964681 FN 08/23 FIXED 5.5                    | CUSIP: 31414FFW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        290 | PA      | $289.20        | 0.00%             | 2023-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 964789 FN 08/38 FIXED 6                      | CUSIP: 31414FKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        607 | PA      | $622.28        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 965075 FN 09/23 FIXED 6                      | CUSIP: 31414FT84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1460 | PA      | $1454.49       | 0.00%             | 2023-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 965106 FN 09/38 FIXED 6.5                    | CUSIP: 31414FU74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35775 | PA      | $36722.38      | 0.00%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 968224 FN 02/23 FIXED 6                      | CUSIP: 31414KD56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         43 | PA      | $42.91         | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 968312 FN 02/38 FIXED 4.5                    | CUSIP: 31414KGV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5473 | PA      | $5269.02       | 0.00%             | 2038-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 968521 FN 12/37 FIXED 6.5                    | CUSIP: 31414KPE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14272 | PA      | $14722.35      | 0.00%             | 2037-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 970012 FN 07/23 FIXED 5.5                    | CUSIP: 31414MDR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        128 | PA      | $127.24        | 0.00%             | 2023-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 970643 FN 10/38 FIXED 6.5                    | CUSIP: 31414MZG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        352 | PA      | $364.10        | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 970999 FN 01/24 FIXED 5.5                    | CUSIP: 31414NGG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        250 | PA      | $248.22        | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 974787 FN 05/23 FIXED 5.5                    | CUSIP: 31414SNC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        126 | PA      | $125.91        | 0.00%             | 2023-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 974965 FN 04/38 FIXED 5                      | CUSIP: 31414STW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1422 | PA      | $1452.97       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 975072 FN 08/23 FIXED 6                      | CUSIP: 31414SW90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24997 | PA      | $24913.73      | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 977176 FN 02/23 FIXED 6                      | CUSIP: 31414VCM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         18 | PA      | $17.66         | 0.00%             | 2023-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 983290 FN 05/38 FIXED 6.5                    | CUSIP: 31415LKB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17758 | PA      | $18216.41      | 0.00%             | 2038-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 986423 FN 08/23 FIXED 5.5                    | CUSIP: 31415QYU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1327 | PA      | $1322.37       | 0.00%             | 2023-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 986434 FN 08/23 FIXED 6                      | CUSIP: 31415QY75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4717 | PA      | $4700.02       | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 986648 FN 09/37 FIXED 6                      | CUSIP: 31415RBR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4547 | PA      | $4738.44       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 986767 FN 07/38 FIXED 5.5                    | CUSIP: 31415RFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70755 | PA      | $73195.87      | 0.01%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 986946 FN 09/38 FIXED 6                      | CUSIP: 31415RL36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1359 | PA      | $1384.37       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 988031 FN 08/38 FIXED 6                      | CUSIP: 31415SSU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2356 | PA      | $2394.57       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 988111 FN 08/23 FIXED 6                      | CUSIP: 31415SVC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14771 | PA      | $14714.99      | 0.00%             | 2023-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 988377 FN 08/38 FIXED 6.5                    | CUSIP: 31415S6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         93 | PA      | $95.39         | 0.00%             | 2038-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 988578 FN 08/38 FIXED 5.5                    | CUSIP: 31415TFT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79850 | PA      | $82603.70      | 0.01%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 990924 FN 09/38 FIXED 5.5                    | CUSIP: 31415VYV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144623 | PA      | $146174.26     | 0.01%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 991086 FN 11/38 FIXED 6.5                    | CUSIP: 31415V6X8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39708 | PA      | $40804.43      | 0.00%             | 2038-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 993549 FN 04/39 FIXED 4                      | CUSIP: 31415YWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133294 | PA      | $128583.33     | 0.01%             | 2039-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 994016 FN 09/39 FIXED 4                      | CUSIP: 31416AGZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     233082 | PA      | $224055.14     | 0.02%             | 2039-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 994152 FN 11/23 FIXED 6                      | CUSIP: 31416AL99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3307 | PA      | $3295.80       | 0.00%             | 2023-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 995265 FN 01/24 FIXED VAR                    | CUSIP: 31416BTW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        581 | PA      | $579.79        | 0.00%             | 2024-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 995736 FN 05/37 FIXED VAR                    | CUSIP: 31416CEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     251379 | PA      | $259924.12     | 0.02%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL 995930 FN 04/39 FIXED VAR                    | CUSIP: 31416CLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64795 | PA      | $66086.15      | 0.01%             | 2039-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA2546 FN 03/39 FIXED 5.5                    | CUSIP: 31416KZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14434 | PA      | $14486.72      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA3975 FN 04/38 FIXED 5.5                    | CUSIP: 31416MMZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      46812 | PA      | $47322.89      | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA3979 FN 03/37 FIXED 5                      | CUSIP: 31416MM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86765 | PA      | $85695.46      | 0.01%             | 2037-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA7402 FN 06/39 FIXED 4.5                    | CUSIP: 31416RGL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331205 | PA      | $328345.33     | 0.03%             | 2039-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA8498 FN 07/37 FIXED 5.5                    | CUSIP: 31416SNQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100562 | PA      | $100990.56     | 0.01%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AA8715 FN 06/39 FIXED 4                      | CUSIP: 31416SVH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42804 | PA      | $41147.58      | 0.00%             | 2039-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5296 | PA      | $5513.62       | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB0270 FN 11/38 FIXED 6                      | CUSIP: 31416VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14076 | PA      | $14699.40      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB0462 FN 02/37 FIXED 6                      | CUSIP: 31416VQQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104038 | PA      | $107845.63     | 0.01%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB0514 FN 09/38 FIXED 6.5                    | CUSIP: 31416VSC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126370 | PA      | $132368.17     | 0.01%             | 2038-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB3273 FN 07/41 FIXED 4.5                    | CUSIP: 31416YT73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3871046 | PA      | $3841089.52    | 0.31%             | 2041-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB4989 FN 04/27 FIXED 2                      | CUSIP: 31417BRK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6645 | PA      | $6307.90       | 0.00%             | 2027-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB7517 FN 01/33 FIXED 2.5                    | CUSIP: 31417EK75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     679241 | PA      | $619388.25     | 0.05%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB7673 FN 01/33 FIXED 2.5                    | CUSIP: 31417EQ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2325972 | PA      | $2121001.24    | 0.17%             | 2033-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AB9465 FN 05/43 FIXED 3.5                    | CUSIP: 31417GQT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9249 | PA      | $8660.45       | 0.00%             | 2043-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AC1241 FN 07/39 FIXED 5                      | CUSIP: 31417KLX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39362 | PA      | $40038.89      | 0.00%             | 2039-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AC2375 FN 10/38 FIXED 6.5                    | CUSIP: 31417LT96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58863 | PA      | $60392.16      | 0.00%             | 2038-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AC8518 FN 12/39 FIXED 5                      | CUSIP: 31417VPC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1766 | PA      | $1785.04       | 0.00%             | 2039-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0143 FN 06/24 FIXED VAR                    | CUSIP: 31418MER9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         53 | PA      | $52.43         | 0.00%             | 2024-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0361 FN 09/39 FIXED VAR                    | CUSIP: 31418MMK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99533 | PA      | $103940.36     | 0.01%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0462 FN 10/24 FIXED VAR                    | CUSIP: 31418MQQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        365 | PA      | $362.31        | 0.00%             | 2024-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0485 FN 10/24 FIXED VAR                    | CUSIP: 31418MRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        156 | PA      | $155.26        | 0.00%             | 2024-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0497 FN 11/39 FIXED VAR                    | CUSIP: 31418MRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1475680 | PA      | $1531669.72    | 0.12%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD0691 FN 12/24 FIXED VAR                    | CUSIP: 31418MXV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         38 | PA      | $38.33         | 0.00%             | 2024-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD2154 FN 05/40 FIXED 5                      | CUSIP: 31418PMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134722 | PA      | $135088.19     | 0.01%             | 2040-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD7898 FN 07/40 FIXED 4.5                    | CUSIP: 31418VX49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85602 | PA      | $84907.07      | 0.01%             | 2040-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AD9755 FN 12/25 FIXED 4                      | CUSIP: 31418XZV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17412 | PA      | $17010.04      | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE0235 FN 09/24 FIXED VAR                    | CUSIP: 31419AHM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         12 | PA      | $11.93         | 0.00%             | 2024-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE0271 FN 08/40 FIXED VAR                    | CUSIP: 31419AJR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     141045 | PA      | $142961.84     | 0.01%             | 2040-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE0441 FN 05/40 FIXED VAR                    | CUSIP: 31419AP35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     363454 | PA      | $383428.63     | 0.03%             | 2040-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE0715 FN 12/40 FIXED VAR                    | CUSIP: 31419AYM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5750205 | PA      | $5572857.00    | 0.44%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE5667 FN 09/25 FIXED 3.5                    | CUSIP: 31419GJM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        942 | PA      | $925.89        | 0.00%             | 2025-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE6619 FN 10/25 FIXED 3.5                    | CUSIP: 31419HK92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88535 | PA      | $86070.32      | 0.01%             | 2025-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE7074 FN 12/25 FIXED 3.5                    | CUSIP: 31419H2G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6623 | PA      | $6508.11       | 0.00%             | 2025-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE8073 FN 12/40 FIXED 4                      | CUSIP: 31419J6K9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     828513 | PA      | $799136.53     | 0.06%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AE9298 FN 11/25 FIXED 3.5                    | CUSIP: 31419LKL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77139 | PA      | $75622.74      | 0.01%             | 2025-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH0562 FN 01/26 FIXED 3.5                    | CUSIP: 3138A1TU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6297 | PA      | $6187.95       | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH1338 FN 12/40 FIXED 4                      | CUSIP: 3138A2PY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120843 | PA      | $117016.97     | 0.01%             | 2040-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH1684 FN 09/41 FIXED 4                      | CUSIP: 3138A22S7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38649 | PA      | $37287.80      | 0.00%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH3320 FN 01/26 FIXED 3.5                    | CUSIP: 3138A4VN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18980 | PA      | $18633.54      | 0.00%             | 2026-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH4090 FN 02/26 FIXED 3.5                    | CUSIP: 3138A5RL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43450 | PA      | $42693.62      | 0.00%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH4551 FN 02/26 FIXED 3.5                    | CUSIP: 3138A6BV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110439 | PA      | $108526.27     | 0.01%             | 2026-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH6539 FN 02/41 FIXED 4                      | CUSIP: 3138A8HR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15154 | PA      | $14578.53      | 0.00%             | 2041-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AH9863 FN 04/26 FIXED 4                      | CUSIP: 3138AB5Z8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6647 | PA      | $6552.39       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI0141 FN 04/41 FIXED 4                      | CUSIP: 3138ADEP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     956853 | PA      | $920458.66     | 0.07%             | 2041-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI1821 FN 05/41 FIXED 4.5                    | CUSIP: 3138AFAX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53916 | PA      | $51805.18      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI2052 FN 05/41 FIXED 4                      | CUSIP: 3138AFH60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611303 | PA      | $588050.20     | 0.05%             | 2041-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI3937 FN 09/41 FIXED 4                      | CUSIP: 3138AHLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     303468 | PA      | $295476.93     | 0.02%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI4896 FN 06/26 FIXED 4                      | CUSIP: 3138AJNN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4153 | PA      | $4093.52       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI7109 FN 09/26 FIXED 4                      | CUSIP: 3138AL3T2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        507 | PA      | $500.78        | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI8341 FN 07/26 FIXED 4                      | CUSIP: 3138ANHT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        300 | PA      | $295.57        | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI9545 FN 10/31 FIXED 4                      | CUSIP: 3138APTB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40430 | PA      | $39170.51      | 0.00%             | 2031-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AI9977 FN 10/26 FIXED 3                      | CUSIP: 3138AQCP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16476 | PA      | $15949.41      | 0.00%             | 2026-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AJ2293 FN 09/41 FIXED 4                      | CUSIP: 3138ATRP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      99753 | PA      | $95968.87      | 0.01%             | 2041-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AJ3615 FN 11/41 FIXED 4                      | CUSIP: 3138AVAR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     121609 | PA      | $116920.85     | 0.01%             | 2041-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AJ9192 FN 01/27 FIXED 3                      | CUSIP: 3138E2GA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154981 | PA      | $149970.68     | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AJ9327 FN 01/42 FIXED 3.5                    | CUSIP: 3138E2LH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163496 | PA      | $153196.12     | 0.01%             | 2042-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL0178 FN 03/30 FIXED VAR                    | CUSIP: 3138EGFU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     543508 | PA      | $541506.50     | 0.04%             | 2030-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL0657 FN 08/41 FIXED VAR                    | CUSIP: 3138EGWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60466 | PA      | $61286.53      | 0.00%             | 2041-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL1378 FN 05/24 FIXED VAR                    | CUSIP: 3138EHQ88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        123 | PA      | $122.63        | 0.00%             | 2024-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL2378 FN 10/41 FIXED VAR                    | CUSIP: 3138EJUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80956 | PA      | $78459.25      | 0.01%             | 2041-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL2518 FN 11/39 FIXED VAR                    | CUSIP: 3138EJYQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248097 | PA      | $245978.43     | 0.02%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL3666 FN 06/43 FIXED VAR                    | CUSIP: 3138ELCC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     148788 | PA      | $145461.57     | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL3670 FN 02/43 FIXED VAR                    | CUSIP: 3138ELCG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1438170 | PA      | $1387118.93    | 0.11%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL4010 FN 07/43 FIXED VAR                    | CUSIP: 3138ELN41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        726 | PA      | $679.97        | 0.00%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL4213 FN 09/43 FIXED VAR                    | CUSIP: 3138ELVF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2366426 | PA      | $2282418.81    | 0.18%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL4287 FN 11/40 FIXED VAR                    | CUSIP: 3138ELXR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2577013 | PA      | $2678667.60    | 0.21%             | 2040-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL5443 FN 04/40 FIXED VAR                    | CUSIP: 3138ENBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41412 | PA      | $43279.44      | 0.00%             | 2040-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL5449 FN 06/44 FIXED VAR                    | CUSIP: 3138ENBT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67254 | PA      | $66130.71      | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL6768 FN 05/41 FIXED VAR                    | CUSIP: 3138EPQW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     463097 | PA      | $483973.15     | 0.04%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL7079 FN 07/35 FIXED VAR                    | CUSIP: 3138EP2M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     504720 | PA      | $489365.05     | 0.04%             | 2035-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL7579 FN 02/42 FIXED VAR                    | CUSIP: 3138EQM58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102813 | PA      | $106712.02     | 0.01%             | 2042-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL7589 FN 10/45 FIXED VAR                    | CUSIP: 3138EQNF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39756 | PA      | $37021.42      | 0.00%             | 2045-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL7772 FN 11/35 FIXED VAR                    | CUSIP: 3138EQT69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3834840 | PA      | $3738707.71    | 0.30%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL8084 FN 01/36 FIXED VAR                    | CUSIP: 3138EQ6W7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1136971 | PA      | $1108476.86    | 0.09%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL8092 FN 07/42 FIXED VAR                    | CUSIP: 3138EQ7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5795004 | PA      | $5616327.01    | 0.45%             | 2042-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL9380 FN 04/31 FIXED VAR                    | CUSIP: 3138ERM64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3856654 | PA      | $3693659.63    | 0.29%             | 2031-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL9521 FN 10/46 FIXED VAR                    | CUSIP: 3138ERSK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210246 | PA      | $188533.60     | 0.02%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AL9982 FN 10/45 FIXED VAR                    | CUSIP: 3138ESCU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261287 | PA      | $264832.18     | 0.02%             | 2045-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AO4769 FN 05/42 FIXED 4                      | CUSIP: 3138LVJP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14860 | PA      | $14389.59      | 0.00%             | 2042-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AO5642 FN 06/42 FIXED 4                      | CUSIP: 3138LWHU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88159 | PA      | $85367.42      | 0.01%             | 2042-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AO9700 FN 07/42 FIXED 3.5                    | CUSIP: 3138M1X60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1549 | PA      | $1451.45       | 0.00%             | 2042-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AQ3206 FN 11/42 FIXED 4                      | CUSIP: 3138MJR43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     398473 | PA      | $387989.09     | 0.03%             | 2042-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AR1005 FN 01/43 FIXED 4                      | CUSIP: 3138NXDK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217652 | PA      | $211920.23     | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AR2132 FN 01/43 FIXED 4                      | CUSIP: 3138NYLN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     202592 | PA      | $197256.76     | 0.02%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AR2152 FN 02/43 FIXED 4                      | CUSIP: 3138NYMA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68742 | PA      | $66311.75      | 0.01%             | 2043-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AR2210 FN 05/43 FIXED 4                      | CUSIP: 3138NYN43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     242016 | PA      | $238008.86     | 0.02%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS0203 FN 08/43 FIXED 3                      | CUSIP: 3138W9GM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126888 | PA      | $115582.51     | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS0209 FN 08/43 FIXED 3.5                    | CUSIP: 3138W9GT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $704.65        | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS0379 FN 09/43 FIXED 4                      | CUSIP: 3138W9M56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167591 | PA      | $160444.02     | 0.01%             | 2043-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS0574 FN 09/43 FIXED 5                      | CUSIP: 3138W9T83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      93208 | PA      | $94281.65      | 0.01%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS1339 FN 12/43 FIXED 5                      | CUSIP: 3138WAPZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     183349 | PA      | $185309.75     | 0.01%             | 2043-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS3285 FN 09/39 FIXED 3.5                    | CUSIP: 3138WCUK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     380563 | PA      | $356150.26     | 0.03%             | 2039-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS4009 FN 12/39 FIXED 3.5                    | CUSIP: 3138WDN31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1521686 | PA      | $1424836.10    | 0.11%             | 2039-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS4556 FN 03/40 FIXED 3.5                    | CUSIP: 3138WEB24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     616428 | PA      | $577571.49     | 0.05%             | 2040-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                           | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      18940 | PA      | $184018.06     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS5159 FN 06/30 FIXED 3                      | CUSIP: 3138WEWV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26015 | PA      | $24914.73      | 0.00%             | 2030-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS5671 FN 08/45 FIXED 4                      | CUSIP: 3138WFJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2185577 | PA      | $2095488.18    | 0.17%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS6513 FN 01/36 FIXED 4                      | CUSIP: 3138WGGX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     991981 | PA      | $969549.25     | 0.08%             | 2036-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS8509 FN 12/46 FIXED 3                      | CUSIP: 3138WJN38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6365801 | PA      | $5703992.51    | 0.45%             | 2046-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS8686 FN 01/47 FIXED 3                      | CUSIP: 3138WJUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     570283 | PA      | $510152.81     | 0.04%             | 2047-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS8787 FN 02/32 FIXED 2                      | CUSIP: 3138WJXR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23387 | PA      | $21127.83      | 0.00%             | 2032-02-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS9302 FN 03/37 FIXED 4                      | CUSIP: 3138WKKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2949431 | PA      | $2857249.55    | 0.23%             | 2037-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AS9646 FN 05/37 FIXED 4                      | CUSIP: 3138WKWG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3871253 | PA      | $3750248.63    | 0.30%             | 2037-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT3901 FN 07/43 FIXED 3                      | CUSIP: 3138WRKP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     340120 | PA      | $309829.67     | 0.02%             | 2043-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT6745 FN 05/43 FIXED 4                      | CUSIP: 3138WUP72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     996522 | PA      | $965764.76     | 0.08%             | 2043-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT7698 FN 06/43 FIXED 4                      | CUSIP: 3138WVRU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      97010 | PA      | $93566.28      | 0.01%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT8165 FN 06/43 FIXED 4                      | CUSIP: 3138WWCB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1950538 | PA      | $1891840.65    | 0.15%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT8403 FN 06/43 FIXED 4                      | CUSIP: 3138WWKR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1191667 | PA      | $1165026.52    | 0.09%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT9182 FN 07/43 FIXED 4                      | CUSIP: 3138WXFY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     585624 | PA      | $575929.35     | 0.05%             | 2043-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AT9697 FN 06/43 FIXED 4                      | CUSIP: 3138WXX36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     370635 | PA      | $364498.55     | 0.03%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU0485 FN 06/43 FIXED 4                      | CUSIP: 3138WZRF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $879883.70     | 0.07%             | 2043-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU4779 FN 09/43 FIXED 4.5                    | CUSIP: 3138X4JZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71363 | PA      | $70491.37      | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU5019 FN 10/43 FIXED 4                      | CUSIP: 3138X4SH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      81787 | PA      | $78299.22      | 0.01%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU7367 FN 09/43 FIXED 5                      | CUSIP: 3138X7FH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14296 | PA      | $14199.65      | 0.00%             | 2043-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU7388 FN 10/43 FIXED 5                      | CUSIP: 3138X7F65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49267 | PA      | $49378.13      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU8053 FN 09/43 FIXED 4.5                    | CUSIP: 3138X75P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124828 | PA      | $123568.97     | 0.01%             | 2043-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AU9994 FN 10/43 FIXED 4                      | CUSIP: 3138XAC87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314365 | PA      | $303209.97     | 0.02%             | 2043-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AV0016 FN 10/28 FIXED 3                      | CUSIP: 3138XBAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116402 | PA      | $111552.15     | 0.01%             | 2028-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AV1004 FN 10/43 FIXED 5                      | CUSIP: 3138XCDJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32736 | PA      | $32753.86      | 0.00%             | 2043-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AV1030 FN 11/43 FIXED 5                      | CUSIP: 3138XCEC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48992 | PA      | $48989.23      | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AV1374 FN 11/43 FIXED 4                      | CUSIP: 3138XCQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239408 | PA      | $230911.51     | 0.02%             | 2043-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AV1885 FN 12/33 FIXED 4                      | CUSIP: 3138XDCX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1175660 | PA      | $1138955.67    | 0.09%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AW4752 FN 06/44 FIXED 5                      | CUSIP: 3138XUH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73752 | PA      | $74438.26      | 0.01%             | 2044-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AW6509 FN 06/44 FIXED 4.5                    | CUSIP: 3138XWGT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182299 | PA      | $178714.93     | 0.01%             | 2044-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AX2180 FN 11/44 FIXED 5                      | CUSIP: 3138Y3M65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13314 | PA      | $13203.58      | 0.00%             | 2044-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AX9643 FN 04/30 FIXED 2                      | CUSIP: 3138YBWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      85152 | PA      | $78398.39      | 0.01%             | 2030-04-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL AZ1909 FN 06/45 FIXED 3                      | CUSIP: 3138YTDP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40907 | PA      | $36278.18      | 0.00%             | 2045-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BA4544 FN 11/35 FIXED 4                      | CUSIP: 3140E9BN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2504501 | PA      | $2447880.50    | 0.20%             | 2035-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BD0824 FN 10/46 FIXED 3                      | CUSIP: 3140F74J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207709 | PA      | $186453.23     | 0.01%             | 2046-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BD1201 FN 06/46 FIXED 4                      | CUSIP: 3140F8KP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289761 | PA      | $277756.29     | 0.02%             | 2046-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BD8968 FN 11/46 FIXED 3.5                    | CUSIP: 3140FG6E4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3031775 | PA      | $2836241.62    | 0.23%             | 2046-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BE5523 FN 02/37 FIXED 4                      | CUSIP: 3140FRD51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1127564 | PA      | $1090653.43    | 0.09%             | 2037-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0102 FN 06/56 FIXED 3.5                    | CUSIP: 3140FXDG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8395125 | PA      | $7680835.76    | 0.61%             | 2056-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0167 FN 02/57 FIXED 3                      | CUSIP: 3140FXFH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4900382 | PA      | $4319764.03    | 0.34%             | 2057-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0169 FN 01/57 FIXED 3.5                    | CUSIP: 3140FXFK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7546273 | PA      | $6932045.73    | 0.55%             | 2057-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0262 FN 05/58 FIXED 3                      | CUSIP: 3140FXJG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5322197 | PA      | $4691965.24    | 0.37%             | 2058-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0334 FN 01/59 FIXED 3.5                    | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11363055 | PA      | $10438626.10   | 0.83%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BF0383 FN 04/59 FIXED 4.5                    | CUSIP: 3140FXM90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11338411 | PA      | $11061285.07   | 0.88%             | 2059-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH3643 FN 06/47 FIXED 5                      | CUSIP: 3140GSBM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     132319 | PA      | $131739.55     | 0.01%             | 2047-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH5368 FN 08/47 FIXED 3.5                    | CUSIP: 3140GT6E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     672462 | PA      | $625756.51     | 0.05%             | 2047-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH7500 FN 11/47 FIXED 3.5                    | CUSIP: 3140GWKN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1409557 | PA      | $1307054.77    | 0.10%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH9315 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     956174 | PA      | $896144.62     | 0.07%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH9316 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYK65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6796897 | PA      | $6355066.19    | 0.51%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BH9574 FN 09/47 FIXED 3.5                    | CUSIP: 3140GYT82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     781974 | PA      | $725024.85     | 0.06%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ3432 FN 02/48 FIXED 3.5                    | CUSIP: 3140H4Y65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96365 | PA      | $89337.51      | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ3862 FN 01/38 FIXED 3                      | CUSIP: 3140H5JG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3775185 | PA      | $3475775.33    | 0.28%             | 2038-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ4362 FN 11/32 FIXED 2                      | CUSIP: 3140H5Z46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146938 | PA      | $133227.43     | 0.01%             | 2032-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ4616 FN 02/48 FIXED 4                      | CUSIP: 3140H6DW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1610792 | PA      | $1537396.33    | 0.12%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ4826 FN 02/48 FIXED 3.5                    | CUSIP: 3140H6LG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     817560 | PA      | $755912.55     | 0.06%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ6388 FN 02/48 FIXED 4                      | CUSIP: 3140H8C29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     851586 | PA      | $812121.63     | 0.06%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ7040 FN 08/38 FIXED 4                      | CUSIP: 3140H8ZE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     333132 | PA      | $315308.14     | 0.03%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BJ9942 FN 04/48 FIXED 4                      | CUSIP: 3140HCBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129817 | PA      | $125250.24     | 0.01%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BK1962 FN 03/48 FIXED 4                      | CUSIP: 3140HFFC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     619055 | PA      | $591040.57     | 0.05%             | 2048-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BK7974 FN 11/33 FIXED 4                      | CUSIP: 3140HM2G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3670667 | PA      | $3613925.49    | 0.29%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BK8736 FN 01/49 FIXED 4.5                    | CUSIP: 3140HNV66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     949023 | PA      | $931909.09     | 0.07%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BL1296 FN 02/26 FIXED 3.575                  | CUSIP: 3140HSNN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9000000 | PA      | $8688616.11    | 0.69%             | 2026-02-01      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM1931 FN 07/47 FIXED VAR                    | CUSIP: 3140J6ED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     177277 | PA      | $179682.11     | 0.01%             | 2047-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM3638 FN 08/44 FIXED VAR                    | CUSIP: 3140J8BG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2032014 | PA      | $1986634.44    | 0.16%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM4434 FN 06/48 FIXED VAR                    | CUSIP: 3140J84U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     945008 | PA      | $948654.02     | 0.08%             | 2048-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM4521 FN 08/38 FIXED VAR                    | CUSIP: 3140J9AX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1507906 | PA      | $1457029.53    | 0.12%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM4583 FN 09/42 FIXED VAR                    | CUSIP: 3140J9CV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     305585 | PA      | $286329.41     | 0.02%             | 2042-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM4645 FN 10/38 FIXED VAR                    | CUSIP: 3140J9ET4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     271157 | PA      | $249652.19     | 0.02%             | 2038-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM5034 FN 12/33 FIXED VAR                    | CUSIP: 3140J9SY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2696187 | PA      | $2643996.33    | 0.21%             | 2033-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM5989 FN 11/48 FLOATING VAR                 | CUSIP: 3140JAUP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     966585 | PA      | $960624.06     | 0.08%             | 2048-11-01      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM6156 FN 01/49 FLOATING VAR                 | CUSIP: 3140JAZW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1949908 | PA      | $1917358.62    | 0.15%             | 2049-01-01      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BM6158 FN 12/48 FLOATING VAR                 | CUSIP: 3140JAZY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1884934 | PA      | $1883029.06    | 0.15%             | 2048-12-01      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BN0932 FN 12/48 FIXED 4                      | CUSIP: 3140JHBA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3338462 | PA      | $3186327.65    | 0.25%             | 2048-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BN4325 FN 01/49 FIXED 4.5                    | CUSIP: 3140JLYX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     873596 | PA      | $856976.86     | 0.07%             | 2049-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BN5883 FN 03/49 FIXED 5                      | CUSIP: 3140JNRD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     284934 | PA      | $284359.88     | 0.02%             | 2049-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BN6230 FN 04/49 FIXED 3.5                    | CUSIP: 3140JN4Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     492882 | PA      | $454179.79     | 0.04%             | 2049-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BO5356 FN 12/49 FIXED 3                      | CUSIP: 3140K05S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1579817 | PA      | $1403983.84    | 0.11%             | 2049-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BO9008 FN 02/50 FIXED 3                      | CUSIP: 3140K5AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4160900 | PA      | $3686984.60    | 0.29%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BR8465 FN 04/51 FIXED 2.5                    | CUSIP: 3140L7MP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2167719 | PA      | $1843352.92    | 0.15%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BU0997 FN 11/51 FIXED 3                      | CUSIP: 3140M2DB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2779035 | PA      | $2449475.14    | 0.20%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BU5859 FN 11/51 FIXED 3                      | CUSIP: 3140M7QM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     806170 | PA      | $710561.36     | 0.06%             | 2051-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BU9251 FN 04/52 FIXED 3                      | CUSIP: 3140MBH54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71224 | PA      | $62774.33      | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BV0592 FN 04/52 FIXED 3                      | CUSIP: 3140MDUS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54768 | PA      | $48218.52      | 0.00%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BV1252 FN 04/52 FIXED 3                      | CUSIP: 3140MEMA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104464 | PA      | $92070.08      | 0.01%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BV5386 FN 04/52 FIXED 3                      | CUSIP: 3140MJ6Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3897486 | PA      | $3435093.15    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL BW3079 FN 06/42 FIXED 3                      | CUSIP: 3140MUM56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65210 | PA      | $58060.59      | 0.00%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA1360 FN 03/48 FIXED 3.5                    | CUSIP: 3140Q8QN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    9907773 | PA      | $9188293.88    | 0.73%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2020 FN 05/48 FIXED 3                      | CUSIP: 3140Q9G64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     543067 | PA      | $482314.11     | 0.04%             | 2048-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2234 FN 08/38 FIXED 4                      | CUSIP: 3140Q9PU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     827476 | PA      | $787547.18     | 0.06%             | 2038-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2682 FN 03/33 FIXED 2                      | CUSIP: 3140Q96U2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1062481 | PA      | $959593.30     | 0.08%             | 2033-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2833 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     997490 | PA      | $999324.10     | 0.08%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2835 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1077449 | PA      | $1062804.15    | 0.08%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA2837 FN 12/38 FIXED 4.5                    | CUSIP: 3140QAEK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     759224 | PA      | $761556.95     | 0.06%             | 2038-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA3718 FN 06/49 FIXED 4                      | CUSIP: 3140QBDY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16861503 | PA      | $16074158.06   | 1.28%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA4543 FN 11/49 FIXED 3                      | CUSIP: 3140QCBM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2029779 | PA      | $1821481.15    | 0.15%             | 2049-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA5561 FN 04/50 FIXED 3.5                    | CUSIP: 3140QDFB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     924821 | PA      | $853801.64     | 0.07%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA6009 FN 05/50 FIXED 3.5                    | CUSIP: 3140QDVB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     325904 | PA      | $298904.12     | 0.02%             | 2050-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA6424 FN 07/50 FIXED 3                      | CUSIP: 3140QED66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5163101 | PA      | $4566461.78    | 0.36%             | 2050-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CA8528 FN 01/51 FIXED 2.5                    | CUSIP: 3140QGPN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5133822 | PA      | $4369534.07    | 0.35%             | 2051-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB0198 FN 04/51 FIXED 3                      | CUSIP: 3140QKGG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3757096 | PA      | $3316685.10    | 0.26%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB0200 FN 04/51 FIXED 3                      | CUSIP: 3140QKGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13579005 | PA      | $11987258.76   | 0.96%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB0356 FN 05/51 FIXED 3                      | CUSIP: 3140QKME5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7340065 | PA      | $6469701.27    | 0.52%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB0613 FN 05/51 FIXED 3                      | CUSIP: 3140QKVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4516031 | PA      | $3980498.92    | 0.32%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB0810 FN 06/51 FIXED 1.5                    | CUSIP: 3140QK3U0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     136756 | PA      | $105773.27     | 0.01%             | 2051-06-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB2301 FN 12/51 FIXED 3                      | CUSIP: 3140QMRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4580648 | PA      | $4028808.16    | 0.32%             | 2051-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB3046 FN 03/52 FIXED 2.5                    | CUSIP: 3140QNL42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     782969 | PA      | $667518.91     | 0.05%             | 2052-03-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB3242 FN 04/52 FIXED 3                      | CUSIP: 3140QNS86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5771116 | PA      | $5081546.46    | 0.41%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB3277 FN 04/52 FIXED 3                      | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3837352 | PA      | $3373636.61    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB3278 FN 04/52 FIXED 3                      | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3798662 | PA      | $3347996.69    | 0.27%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB3360 FN 04/52 FIXED 3                      | CUSIP: 3140QNWW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2466718 | PA      | $2168504.84    | 0.17%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL CB4106 FN 07/52 FIXED 3                      | CUSIP: 3140QPR41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1982749 | PA      | $1745312.49    | 0.14%             | 2052-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM0076 FN 03/50 FIXED VAR                    | CUSIP: 3140X3CN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3948450 | PA      | $3505131.61    | 0.28%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM1514 FN 09/49 FIXED VAR                    | CUSIP: 3140X4VG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3723044 | PA      | $3299189.36    | 0.26%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM1631 FN 09/49 FIXED VAR                    | CUSIP: 3140X4Y59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4528460 | PA      | $4013154.17    | 0.32%             | 2049-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM2333 FN 02/50 FIXED VAR                    | CUSIP: 3140X5SX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300993 | PA      | $278565.16     | 0.02%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM2419 FN 02/50 FIXED VAR                    | CUSIP: 3140X5VM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   22890318 | PA      | $20232493.68   | 1.61%             | 2050-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM3229 FN 02/47 FIXED VAR                    | CUSIP: 3140X6ST9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7850029 | PA      | $7351463.02    | 0.59%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM3241 FN 03/50 FIXED VAR                    | CUSIP: 3140X6S77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17275677 | PA      | $15336037.10   | 1.22%             | 2050-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM3493 FN 05/35 FIXED VAR                    | CUSIP: 3140X63B5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3177505 | PA      | $3058615.78    | 0.24%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM4862 FN 11/50 FIXED VAR                    | CUSIP: 3140X8ML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2220964 | PA      | $1892305.38    | 0.15%             | 2050-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM7070 FN 04/51 FIXED VAR                    | CUSIP: 3140XA2C5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5557342 | PA      | $4955125.68    | 0.39%             | 2051-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM7441 FN 05/51 FIXED VAR                    | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3605622 | PA      | $3182953.13    | 0.25%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM7534 FN 04/50 FIXED VAR                    | CUSIP: 3140XBLQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     354939 | PA      | $326114.60     | 0.03%             | 2050-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM8662 FN 08/51 FIXED VAR                    | CUSIP: 3140XCTU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4244030 | PA      | $3733045.89    | 0.30%             | 2051-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM9166 FN 10/51 FIXED VAR                    | CUSIP: 3140XDFG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2730580 | PA      | $2403940.94    | 0.19%             | 2051-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FM9966 FN 08/43 FIXED VAR                    | CUSIP: 3140XECC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   33069687 | PA      | $30918265.87   | 2.46%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS0406 FN 02/47 FIXED VAR                    | CUSIP: 3140XFNY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1098444 | PA      | $997750.37     | 0.08%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS0900 FN 07/43 FIXED VAR                    | CUSIP: 3140XGAA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13080497 | PA      | $12257293.23   | 0.98%             | 2043-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS1026 FN 02/52 FIXED VAR                    | CUSIP: 3140XGD89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     216340 | PA      | $191175.55     | 0.02%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS1073 FN 03/52 FIXED VAR                    | CUSIP: 3140XGFP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4249373 | PA      | $3741957.04    | 0.30%             | 2052-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS1548 FN 04/52 FIXED VAR                    | CUSIP: 3140XGWJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1150902 | PA      | $977455.04     | 0.08%             | 2052-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS1907 FN 07/47 FIXED VAR                    | CUSIP: 3140XHDM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     967215 | PA      | $904614.63     | 0.07%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS1910 FN 01/44 FIXED VAR                    | CUSIP: 3140XHDQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     418145 | PA      | $391830.17     | 0.03%             | 2044-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS2338 FN 11/46 FIXED VAR                    | CUSIP: 3140XHS40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5687945 | PA      | $5176709.43    | 0.41%             | 2046-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL FS2678 FN 01/52 FIXED VAR                    | CUSIP: 3140XH6Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8634004 | PA      | $7344766.07    | 0.59%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0022 FN 04/29 FIXED 4.5                    | CUSIP: 31417YAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11769 | PA      | $11689.52      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0140 FN 08/29 FIXED 4.5                    | CUSIP: 31417YEN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73737 | PA      | $73238.25      | 0.01%             | 2029-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0156 FN 08/29 FIXED 5                      | CUSIP: 31417YE60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29802 | PA      | $29983.18      | 0.00%             | 2029-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0185 FN 08/39 FIXED 5.5                    | CUSIP: 31417YF36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     770829 | PA      | $764228.32     | 0.06%             | 2039-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0200 FN 10/29 FIXED 4.5                    | CUSIP: 31417YGJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32647 | PA      | $32425.75      | 0.00%             | 2029-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0232 FN 11/29 FIXED 4.5                    | CUSIP: 31417YHJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15838 | PA      | $15730.40      | 0.00%             | 2029-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0250 FN 11/39 FIXED 5                      | CUSIP: 31417YH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18366 | PA      | $18139.08      | 0.00%             | 2039-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0264 FN 12/29 FIXED 4.5                    | CUSIP: 31417YJJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28928 | PA      | $28732.27      | 0.00%             | 2029-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0382 FN 04/30 FIXED 4                      | CUSIP: 31417YM87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1333 | PA      | $1298.09       | 0.00%             | 2030-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0549 FN 09/25 FIXED 4.5                    | CUSIP: 31417YTF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12248 | PA      | $12235.88      | 0.00%             | 2025-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0606 FN 12/30 FIXED 4.5                    | CUSIP: 31417YU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13392 | PA      | $13300.88      | 0.00%             | 2030-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0644 FN 12/25 FIXED 4.5                    | CUSIP: 31417YWE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18445 | PA      | $18427.03      | 0.00%             | 2025-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA0818 FN 08/31 FIXED 4                      | CUSIP: 31417Y4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185708 | PA      | $179926.76     | 0.01%             | 2031-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA1248 FN 11/42 FIXED 3                      | CUSIP: 31418AL63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1043936 | PA      | $938637.70     | 0.07%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA2800 FN 11/26 FIXED 2                      | CUSIP: 31418CDE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49427 | PA      | $47041.80      | 0.00%             | 2026-11-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA2903 FN 02/32 FIXED 3                      | CUSIP: 31418CGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     292219 | PA      | $279821.07     | 0.02%             | 2032-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA3288 FN 12/32 FIXED 2                      | CUSIP: 31418CUN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     498460 | PA      | $450193.37     | 0.04%             | 2032-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA3335 FN 04/38 FIXED 3                      | CUSIP: 31418CV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114966 | PA      | $106771.83     | 0.01%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA3359 FN 04/38 FIXED 3                      | CUSIP: 31418CWV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3597962 | PA      | $3341498.97    | 0.27%             | 2038-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA3894 FN 09/31 FIXED 4                      | CUSIP: 31418DKG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116295 | PA      | $112674.22     | 0.01%             | 2031-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4256 FN 02/51 FIXED 2.5                    | CUSIP: 31418DWS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2867184 | PA      | $2432543.55    | 0.19%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4306 FN 04/51 FIXED 2.5                    | CUSIP: 31418DYC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8243862 | PA      | $7012060.33    | 0.56%             | 2051-04-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4632 FN 06/42 FIXED 3                      | CUSIP: 31418EEE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     723729 | PA      | $647246.88     | 0.05%             | 2042-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4643 FN 05/42 FIXED 3                      | CUSIP: 31418EER7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1157816 | PA      | $1035457.31    | 0.08%             | 2042-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4660 FN 07/42 FIXED 3                      | CUSIP: 31418EFA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2064318 | PA      | $1846161.49    | 0.15%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                  | FNMA POOL MA4695 FN 07/42 FIXED 3                      | CUSIP: 31418EGD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     167043 | PA      | $149390.07     | 0.01%             | 2042-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1885                                      | FREDDIE MAC FHR 1885 FA                                | CUSIP: 3133T83D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11173 | PA      | $11117.49      | 0.00%             | 2026-09-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 1966                                      | FREDDIE MAC FHR 1966 Z                                 | CUSIP: 3133TABZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9812 | PA      | $9981.01       | 0.00%             | 2027-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2030                                      | FREDDIE MAC FHR 2030 F                                 | CUSIP: 3133TCXU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4960 | PA      | $4947.57       | 0.00%             | 2028-02-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2061                                      | FREDDIE MAC FHR 2061 Z                                 | CUSIP: 3133TEJX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35145 | PA      | $36106.17      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2065                                      | FREDDIE MAC FHR 2065 Z                                 | CUSIP: 3133TEFV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10498 | PA      | $10807.72      | 0.00%             | 2028-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2080                                      | FREDDIE MAC FHR 2080 Z                                 | CUSIP: 3133TG3U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6351 | PA      | $6474.74       | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2084                                      | FREDDIE MAC FHR 2084 ZC                                | CUSIP: 3133TG5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20819 | PA      | $21198.54      | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2091                                      | FREDDIE MAC FHR 2091 ZC                                | CUSIP: 3133TGU49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33458 | PA      | $33861.59      | 0.00%             | 2028-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2104                                      | FREDDIE MAC FHR 2104 ZM                                | CUSIP: 3133THB89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68171 | PA      | $69592.20      | 0.01%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2106                                      | FREDDIE MAC FHR 2106 ZB                                | CUSIP: 3133THDB0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68125 | PA      | $69200.82      | 0.01%             | 2028-12-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2107                                      | FREDDIE MAC FHR 2107 G                                 | CUSIP: 3133TGZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62905 | PA      | $62142.25      | 0.00%             | 2028-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2114                                      | FREDDIE MAC FHR 2114 PM                                | CUSIP: 3133THPL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72700 | PA      | $73302.11      | 0.01%             | 2029-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2118                                      | FREDDIE MAC FHR 2118 PE                                | CUSIP: 3133THS81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30127 | PA      | $31080.33      | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2178                                      | FREDDIE MAC FHR 2178 PI                                | CUSIP: 3133TLUJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1262 | PA      | $179.65        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2189                                      | FREDDIE MAC FHR 2189 F                                 | CUSIP: 3133TLXV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     102194 | PA      | $102965.91     | 0.01%             | 2027-07-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2266                                      | FREDDIE MAC FHR 2266 F                                 | CUSIP: 3133TQFM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $42.03         | 0.00%             | 2030-11-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2293                                      | FREDDIE MAC FHR 2293 F                                 | CUSIP: 3133TSB85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11999 | PA      | $11936.34      | 0.00%             | 2031-03-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2319                                      | FREDDIE MAC FHR 2319 PZ                                | CUSIP: 3133TT4X6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      70250 | PA      | $73329.92      | 0.01%             | 2031-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2341                                      | FREDDIE MAC FHR 2341 PZ                                | CUSIP: 313398DG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     144467 | PA      | $148931.32     | 0.01%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2385                                      | FREDDIE MAC FHR 2385 FA                                | CUSIP: 31339L4U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     249820 | PA      | $251339.59     | 0.02%             | 2031-04-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2395                                      | FREDDIE MAC FHR 2395 FT                                | CUSIP: 31339LMA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6903 | PA      | $6841.00       | 0.00%             | 2031-12-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2411                                      | FREDDIE MAC FHR 2411 FJ                                | CUSIP: 31339D4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26843 | PA      | $26574.29      | 0.00%             | 2029-12-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2415                                      | FREDDIE MAC FHR 2415 ZA                                | CUSIP: 31339DKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7659 | PA      | $7985.96       | 0.00%             | 2032-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2431                                      | FREDDIE MAC FHR 2431 F                                 | CUSIP: 31339NQ74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        182 | PA      | $180.93        | 0.00%             | 2032-03-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2452                                      | FREDDIE MAC FHR 2452 FG                                | CUSIP: 31392K6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        402 | PA      | $398.42        | 0.00%             | 2032-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2454                                      | FREDDIE MAC FHR 2454 FQ                                | CUSIP: 31392KC38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18960 | PA      | $19066.57      | 0.00%             | 2031-06-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2457                                      | FREDDIE MAC FHR 2457 PE                                | CUSIP: 31392PKZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31739 | PA      | $32995.36      | 0.00%             | 2032-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2503                                      | FREDDIE MAC FHR 2503 PZ                                | CUSIP: 31392UMD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17721 | PA      | $18286.17      | 0.00%             | 2032-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2820                                      | FREDDIE MAC FHR 2820 FY                                | CUSIP: 31395CEC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2373 | PA      | $2343.02       | 0.00%             | 2034-07-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3596                                      | FREDDIE MAC FHR 3596 FC                                | CUSIP: 31398KUV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     276182 | PA      | $274272.03     | 0.02%             | 2035-08-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4836                                      | FREDDIE MAC FHR 4836 PO                                | CUSIP: 3137FJE21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10317207 | PA      | $7326034.26    | 0.58%             | 2058-10-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                      | FREDDIE MAC FHR 4839 UO                                | CUSIP: 3137FJJY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3278127 | PA      | $2621100.02    | 0.21%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4839                                      | FREDDIE MAC FHR 4839 WO                                | CUSIP: 3137FJK81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26042679 | PA      | $18042401.74   | 1.44%             | 2056-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MTG 2142                                  | FREDDIE MAC FHR 2142 Z                                 | CUSIP: 3133TKDP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17025 | PA      | $17150.69      | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3621                               | FREDDIE MAC FHR 3621 WI                                | CUSIP: 31398W2S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     118480 | PA      | $4699.04       | 0.00%             | 2037-05-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3635                               | FREDDIE MAC FHR 3635 IB                                | CUSIP: 31398WJ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176266 | PA      | $6427.15       | 0.00%             | 2037-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3684                               | FREDDIE MAC FHR 3684 JI                                | CUSIP: 3137A06E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     505124 | PA      | $28820.94      | 0.00%             | 2036-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3924                               | FREDDIE MAC FHR 3924 KI                                | CUSIP: 3137AF6R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     628116 | PA      | $28055.68      | 0.00%             | 2026-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3962                               | FREDDIE MAC FHR 3962 KS                                | CUSIP: 3137AJKA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385327 | PA      | $20213.32      | 0.00%             | 2038-06-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4094                               | FREDDIE MAC FHR 4094 BZ                                | CUSIP: 3137ASV50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3634112 | PA      | $3343897.23    | 0.27%             | 2032-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4142                               | FREDDIE MAC FHR 4142 KI                                | CUSIP: 3137AX5M1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1568856 | PA      | $68736.44      | 0.01%             | 2027-12-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4165                               | FREDDIE MAC FHR 4165 TI                                | CUSIP: 3137AYSK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2257002 | PA      | $160701.03     | 0.01%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4182                               | FREDDIE MAC FHR 4182 QI                                | CUSIP: 3137B0ZL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     297281 | PA      | $18903.10      | 0.00%             | 2033-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4255                               | FREDDIE MAC FHR 4255 SN                                | CUSIP: 3137B5HZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3315576 | PA      | $2908815.69    | 0.23%             | 2035-05-15      | Floating      | 1.28%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4262                               | FREDDIE MAC FHR 4262 SB                                | CUSIP: 3137B4XS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4004796 | PA      | $3358579.74    | 0.27%             | 2041-05-15      | Floating      | 0.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4265                               | FREDDIE MAC FHR 4265 LS                                | CUSIP: 3137B5RV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4190988 | PA      | $3264765.90    | 0.26%             | 2035-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4324                               | FREDDIE MAC FHR 4324 IO                                | CUSIP: 3137BAGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222002 | PA      | $5673.12       | 0.00%             | 2036-08-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4338                               | FREDDIE MAC FHR 4338 SB                                | CUSIP: 3137BB7D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     274899 | PA      | $10970.93      | 0.00%             | 2041-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4367                               | FREDDIE MAC FHR 4367 GS                                | CUSIP: 3137BCL55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182014 | PA      | $8874.24       | 0.00%             | 2037-03-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4394                               | FREDDIE MAC FHR 4394 WI                                | CUSIP: 3137BEV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     157899 | PA      | $6252.09       | 0.00%             | 2041-08-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4438                               | FREDDIE MAC FHR 4438 WI                                | CUSIP: 3137BGLL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     507495 | PA      | $20479.67      | 0.00%             | 2038-11-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4463                               | FREDDIE MAC FHR 4463 IO                                | CUSIP: 3137BHGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342940 | PA      | $12972.55      | 0.00%             | 2038-02-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4544                               | FREDDIE MAC FHR 4544 IP                                | CUSIP: 3137BMQG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4101160 | PA      | $687602.56     | 0.05%             | 2046-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4821                               | FREDDIE MAC FHR 4821 FL                                | CUSIP: 3137FHED1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1249973 | PA      | $1202468.91    | 0.10%             | 2048-06-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4825                               | FREDDIE MAC FHR 4825 NI                                | CUSIP: 3137FH6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     961366 | PA      | $152979.61     | 0.01%             | 2048-09-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4845                               | FREDDIE MAC FHR 4845 WF                                | CUSIP: 3137FK2D7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2232576 | PA      | $2174066.00    | 0.17%             | 2048-12-15      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4940                               | FREDDIE MAC FHR 4940 FE                                | CUSIP: 3137FQLW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1716870 | PA      | $1672446.66    | 0.13%             | 2050-01-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4945                               | FREDDIE MAC FHR 4945 F                                 | CUSIP: 3137FQLE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     585808 | PA      | $582406.27     | 0.05%             | 2046-12-15      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                               | FREDDIE MAC FHR 4989 FA                                | CUSIP: 3137FUKP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3536172 | PA      | $3437633.97    | 0.27%             | 2040-08-15      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4989                               | FREDDIE MAC FHR 4989 FB                                | CUSIP: 3137FUKQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3509165 | PA      | $3417125.73    | 0.27%             | 2040-10-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS-3598                               | FREDDIE MAC FHR 3598 JI                                | CUSIP: 31398KZ94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      69890 | PA      | $1941.91       | 0.00%             | 2037-10-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 303                                | FREDDIEMAC STRIP FHS 303 C19                           | CUSIP: 31325UEH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3466810 | PA      | $543403.08     | 0.04%             | 2043-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 322                                | FREDDIEMAC STRIP FHS 322 V1                            | CUSIP: 3132HTY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1530557 | PA      | $1371837.22    | 0.11%             | 2043-12-15      | Floating      | 2.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 326                                | FREDDIEMAC STRIP FHS 326 F2                            | CUSIP: 3132HT3R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1092555 | PA      | $1071027.96    | 0.09%             | 2044-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 329                                | FREDDIEMAC STRIP FHS 329 C5                            | CUSIP: 31325VHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5877094 | PA      | $931066.85     | 0.07%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 330                                | FREDDIEMAC STRIP FHS 330 F4                            | CUSIP: 31351DDT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     815362 | PA      | $801732.18     | 0.06%             | 2037-10-15      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 345                                | FREDDIEMAC STRIP FHS 345 C13                           | CUSIP: 31325VRC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2179731 | PA      | $367813.93     | 0.03%             | 2045-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1502                                      | FREDDIE MAC FHR 1502 PX                                | CUSIP: 312915HW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         54 | PA      | $54.08         | 0.00%             | 2023-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1503                                      | FREDDIE MAC FHR 1503 PZ                                | CUSIP: 312915U58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        294 | PA      | $293.90        | 0.00%             | 2023-05-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1548                                      | FREDDIE MAC FHR 1548 Z                                 | CUSIP: 312916XQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2447 | PA      | $2446.55       | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1562                                      | FREDDIE MAC FHR 1562 Z                                 | CUSIP: 312916ZY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        817 | PA      | $818.68        | 0.00%             | 2023-07-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1650                                      | FREDDIE MAC FHR 1650 K                                 | CUSIP: 3133T3WY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        619 | PA      | $620.78        | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1691                                      | FREDDIE MAC FHR 1691 EB                                | CUSIP: 3133T4GV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13555 | PA      | $13542.74      | 0.00%             | 2024-03-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1694                                      | FREDDIE MAC FHR 1694 Z                                 | CUSIP: 3133T4NZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11441 | PA      | $11492.53      | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1775                                      | FREDDIE MAC FHR 1775 Z                                 | CUSIP: 3133T6BZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9081 | PA      | $9335.64       | 0.00%             | 2025-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-1896                                      | FREDDIE MAC FHR 1896 Z                                 | CUSIP: 3133T82X4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19074 | PA      | $19139.33      | 0.00%             | 2026-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2053                                      | FREDDIE MAC FHR 2053 Z                                 | CUSIP: 3133TDE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25427 | PA      | $25779.44      | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2177                                      | FREDDIE MAC FHR 2177 F                                 | CUSIP: 3133TLPF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1060 | PA      | $1055.84       | 0.00%             | 2029-08-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-2206                                      | FREDDIE MAC FHR 2206 Z                                 | CUSIP: 3133TN4S0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35648 | PA      | $37642.30      | 0.00%             | 2030-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                        | FREMONT HOME LOAN TRUST FHLT 2006 B 2A4                | CUSIP: 35729QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6215521 | PA      | $2155085.94    | 0.17%             | 2036-08-25      | Floating      | 4.87%                 | 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        |    7900000 | PA      | $7726508.97    | 0.62%             | 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        |    4366116 | PA      | $4330747.59    | 0.35%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A    | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A    | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4100000 | PA      | $4029275.00    | 0.32%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                 | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35118 | PA      | $15786.08      | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GMAC MORTG CORP LOAN TRUST 2002-HE1                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2002 HE1 A2       | CUSIP: 361856BU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16166 | PA      | $12252.62      | 0.00%             | 2029-01-25      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002231 G2 06/26 FIXED 7                   | CUSIP: 36202CPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        124 | PA      | $124.78        | 0.00%             | 2026-06-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002359 G2 01/27 FIXED 7                   | CUSIP: 36202CTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $168.09        | 0.00%             | 2027-01-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002412 G2 04/27 FIXED 7                   | CUSIP: 36202CVD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        737 | PA      | $743.04        | 0.00%             | 2027-04-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002430 G2 05/27 FIXED 7                   | CUSIP: 36202CVX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1048 | PA      | $1060.20       | 0.00%             | 2027-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002444 G2 06/27 FIXED 7.5                 | CUSIP: 36202CWD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1488 | PA      | $1510.93       | 0.00%             | 2027-06-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002456 G2 07/27 FIXED 7                   | CUSIP: 36202CWR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         63 | PA      | $62.61         | 0.00%             | 2027-07-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002473 G2 08/27 FIXED 7.5                 | CUSIP: 36202CXA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        802 | PA      | $821.70        | 0.00%             | 2027-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002591 G2 05/28 FIXED 7                   | CUSIP: 36202C2Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1827 | PA      | $1859.12       | 0.00%             | 2028-05-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002632 G2 08/28 FIXED 7.5                 | CUSIP: 36202C4R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1289 | PA      | $1323.81       | 0.00%             | 2028-08-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002645 G2 09/28 FIXED 7                   | CUSIP: 36202C5E9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2194 | PA      | $2235.38       | 0.00%             | 2028-09-20      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002826 G2 10/29 FIXED 8                   | CUSIP: 36202DD73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7982 | PA      | $8359.47       | 0.00%             | 2029-10-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002841 G2 11/29 FIXED 8.5                 | CUSIP: 36202DEN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        544 | PA      | $543.71        | 0.00%             | 2029-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002885 G2 02/30 FIXED 8.5                 | CUSIP: 36202DF22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1261 | PA      | $1274.98       | 0.00%             | 2030-02-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002898 G2 03/30 FIXED 8.5                 | CUSIP: 36202DGF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        853 | PA      | $891.24        | 0.00%             | 2030-03-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002910 G2 04/30 FIXED 8.5                 | CUSIP: 36202DGT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1747 | PA      | $1794.45       | 0.00%             | 2030-04-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002922 G2 05/30 FIXED 8                   | CUSIP: 36202DG70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11761 | PA      | $12358.34      | 0.00%             | 2030-05-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002936 G2 06/30 FIXED 8.5                 | CUSIP: 36202DHM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1236 | PA      | $1281.01       | 0.00%             | 2030-06-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002947 G2 07/30 FIXED 8.5                 | CUSIP: 36202DHY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1554 | PA      | $1617.13       | 0.00%             | 2030-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002959 G2 08/30 FIXED 8.5                 | CUSIP: 36202DJC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5919 | PA      | $6192.35       | 0.00%             | 2030-08-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002960 G2 08/30 FIXED 9                   | CUSIP: 36202DJD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2605 | PA      | $2611.51       | 0.00%             | 2030-08-20      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002973 G2 09/30 FIXED 8                   | CUSIP: 36202DJS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1532 | PA      | $1612.50       | 0.00%             | 2030-09-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 002989 G2 10/30 FIXED 8.5                 | CUSIP: 36202DKA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1712 | PA      | $1792.95       | 0.00%             | 2030-10-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003001 G2 11/30 FIXED 8.5                 | CUSIP: 36202DKN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2649 | PA      | $2776.37       | 0.00%             | 2030-11-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003013 G2 12/30 FIXED 8.5                 | CUSIP: 36202DK26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        497 | PA      | $522.35        | 0.00%             | 2030-12-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003029 G2 01/31 FIXED 8.5                 | CUSIP: 36202DLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5918 | PA      | $6205.97       | 0.00%             | 2031-01-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003056 G2 03/31 FIXED 8                   | CUSIP: 36202DMD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3306 | PA      | $3422.69       | 0.00%             | 2031-03-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003442 G2 09/33 FIXED 5                   | CUSIP: 36202DZF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10561 | PA      | $10789.31      | 0.00%             | 2033-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003747 G2 08/35 FIXED 5                   | CUSIP: 36202EEU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11329 | PA      | $11573.09      | 0.00%             | 2035-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003829 G2 03/36 FIXED 5                   | CUSIP: 36202EHE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56770 | PA      | $57993.59      | 0.00%             | 2036-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003840 G2 04/36 FIXED 5                   | CUSIP: 36202EHR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30661 | PA      | $31325.10      | 0.00%             | 2036-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003850 G2 05/36 FIXED 5                   | CUSIP: 36202EH36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1132 | PA      | $1156.04       | 0.00%             | 2036-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003876 G2 07/36 FIXED 5                   | CUSIP: 36202EJV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40768 | PA      | $41647.13      | 0.00%             | 2036-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003908 G2 10/36 FIXED 5                   | CUSIP: 36202EKV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35326 | PA      | $35725.02      | 0.00%             | 2036-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003918 G2 11/36 FIXED 5                   | CUSIP: 36202EK73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22187 | PA      | $22535.85      | 0.00%             | 2036-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003929 G2 12/36 FIXED 5                   | CUSIP: 36202ELJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13737 | PA      | $14031.41      | 0.00%             | 2036-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003939 G2 01/37 FIXED 5                   | CUSIP: 36202ELU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67321 | PA      | $68779.16      | 0.01%             | 2037-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 003974 G2 04/37 FIXED 5                   | CUSIP: 36202EMX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5790 | PA      | $5915.30       | 0.00%             | 2037-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004015 G2 08/37 FIXED 5                   | CUSIP: 36202EN88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31484 | PA      | $32156.70      | 0.00%             | 2037-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004058 G2 12/37 FIXED 5                   | CUSIP: 36202EQK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14655 | PA      | $14972.26      | 0.00%             | 2037-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004083 G2 02/38 FIXED 5                   | CUSIP: 36202ERC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7140 | PA      | $7277.17       | 0.00%             | 2038-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004113 G2 04/38 FIXED 5                   | CUSIP: 36202ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217934 | PA      | $221984.92     | 0.02%             | 2038-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004143 G2 05/38 FIXED 5                   | CUSIP: 36202ES83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     606668 | PA      | $618511.36     | 0.05%             | 2038-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004164 G2 06/38 FIXED 6                   | CUSIP: 36202ETV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6464 | PA      | $6576.95       | 0.00%             | 2038-06-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004289 G2 11/38 FIXED 5                   | CUSIP: 36202EXS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     484842 | PA      | $493505.64     | 0.04%             | 2038-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004447 G2 05/39 FIXED 5                   | CUSIP: 36202E5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     208576 | PA      | $212280.59     | 0.02%             | 2039-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004553 G2 10/39 FIXED 4.5                 | CUSIP: 36202FBW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64939 | PA      | $63506.81      | 0.01%             | 2039-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004795 G2 09/40 FIXED 4                   | CUSIP: 36202FKG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86417 | PA      | $82323.33      | 0.01%             | 2040-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004924 G2 01/41 FIXED 5                   | CUSIP: 36202FPH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51270 | PA      | $52189.21      | 0.00%             | 2041-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 004979 G2 03/41 FIXED 5                   | CUSIP: 36202FQ82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     541810 | PA      | $551500.38     | 0.04%             | 2041-03-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005176 G2 09/41 FIXED 5                   | CUSIP: 36202FXD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5643 | PA      | $5744.29       | 0.00%             | 2041-09-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005261 G2 12/41 FIXED 5                   | CUSIP: 36202FZ25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     817955 | PA      | $832659.27     | 0.07%             | 2041-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005282 G2 01/42 FIXED 5                   | CUSIP: 36202F2P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1672458 | PA      | $1702395.84    | 0.14%             | 2042-01-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005303 G2 02/42 FIXED 4                   | CUSIP: 36202F3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11614 | PA      | $11070.01      | 0.00%             | 2042-02-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005307 G2 02/42 FIXED 5                   | CUSIP: 36202F3Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     135513 | PA      | $137947.66     | 0.01%             | 2042-02-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 005339 G2 03/27 FIXED 2.5                 | CUSIP: 36202F4Y9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53479 | PA      | $51467.05      | 0.00%             | 2027-03-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008123 G2 01/23 FLOATING VAR              | CUSIP: 36202KAY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.37         | 0.00%             | 2023-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008146 G2 02/23 FLOATING VAR              | CUSIP: 36202KBP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         33 | PA      | $32.94         | 0.00%             | 2023-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008157 G2 03/23 FLOATING VAR              | CUSIP: 36202KB20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        541 | PA      | $539.55        | 0.00%             | 2023-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008180 G2 04/23 FLOATING VAR              | CUSIP: 36202KCR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1550 | PA      | $1545.33       | 0.00%             | 2023-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008198 G2 05/23 FLOATING VAR              | CUSIP: 36202KDB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        509 | PA      | $507.02        | 0.00%             | 2023-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008216 G2 06/23 FLOATING VAR              | CUSIP: 36202KDV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1157 | PA      | $1152.93       | 0.00%             | 2023-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008217 G2 06/23 FLOATING VAR              | CUSIP: 36202KDW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        478 | PA      | $476.31        | 0.00%             | 2023-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008228 G2 07/23 FLOATING VAR              | CUSIP: 36202KD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $171.23        | 0.00%             | 2023-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008247 G2 07/23 FLOATING VAR              | CUSIP: 36202KEU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2037 | PA      | $2023.68       | 0.00%             | 2023-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008260 G2 08/23 FLOATING VAR              | CUSIP: 36202KE92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        442 | PA      | $438.99        | 0.00%             | 2023-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008269 G2 08/23 FLOATING VAR              | CUSIP: 36202KFJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1248 | PA      | $1238.10       | 0.00%             | 2023-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008279 G2 09/23 FLOATING VAR              | CUSIP: 36202KFU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        937 | PA      | $929.19        | 0.00%             | 2023-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008280 G2 09/23 FLOATING VAR              | CUSIP: 36202KFV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1214 | PA      | $1204.12       | 0.00%             | 2023-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008288 G2 09/23 FLOATING VAR              | CUSIP: 36202KF59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        137 | PA      | $135.50        | 0.00%             | 2023-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008350 G2 01/24 FLOATING VAR              | CUSIP: 36202KH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3226 | PA      | $3202.79       | 0.00%             | 2024-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008362 G2 02/24 FLOATING VAR              | CUSIP: 36202KJF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2441 | PA      | $2411.51       | 0.00%             | 2024-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008371 G2 02/24 FLOATING VAR              | CUSIP: 36202KJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1472 | PA      | $1464.75       | 0.00%             | 2024-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008386 G2 03/24 FLOATING VAR              | CUSIP: 36202KJ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        430 | PA      | $428.39        | 0.00%             | 2024-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008387 G2 03/24 FLOATING VAR              | CUSIP: 36202KJ89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1569 | PA      | $1561.19       | 0.00%             | 2024-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008410 G2 04/24 FLOATING VAR              | CUSIP: 36202KKX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4715 | PA      | $4678.89       | 0.00%             | 2024-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008420 G2 05/24 FLOATING VAR              | CUSIP: 36202KK95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6228 | PA      | $6199.36       | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008430 G2 05/24 FLOATING VAR              | CUSIP: 36202KLK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $511.32        | 0.00%             | 2024-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008443 G2 06/24 FLOATING VAR              | CUSIP: 36202KLY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3040 | PA      | $3028.49       | 0.00%             | 2024-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008449 G2 06/24 FLOATING VAR              | CUSIP: 36202KL60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        345 | PA      | $341.96        | 0.00%             | 2024-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008466 G2 07/24 FLOATING VAR              | CUSIP: 36202KMP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        666 | PA      | $661.27        | 0.00%             | 2024-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008480 G2 08/24 FLOATING VAR              | CUSIP: 36202KM51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2259 | PA      | $2229.26       | 0.00%             | 2024-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008482 G2 08/24 FLOATING VAR              | CUSIP: 36202KM77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2371 | PA      | $2340.26       | 0.00%             | 2024-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008492 G2 09/24 FLOATING VAR              | CUSIP: 36202KNH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        347 | PA      | $340.25        | 0.00%             | 2024-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008496 G2 09/24 FLOATING VAR              | CUSIP: 36202KNM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4755 | PA      | $4698.84       | 0.00%             | 2024-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008503 G2 09/24 FLOATING VAR              | CUSIP: 36202KNU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        783 | PA      | $773.76        | 0.00%             | 2024-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008505 G2 09/24 FLOATING VAR              | CUSIP: 36202KNW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3676 | PA      | $3637.50       | 0.00%             | 2024-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008578 G2 01/25 FLOATING VAR              | CUSIP: 36202KQ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        305 | PA      | $299.32        | 0.00%             | 2025-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008580 G2 01/25 FLOATING VAR              | CUSIP: 36202KQ99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21213 | PA      | $20992.43      | 0.00%             | 2025-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008592 G2 02/25 FLOATING VAR              | CUSIP: 36202KRM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        939 | PA      | $920.11        | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008595 G2 02/25 FLOATING VAR              | CUSIP: 36202KRQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2557 | PA      | $2525.49       | 0.00%             | 2025-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008608 G2 03/25 FLOATING VAR              | CUSIP: 36202KR56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        763 | PA      | $747.97        | 0.00%             | 2025-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008619 G2 04/25 FLOATING VAR              | CUSIP: 36202KSG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        272 | PA      | $267.34        | 0.00%             | 2025-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008631 G2 05/25 FLOATING VAR              | CUSIP: 36202KSU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        916 | PA      | $908.76        | 0.00%             | 2025-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008633 G2 05/25 FLOATING VAR              | CUSIP: 36202KSW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2806 | PA      | $2766.69       | 0.00%             | 2025-05-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008639 G2 06/25 FLOATING VAR              | CUSIP: 36202KS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12528 | PA      | $12415.10      | 0.00%             | 2025-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008643 G2 06/25 FLOATING VAR              | CUSIP: 36202KS89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5393 | PA      | $5338.27       | 0.00%             | 2025-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008649 G2 07/25 FLOATING VAR              | CUSIP: 36202KTE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        467 | PA      | $457.10        | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008651 G2 07/25 FLOATING VAR              | CUSIP: 36202KTG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8411 | PA      | $8297.64       | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008660 G2 07/25 FLOATING VAR              | CUSIP: 36202KTR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1318 | PA      | $1299.50       | 0.00%             | 2025-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008675 G2 08/25 FLOATING VAR              | CUSIP: 36202KT88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1446 | PA      | $1413.05       | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008682 G2 08/25 FLOATING VAR              | CUSIP: 36202KUF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        511 | PA      | $501.49        | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008684 G2 08/25 FLOATING VAR              | CUSIP: 36202KUH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        180 | PA      | $177.71        | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008685 G2 08/25 FLOATING VAR              | CUSIP: 36202KUJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        598 | PA      | $585.21        | 0.00%             | 2025-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008686 G2 08/25 FLOATING VAR              | CUSIP: 36202KUK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8532 | PA      | $8350.49       | 0.00%             | 2025-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008698 G2 09/25 FLOATING VAR              | CUSIP: 36202KUX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2260 | PA      | $2214.61       | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008699 G2 09/25 FLOATING VAR              | CUSIP: 36202KUY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3987 | PA      | $3928.82       | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008703 G2 09/25 FLOATING VAR              | CUSIP: 36202KU45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3202 | PA      | $3131.93       | 0.00%             | 2025-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008730 G2 10/25 FLOATING VAR              | CUSIP: 36202KVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2757 | PA      | $2681.71       | 0.00%             | 2025-10-20      | Floating      | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008781 G2 01/26 FLOATING VAR              | CUSIP: 36202KXJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2846 | PA      | $2799.04       | 0.00%             | 2026-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008788 G2 01/26 FLOATING VAR              | CUSIP: 36202KXR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3975 | PA      | $3915.57       | 0.00%             | 2026-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008790 G2 01/26 FLOATING VAR              | CUSIP: 36202KXT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        847 | PA      | $837.63        | 0.00%             | 2026-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008793 G2 01/26 FLOATING VAR              | CUSIP: 36202KXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5776 | PA      | $5615.33       | 0.00%             | 2026-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008814 G2 02/26 FLOATING VAR              | CUSIP: 36202KYK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5929 | PA      | $5829.02       | 0.00%             | 2026-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008815 G2 02/26 FLOATING VAR              | CUSIP: 36202KYL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2666 | PA      | $2620.05       | 0.00%             | 2026-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008830 G2 03/26 FLOATING VAR              | CUSIP: 36202KY33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16990 | PA      | $16809.03      | 0.00%             | 2026-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008842 G2 03/26 FLOATING VAR              | CUSIP: 36202KZF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $698.48        | 0.00%             | 2026-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008844 G2 03/26 FLOATING VAR              | CUSIP: 36202KZH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9368 | PA      | $9082.36       | 0.00%             | 2026-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008847 G2 04/26 FLOATING VAR              | CUSIP: 36202KZL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        919 | PA      | $907.08        | 0.00%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008848 G2 04/26 FLOATING VAR              | CUSIP: 36202KZM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3654 | PA      | $3601.68       | 0.00%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008849 G2 04/26 FLOATING VAR              | CUSIP: 36202KZN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9884 | PA      | $9647.81       | 0.00%             | 2026-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008865 G2 05/26 FLOATING VAR              | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51219 | PA      | $50718.18      | 0.00%             | 2026-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008874 G2 05/26 FLOATING VAR              | CUSIP: 36202K2F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        915 | PA      | $902.98        | 0.00%             | 2026-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008876 G2 05/26 FLOATING VAR              | CUSIP: 36202K2H7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5399 | PA      | $5342.49       | 0.00%             | 2026-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008880 G2 06/26 FLOATING VAR              | CUSIP: 36202K2M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8333 | PA      | $8208.48       | 0.00%             | 2026-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008909 G2 07/26 FLOATING VAR              | CUSIP: 36202K3S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2257 | PA      | $2203.99       | 0.00%             | 2026-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008927 G2 07/26 FLOATING VAR              | CUSIP: 36202K4L6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2744 | PA      | $2707.66       | 0.00%             | 2026-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008949 G2 08/26 FLOATING VAR              | CUSIP: 36202K5J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10551 | PA      | $10338.58      | 0.00%             | 2026-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008967 G2 09/26 FLOATING VAR              | CUSIP: 36202K6C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        751 | PA      | $732.31        | 0.00%             | 2026-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 008983 G2 09/26 FLOATING VAR              | CUSIP: 36202K6U4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1488 | PA      | $1457.02       | 0.00%             | 2026-09-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080029 G2 01/27 FLOATING VAR              | CUSIP: 36225CA71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2417 | PA      | $2369.92       | 0.00%             | 2027-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080042 G2 02/27 FLOATING VAR              | CUSIP: 36225CBL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1617 | PA      | $1589.01       | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080045 G2 02/27 FLOATING VAR              | CUSIP: 36225CBP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19410 | PA      | $19162.02      | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080047 G2 02/27 FLOATING VAR              | CUSIP: 36225CBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12175 | PA      | $11805.04      | 0.00%             | 2027-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080053 G2 03/27 FLOATING VAR              | CUSIP: 36225CBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1352 | PA      | $1336.38       | 0.00%             | 2027-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080054 G2 03/27 FLOATING VAR              | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22939 | PA      | $22474.70      | 0.00%             | 2027-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080058 G2 04/27 FLOATING VAR              | CUSIP: 36225CB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5691 | PA      | $5593.39       | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080059 G2 04/27 FLOATING VAR              | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1799 | PA      | $1757.25       | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080060 G2 04/27 FLOATING VAR              | CUSIP: 36225CB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1931 | PA      | $1879.52       | 0.00%             | 2027-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080070 G2 05/27 FLOATING VAR              | CUSIP: 36225CCG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1309 | PA      | $1288.66       | 0.00%             | 2027-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080074 G2 05/27 FLOATING VAR              | CUSIP: 36225CCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1167 | PA      | $1140.14       | 0.00%             | 2027-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080076 G2 05/27 FLOATING VAR              | CUSIP: 36225CCN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4939 | PA      | $4875.47       | 0.00%             | 2027-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080085 G2 06/27 FLOATING VAR              | CUSIP: 36225CCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4602 | PA      | $4545.45       | 0.00%             | 2027-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080092 G2 07/27 FLOATING VAR              | CUSIP: 36225CC61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1626 | PA      | $1582.06       | 0.00%             | 2027-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080095 G2 07/27 FLOATING VAR              | CUSIP: 36225CC95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23875 | PA      | $23473.32      | 0.00%             | 2027-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080096 G2 07/27 FLOATING VAR              | CUSIP: 36225CDA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2168 | PA      | $2116.43       | 0.00%             | 2027-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080102 G2 08/27 FLOATING VAR              | CUSIP: 36225CDG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2472 | PA      | $2403.60       | 0.00%             | 2027-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080104 G2 08/27 FLOATING VAR              | CUSIP: 36225CDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1533.09       | 0.00%             | 2027-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080106 G2 08/27 FLOATING VAR              | CUSIP: 36225CDL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5026 | PA      | $4870.74       | 0.00%             | 2027-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080109 G2 08/27 FLOATING VAR              | CUSIP: 36225CDP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1830 | PA      | $1788.23       | 0.00%             | 2027-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080112 G2 09/27 FLOATING VAR              | CUSIP: 36225CDS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1852 | PA      | $1822.98       | 0.00%             | 2027-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080113 G2 09/27 FLOATING VAR              | CUSIP: 36225CDT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        451 | PA      | $443.27        | 0.00%             | 2027-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080114 G2 09/27 FLOATING VAR              | CUSIP: 36225CDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        468 | PA      | $459.61        | 0.00%             | 2027-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080115 G2 09/27 FLOATING VAR              | CUSIP: 36225CDV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4971 | PA      | $4833.76       | 0.00%             | 2027-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080150 G2 01/28 FLOATING VAR              | CUSIP: 36225CEY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23817 | PA      | $23262.28      | 0.00%             | 2028-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080152 G2 01/28 FLOATING VAR              | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1626 | PA      | $1588.32       | 0.00%             | 2028-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080154 G2 01/28 FLOATING VAR              | CUSIP: 36225CE44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3434 | PA      | $3354.46       | 0.00%             | 2028-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080156 G2 01/28 FLOATING VAR              | CUSIP: 36225CE69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23648 | PA      | $23328.86      | 0.00%             | 2028-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080167 G2 02/28 FLOATING VAR              | CUSIP: 36225CFH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1559 | PA      | $1511.55       | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080171 G2 02/28 FLOATING VAR              | CUSIP: 36225CFM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2360 | PA      | $2290.82       | 0.00%             | 2028-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080181 G2 03/28 FLOATING VAR              | CUSIP: 36225CFX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2284 | PA      | $2218.17       | 0.00%             | 2028-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080185 G2 04/28 FLOATING VAR              | CUSIP: 36225CF35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4929 | PA      | $4816.19       | 0.00%             | 2028-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080187 G2 04/28 FLOATING VAR              | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3468 | PA      | $3409.70       | 0.00%             | 2028-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080196 G2 05/28 FLOATING VAR              | CUSIP: 36225CGE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1996 | PA      | $1976.75       | 0.00%             | 2028-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080197 G2 05/28 FLOATING VAR              | CUSIP: 36225CGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4086 | PA      | $4071.66       | 0.00%             | 2028-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080198 G2 05/28 FLOATING VAR              | CUSIP: 36225CGG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3592 | PA      | $3542.23       | 0.00%             | 2028-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080199 G2 05/28 FLOATING VAR              | CUSIP: 36225CGH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1531 | PA      | $1493.06       | 0.00%             | 2028-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080201 G2 05/28 FLOATING VAR              | CUSIP: 36225CGK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6374 | PA      | $6247.41       | 0.00%             | 2028-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080220 G2 08/28 FLOATING VAR              | CUSIP: 36225CG67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6359 | PA      | $6185.07       | 0.00%             | 2028-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080221 G2 08/28 FLOATING VAR              | CUSIP: 36225CG75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3774 | PA      | $3665.03       | 0.00%             | 2028-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080236 G2 11/28 FLOATING VAR              | CUSIP: 36225CHN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5199 | PA      | $5006.46       | 0.00%             | 2028-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080259 G2 02/29 FLOATING VAR              | CUSIP: 36225CJD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4731 | PA      | $4592.02       | 0.00%             | 2029-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080263 G2 03/29 FLOATING VAR              | CUSIP: 36225CJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3224 | PA      | $3134.82       | 0.00%             | 2029-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080264 G2 03/29 FLOATING VAR              | CUSIP: 36225CJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        727 | PA      | $705.67        | 0.00%             | 2029-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080272 G2 04/29 FLOATING VAR              | CUSIP: 36225CJS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2535 | PA      | $2502.23       | 0.00%             | 2029-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080283 G2 05/29 FLOATING VAR              | CUSIP: 36225CJ56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15806 | PA      | $15579.02      | 0.00%             | 2029-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080292 G2 06/29 FLOATING VAR              | CUSIP: 36225CKE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1135 | PA      | $1113.63       | 0.00%             | 2029-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080319 G2 09/29 FLOATING VAR              | CUSIP: 36225CK96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5538 | PA      | $5442.71       | 0.00%             | 2029-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080356 G2 12/29 FLOATING VAR              | CUSIP: 36225CME3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        481 | PA      | $461.43        | 0.00%             | 2029-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080363 G2 01/30 FLOATING VAR              | CUSIP: 36225CMM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6757 | PA      | $6673.24       | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080365 G2 01/30 FLOATING VAR              | CUSIP: 36225CMP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $550.37        | 0.00%             | 2030-01-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080371 G2 01/30 FLOATING VAR              | CUSIP: 36225CMV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10003 | PA      | $9593.55       | 0.00%             | 2030-01-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080378 G2 02/30 FLOATING VAR              | CUSIP: 36225CM45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        465 | PA      | $450.31        | 0.00%             | 2030-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080384 G2 03/30 FLOATING VAR              | CUSIP: 36225CNA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      40387 | PA      | $39179.11      | 0.00%             | 2030-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080387 G2 03/30 FLOATING VAR              | CUSIP: 36225CND4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7836 | PA      | $7657.52       | 0.00%             | 2030-03-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080392 G2 04/30 FLOATING VAR              | CUSIP: 36225CNJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7749 | PA      | $7677.01       | 0.00%             | 2030-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080395 G2 04/30 FLOATING VAR              | CUSIP: 36225CNM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     438764 | PA      | $429517.08     | 0.03%             | 2030-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080397 G2 04/30 FLOATING VAR              | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20403 | PA      | $20031.18      | 0.00%             | 2030-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080406 G2 05/30 FLOATING VAR              | CUSIP: 36225CNY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1698 | PA      | $1677.50       | 0.00%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080407 G2 05/30 FLOATING VAR              | CUSIP: 36225CNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8016 | PA      | $7847.91       | 0.00%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080414 G2 06/30 FLOATING VAR              | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14659 | PA      | $14475.61      | 0.00%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080416 G2 06/30 FLOATING VAR              | CUSIP: 36225CPA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     240271 | PA      | $235805.37     | 0.02%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080418 G2 06/30 FLOATING VAR              | CUSIP: 36225CPC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     154303 | PA      | $152119.52     | 0.01%             | 2030-06-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080425 G2 07/30 FLOATING VAR              | CUSIP: 36225CPK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19720 | PA      | $19395.65      | 0.00%             | 2030-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080428 G2 07/30 FLOATING VAR              | CUSIP: 36225CPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     126073 | PA      | $123235.21     | 0.01%             | 2030-07-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080430 G2 07/30 FLOATING VAR              | CUSIP: 36225CPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9855 | PA      | $9646.64       | 0.00%             | 2030-07-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080444 G2 08/30 FLOATING VAR              | CUSIP: 36225CP67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11749 | PA      | $11666.50      | 0.00%             | 2030-08-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080446 G2 08/30 FLOATING VAR              | CUSIP: 36225CP83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13962 | PA      | $13627.03      | 0.00%             | 2030-08-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080457 G2 09/30 FLOATING VAR              | CUSIP: 36225CQK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6200 | PA      | $6113.74       | 0.00%             | 2030-09-20      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080526 G2 07/31 FLOATING VAR              | CUSIP: 36225CSQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15992 | PA      | $15544.96      | 0.00%             | 2031-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080541 G2 09/31 FLOATING VAR              | CUSIP: 36225CS72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     290486 | PA      | $281939.70     | 0.02%             | 2031-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080542 G2 09/31 FLOATING VAR              | CUSIP: 36225CS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82065 | PA      | $80655.77      | 0.01%             | 2031-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080555 G2 11/31 FLOATING VAR              | CUSIP: 36225CTM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     185096 | PA      | $179112.03     | 0.01%             | 2031-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080578 G2 02/32 FLOATING VAR              | CUSIP: 36225CUC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55028 | PA      | $53970.72      | 0.00%             | 2032-02-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080604 G2 05/32 FLOATING VAR              | CUSIP: 36225CU61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127912 | PA      | $125517.98     | 0.01%             | 2032-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080636 G2 09/32 FLOATING VAR              | CUSIP: 36225CV60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     147005 | PA      | $142798.26     | 0.01%             | 2032-09-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080651 G2 11/32 FLOATING VAR              | CUSIP: 36225CWM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6885 | PA      | $6666.65       | 0.00%             | 2032-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080657 G2 12/32 FLOATING VAR              | CUSIP: 36225CWT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     272069 | PA      | $263459.92     | 0.02%             | 2032-12-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080686 G2 04/33 FLOATING VAR              | CUSIP: 36225CXQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     591586 | PA      | $581060.95     | 0.05%             | 2033-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080706 G2 07/33 FLOATING VAR              | CUSIP: 36225CYC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     362746 | PA      | $352645.16     | 0.03%             | 2033-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080708 G2 07/33 FLOATING VAR              | CUSIP: 36225CYE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     463142 | PA      | $450156.21     | 0.04%             | 2033-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080710 G2 07/33 FLOATING VAR              | CUSIP: 36225CYG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     401796 | PA      | $390557.95     | 0.03%             | 2033-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080727 G2 08/33 FLOATING VAR              | CUSIP: 36225CYZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     210980 | PA      | $205080.78     | 0.02%             | 2033-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 080802 G2 01/34 FLOATING VAR              | CUSIP: 36225C3L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1153764 | PA      | $1151632.42    | 0.09%             | 2034-01-20      | Floating      | 3.12%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 081016 G2 08/34 FLOATING VAR              | CUSIP: 36225DDW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     130518 | PA      | $126981.39     | 0.01%             | 2034-08-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 081401 G2 07/35 FLOATING VAR              | CUSIP: 36225DRX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     182468 | PA      | $177639.46     | 0.01%             | 2035-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 081404 G2 07/35 FLOATING VAR              | CUSIP: 36225DR22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     165499 | PA      | $161133.54     | 0.01%             | 2035-07-20      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 780840 G2 07/28 FIXED 8.5                 | CUSIP: 36225A4Z0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11201 | PA      | $11539.95      | 0.00%             | 2028-07-20      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 782156 G2 05/37 FIXED 5                   | CUSIP: 36241KMD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25569 | PA      | $26123.15      | 0.00%             | 2037-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 782431 G2 10/38 FIXED 5                   | CUSIP: 36241KVY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      89864 | PA      | $91671.63      | 0.01%             | 2038-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 784295 G2 03/47 FIXED 3.5                 | CUSIP: 3622A2XY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7845600 | PA      | $7276589.69    | 0.58%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 784433 G2 02/48 FIXED 3.5                 | CUSIP: 3622A24S8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6614576 | PA      | $6166564.33    | 0.49%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 877155 G2 05/30 FLOATING VAR              | CUSIP: 36208AMR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22947 | PA      | $22735.57      | 0.00%             | 2030-05-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 877157 G2 05/30 FLOATING VAR              | CUSIP: 36208AMT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36096 | PA      | $35154.92      | 0.00%             | 2030-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 891564 G2 10/58 FLOATING VAR              | CUSIP: 36208AZ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     215776 | PA      | $215995.96     | 0.02%             | 2058-10-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL 891565 G2 01/59 FLOATING VAR              | CUSIP: 36208A2R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222839 | PA      | $222945.20     | 0.02%             | 2059-01-20      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AS6886 G2 03/46 FIXED 3.5                 | CUSIP: 36193SUK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1197415 | PA      | $1117165.13    | 0.09%             | 2046-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AU4789 G2 11/46 FIXED 3.5                 | CUSIP: 36194SKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     191675 | PA      | $178977.09     | 0.01%             | 2046-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AW8634 G2 04/47 FIXED 3.5                 | CUSIP: 36195XSX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     532586 | PA      | $496470.79     | 0.04%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AX3410 G2 03/47 FIXED 3.5                 | CUSIP: 36196EYF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11600 | PA      | $10814.53      | 0.00%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AX4793 G2 03/47 FIXED 3.5                 | CUSIP: 36196GKE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     163423 | PA      | $152387.08     | 0.01%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AX8328 G2 06/47 FIXED 3.5                 | CUSIP: 36196LHD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     769427 | PA      | $717253.38     | 0.06%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AX8344 G2 04/47 FIXED 3.5                 | CUSIP: 36196LHV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     321068 | PA      | $299288.72     | 0.02%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AY8034 G2 03/47 FIXED 3.5                 | CUSIP: 36196X4T9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1018781 | PA      | $949984.63     | 0.08%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ3493 G2 03/47 FIXED 3.5                 | CUSIP: 36197F3A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     368613 | PA      | $343619.76     | 0.03%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ3519 G2 06/47 FIXED 3.5                 | CUSIP: 36197F4C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     734994 | PA      | $685148.53     | 0.05%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ3529 G2 07/47 FIXED 3.5                 | CUSIP: 36197F4N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     587867 | PA      | $545633.33     | 0.04%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ7035 G2 04/47 FIXED 3.5                 | CUSIP: 36197KY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     588033 | PA      | $549078.92     | 0.04%             | 2047-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ8426 G2 03/47 FIXED 3.5                 | CUSIP: 36197MLF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     560307 | PA      | $522904.92     | 0.04%             | 2047-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL AZ9265 G2 05/47 FIXED 3.5                 | CUSIP: 36197NJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     614632 | PA      | $572954.07     | 0.05%             | 2047-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BA2617 G2 06/47 FIXED 3.5                 | CUSIP: 3617AE4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     493128 | PA      | $459673.28     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BA3813 G2 07/47 FIXED 3.5                 | CUSIP: 3617AGGW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     764477 | PA      | $712856.45     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BA5831 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJPQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     813957 | PA      | $758738.79     | 0.06%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BA5882 G2 07/47 FIXED 3.5                 | CUSIP: 3617AJRB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     994334 | PA      | $926911.78     | 0.07%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BA8482 G2 06/47 FIXED 3.5                 | CUSIP: 3617AMM70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     585371 | PA      | $545673.16     | 0.04%             | 2047-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BB3485 G2 08/47 FIXED 3.5                 | CUSIP: 3617AT2S1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     620945 | PA      | $579010.99     | 0.05%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BB8154 G2 09/47 FIXED 3.5                 | CUSIP: 3617B0BX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1215744 | PA      | $1133302.97    | 0.09%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BB8329 G2 08/47 FIXED 3.5                 | CUSIP: 3617B0HE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     857750 | PA      | $799587.61     | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BB8813 G2 04/48 FIXED 4                   | CUSIP: 3617B0YJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     785965 | PA      | $749407.18     | 0.06%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC0302 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3KP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     934235 | PA      | $871141.85     | 0.07%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC0567 G2 07/47 FIXED 3.5                 | CUSIP: 3617B3TY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     389716 | PA      | $363291.58     | 0.03%             | 2047-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC0600 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3UZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     555432 | PA      | $517807.94     | 0.04%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC0616 G2 08/47 FIXED 3.5                 | CUSIP: 3617B3VH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     776524 | PA      | $724704.11     | 0.06%             | 2047-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC5222 G2 09/47 FIXED 3.5                 | CUSIP: 3617B8YT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     611433 | PA      | $569978.14     | 0.05%             | 2047-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BC9901 G2 11/47 FIXED 3.5                 | CUSIP: 3617BEAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     769982 | PA      | $717749.50     | 0.06%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD0549 G2 08/48 FIXED 5                   | CUSIP: 3617BFTE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     158074 | PA      | $157992.25     | 0.01%             | 2048-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD3541 G2 10/47 FIXED 3.5                 | CUSIP: 3617BJ5A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     350795 | PA      | $327007.02     | 0.03%             | 2047-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD5435 G2 12/47 FIXED 3.5                 | CUSIP: 3617BMBC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     660265 | PA      | $615673.32     | 0.05%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD8163 G2 12/47 FIXED 3.5                 | CUSIP: 3617BQB80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     509950 | PA      | $475356.21     | 0.04%             | 2047-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD9048 G2 11/47 FIXED 3.5                 | CUSIP: 3617BRBR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1848684 | PA      | $1723837.51    | 0.14%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD9140 G2 01/48 FIXED 3.5                 | CUSIP: 3617BREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2478213 | PA      | $2310861.72    | 0.18%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD9966 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSCB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     569664 | PA      | $531034.20     | 0.04%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BD9998 G2 11/47 FIXED 3.5                 | CUSIP: 3617BSDB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302283 | PA      | $282262.63     | 0.02%             | 2047-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE1638 G2 12/47 FIXED 4                   | CUSIP: 3617BUZB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     570956 | PA      | $546685.96     | 0.04%             | 2047-12-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE1642 G2 01/48 FIXED 4                   | CUSIP: 3617BUZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1484338 | PA      | $1415260.26    | 0.11%             | 2048-01-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE1670 G2 06/48 FIXED 4                   | CUSIP: 3617BU2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     419545 | PA      | $400021.04     | 0.03%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE5659 G2 04/48 FIXED 4                   | CUSIP: 3617G0JC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1326984 | PA      | $1267643.79    | 0.10%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE6330 G2 01/48 FIXED 3.5                 | CUSIP: 3617G1A73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     902502 | PA      | $841342.96     | 0.07%             | 2048-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE6527 G2 02/48 FIXED 3.5                 | CUSIP: 3617G1HC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     839779 | PA      | $783068.83     | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BE9832 G2 06/48 FIXED 4.5                 | CUSIP: 3617G44R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62906 | PA      | $61268.34      | 0.00%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF2407 G2 04/48 FIXED 4                   | CUSIP: 3617G8U84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     217726 | PA      | $207834.32     | 0.02%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF2570 G2 05/48 FIXED 4                   | CUSIP: 3617G82B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246455 | PA      | $234990.76     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF2893 G2 06/48 FIXED 4                   | CUSIP: 3617G9GA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129936 | PA      | $124173.82     | 0.01%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF3074 G2 07/48 FIXED 4                   | CUSIP: 3617G9MX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27606 | PA      | $26382.03      | 0.00%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF4029 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     657304 | PA      | $612717.35     | 0.05%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF4034 G2 02/48 FIXED 3.5                 | CUSIP: 3617GAPT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     827655 | PA      | $753115.91     | 0.06%             | 2048-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BF9539 G2 04/48 FIXED 3.5                 | CUSIP: 3617GGS48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     836204 | PA      | $778180.52     | 0.06%             | 2048-04-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG2154 G2 03/48 FIXED 4                   | CUSIP: 3617GLMB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     275085 | PA      | $262439.80     | 0.02%             | 2048-03-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG2414 G2 04/48 FIXED 4                   | CUSIP: 3617GLVF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     181803 | PA      | $173346.48     | 0.01%             | 2048-04-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG2455 G2 05/48 FIXED 4                   | CUSIP: 3617GLWQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     247284 | PA      | $235781.13     | 0.02%             | 2048-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG3914 G2 05/48 FIXED 3.5                 | CUSIP: 3617GNK33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     711126 | PA      | $662885.37     | 0.05%             | 2048-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG5667 G2 06/48 FIXED 4                   | CUSIP: 3617GQJL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     581057 | PA      | $554017.47     | 0.04%             | 2048-06-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BG5675 G2 07/48 FIXED 4                   | CUSIP: 3617GQJU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     432459 | PA      | $414074.99     | 0.03%             | 2048-07-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BH6393 G2 07/48 FIXED 4.5                 | CUSIP: 3617H4C66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     463927 | PA      | $453480.92     | 0.04%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BH8543 G2 07/48 FIXED 4.5                 | CUSIP: 3617H6P42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     253238 | PA      | $247817.17     | 0.02%             | 2048-07-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BI6217 G2 10/48 FIXED 5                   | CUSIP: 3617HF4A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     122779 | PA      | $122242.75     | 0.01%             | 2048-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BI6280 G2 11/48 FIXED 5                   | CUSIP: 3617HF6R2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     680642 | PA      | $679451.91     | 0.05%             | 2048-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BI8200 G2 09/48 FIXED 4.5                 | CUSIP: 3617HJDD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     186399 | PA      | $182408.73     | 0.01%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BJ4127 G2 10/48 FIXED 4.5                 | CUSIP: 3617HRSQ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63962 | PA      | $61932.93      | 0.00%             | 2048-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BJ4187 G2 09/48 FIXED 4.5                 | CUSIP: 3617HRUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     543443 | PA      | $531810.06     | 0.04%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BK3275 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3T84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43510 | PA      | $42069.24      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BK3360 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3WV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     501529 | PA      | $485599.09     | 0.04%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BK3399 G2 11/48 FIXED 4.5                 | CUSIP: 3617J3X48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18491 | PA      | $18095.04      | 0.00%             | 2048-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BM1222 G2 05/49 FIXED 3.5                 | CUSIP: 3617JRLB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     430895 | PA      | $392082.29     | 0.03%             | 2049-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL BT6314 G2 05/50 FIXED 3                   | CUSIP: 3617MVAP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     925390 | PA      | $802085.87     | 0.06%             | 2050-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0006 G2 04/27 FIXED 2.5                 | CUSIP: 36179MAF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      75329 | PA      | $72366.69      | 0.01%             | 2027-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0025 G2 04/42 FIXED 5                   | CUSIP: 36179MA26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5194 | PA      | $5287.68       | 0.00%             | 2042-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0072 G2 05/27 FIXED 2.5                 | CUSIP: 36179MCH1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652100 | PA      | $627734.78     | 0.05%             | 2027-05-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0204 G2 07/27 FIXED 2.5                 | CUSIP: 36179MGM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     385911 | PA      | $371040.65     | 0.03%             | 2027-07-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0313 G2 08/42 FIXED 4                   | CUSIP: 36179MK25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23777 | PA      | $22558.05      | 0.00%             | 2042-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0465 G2 10/42 FIXED 5                   | CUSIP: 36179MQS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29396 | PA      | $29942.85      | 0.00%             | 2042-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0698 G2 01/43 FIXED 3                   | CUSIP: 36179MX39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2866704 | PA      | $2619876.20    | 0.21%             | 2043-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0782 G2 02/43 FIXED 3                   | CUSIP: 36179M2P4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3870342 | PA      | $3537046.23    | 0.28%             | 2043-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA0937 G2 04/43 FIXED 5                   | CUSIP: 36179NBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     375199 | PA      | $381932.37     | 0.03%             | 2043-04-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA1160 G2 07/43 FIXED 5                   | CUSIP: 36179NJD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     264109 | PA      | $268850.81     | 0.02%             | 2043-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA1227 G2 08/43 FIXED 5                   | CUSIP: 36179NLG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1873736 | PA      | $1907418.97    | 0.15%             | 2043-08-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA1447 G2 11/43 FIXED 3                   | CUSIP: 36179NTC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     885999 | PA      | $809652.20     | 0.06%             | 2043-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA2756 G2 04/45 FIXED 4.5                 | CUSIP: 36179RBZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2799071 | PA      | $2823847.46    | 0.23%             | 2045-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA2894 G2 06/45 FIXED 4.5                 | CUSIP: 36179RGB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52934 | PA      | $52802.22      | 0.00%             | 2045-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA2961 G2 07/45 FIXED 3.5                 | CUSIP: 36179RJE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     952922 | PA      | $888969.78     | 0.07%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA3036 G2 08/45 FIXED 4.5                 | CUSIP: 36179RLR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1347902 | PA      | $1352351.26    | 0.11%             | 2045-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA3105 G2 09/45 FIXED 3.5                 | CUSIP: 36179RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2372535 | PA      | $2212988.01    | 0.18%             | 2045-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA3244 G2 11/45 FIXED 3.5                 | CUSIP: 36179RS91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4855123 | PA      | $4522806.29    | 0.36%             | 2045-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA3310 G2 12/45 FIXED 3.5                 | CUSIP: 36179RVB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4713598 | PA      | $4386747.15    | 0.35%             | 2045-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA4771 G2 10/47 FIXED 4.5                 | CUSIP: 36179TJQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110625 | PA      | $107300.39     | 0.01%             | 2047-10-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5018 G2 02/48 FIXED 3                   | CUSIP: 36179TSF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2821124 | PA      | $2543470.99    | 0.20%             | 2048-02-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5069 G2 03/48 FIXED 4.5                 | CUSIP: 36179TT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15281 | PA      | $14820.44      | 0.00%             | 2048-03-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5128 G2 04/48 FIXED 4.5                 | CUSIP: 36179TVV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51661 | PA      | $50102.39      | 0.00%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5138 G2 04/48 FIXED 4.5                 | CUSIP: 36179TV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     248399 | PA      | $244697.38     | 0.02%             | 2048-04-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5193 G2 05/48 FIXED 4.5                 | CUSIP: 36179TXW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     709180 | PA      | $698429.32     | 0.06%             | 2048-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5265 G2 06/48 FIXED 4.5                 | CUSIP: 36179TZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332380 | PA      | $327146.83     | 0.03%             | 2048-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5399 G2 08/48 FIXED 4.5                 | CUSIP: 36179T7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6059409 | PA      | $5958761.01    | 0.47%             | 2048-08-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5467 G2 09/48 FIXED 4.5                 | CUSIP: 36179UCC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     302446 | PA      | $293781.32     | 0.02%             | 2048-09-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5653 G2 12/48 FIXED 5                   | CUSIP: 36179UH62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261880 | PA      | $262385.62     | 0.02%             | 2048-12-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA5711 G2 01/49 FIXED 4.5                 | CUSIP: 36179UKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3426005 | PA      | $3328842.83    | 0.27%             | 2049-01-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA7829 G2 01/52 FIXED 3.5                 | CUSIP: 36179WVW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8440404 | PA      | $7763578.67    | 0.62%             | 2052-01-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II POOL MA7883 G2 02/52 FIXED 3.5                 | CUSIP: 36179WXL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14464274 | PA      | $13322063.77   | 1.06%             | 2052-02-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 2 JUMBOS                             | CUSIP: 21H020626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   67500000 | PA      | $56638255.05   | 4.51%             | 2053-02-21      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  103450000 | PA      | $89673233.49   | 7.15%             | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 2.5 JUMBOS                           | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11700000 | PA      | $10151928.42   | 0.81%             | 2053-02-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   93000000 | PA      | $82830497.43   | 6.60%             | 2053-01-23      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 3 JUMBOS                             | CUSIP: 21H030625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14350000 | PA      | $12790364.08   | 1.02%             | 2053-02-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 3.5 JUMBOS                           | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   28382000 | PA      | $26081006.55   | 2.08%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1650000 | PA      | $1561576.40    | 0.12%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   24400000 | PA      | $23673490.98   | 1.89%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA II TBA 30 YR 5 JUMBOS                             | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   30300000 | PA      | $30028564.12   | 2.39%             | 2053-01-23      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 175344 GN 07/29 FIXED 6.5                    | CUSIP: 36216UWD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1564 | PA      | $1609.42       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 351408 GN 01/24 FIXED 6.5                    | CUSIP: 36203KKV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $29.20         | 0.00%             | 2024-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 352056 GN 10/23 FIXED 6.5                    | CUSIP: 36203LBZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        120 | PA      | $123.44        | 0.00%             | 2023-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 354843 GN 06/24 FIXED 8                      | CUSIP: 36203PEQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        492 | PA      | $492.51        | 0.00%             | 2024-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 355852 GN 02/24 FIXED 6.5                    | CUSIP: 36203QH53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         34 | PA      | $35.02         | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 360765 GN 12/28 FIXED 6.5                    | CUSIP: 36203VW22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1772 | PA      | $1823.64       | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 385611 GN 04/24 FIXED 6.5                    | CUSIP: 36205BKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         32 | PA      | $33.22         | 0.00%             | 2024-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 385984 GN 12/24 FIXED 8                      | CUSIP: 36205BXM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $540.11        | 0.00%             | 2024-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 388163 GN 03/24 FIXED 6.5                    | CUSIP: 36205EFC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         62 | PA      | $63.83         | 0.00%             | 2024-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 388314 GN 02/24 FIXED 6.5                    | CUSIP: 36205EK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $15.04         | 0.00%             | 2024-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 389782 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2790 | PA      | $2941.31       | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 389785 GN 12/32 FIXED 5.5                    | CUSIP: 36205F6W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21193 | PA      | $21586.30      | 0.00%             | 2032-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 410987 GN 02/39 FIXED 5.5                    | CUSIP: 36206GRG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7006 | PA      | $7249.62       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 411079 GN 12/38 FIXED 6                      | CUSIP: 36206GUC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1173 | PA      | $1204.13       | 0.00%             | 2038-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 415389 GN 09/29 FIXED 8.5                    | CUSIP: 36206MNE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2465 | PA      | $2475.11       | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 417463 GN 09/25 FIXED 7                      | CUSIP: 36206PWY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        804 | PA      | $803.03        | 0.00%             | 2025-09-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 433689 GN 04/28 FIXED 7                      | CUSIP: 36207JXS7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        117 | PA      | $117.22        | 0.00%             | 2028-04-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 434128 GN 12/28 FIXED 6.5                    | CUSIP: 36207KHD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $233.47        | 0.00%             | 2028-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 434239 GN 03/29 FIXED 6.5                    | CUSIP: 36207KLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        816 | PA      | $839.42        | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 447739 GN 06/27 FIXED 8.5                    | CUSIP: 36208DLU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1958 | PA      | $1954.93       | 0.00%             | 2027-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 448355 GN 04/31 FIXED 7.5                    | CUSIP: 36208EBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1183 | PA      | $1193.12       | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 449010 GN 08/27 FIXED 8.5                    | CUSIP: 36208EYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35157 | PA      | $35456.89      | 0.00%             | 2027-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 451360 GN 08/27 FIXED 6.5                    | CUSIP: 36208HMH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        129 | PA      | $132.62        | 0.00%             | 2027-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 460719 GN 01/28 FIXED 6.5                    | CUSIP: 36208TYQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        697 | PA      | $717.23        | 0.00%             | 2028-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 461975 GN 12/30 FIXED 8.5                    | CUSIP: 36208VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4926 | PA      | $4982.22       | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 462599 GN 03/28 FIXED 6.5                    | CUSIP: 36208V3G8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2521 | PA      | $2594.57       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 462622 GN 03/28 FIXED 6.5                    | CUSIP: 36208V4F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1782 | PA      | $1843.59       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 463778 GN 04/28 FIXED 6.5                    | CUSIP: 36208XFT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2225 | PA      | $2289.87       | 0.00%             | 2028-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 467628 GN 03/29 FIXED 6.5                    | CUSIP: 36209CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1657 | PA      | $1704.77       | 0.00%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 471809 GN 03/28 FIXED 6.5                    | CUSIP: 36209HDN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2446.57       | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 472978 GN 06/29 FIXED 6.5                    | CUSIP: 36209JM32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1393 | PA      | $1433.55       | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 474734 GN 01/31 FIXED 8.5                    | CUSIP: 36209LLP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2181 | PA      | $2181.23       | 0.00%             | 2031-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 476245 GN 10/28 FIXED 6.5                    | CUSIP: 36209NBN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        949 | PA      | $992.34        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 477534 GN 11/28 FIXED 6.5                    | CUSIP: 36209PPT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        453 | PA      | $466.70        | 0.00%             | 2028-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479099 GN 01/30 FIXED 8.5                    | CUSIP: 36209RGG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1145 | PA      | $1144.58       | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479294 GN 04/30 FIXED 8.5                    | CUSIP: 36209RNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        984 | PA      | $993.58        | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479449 GN 07/30 FIXED 8.5                    | CUSIP: 36209RTE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5418 | PA      | $5428.54       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479529 GN 08/30 FIXED 8.5                    | CUSIP: 36209RVW0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7399 | PA      | $7512.29       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479591 GN 09/30 FIXED 9                      | CUSIP: 36209RXU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        539 | PA      | $538.91        | 0.00%             | 2030-09-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 479903 GN 01/31 FIXED 7.5                    | CUSIP: 36209SDG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        556 | PA      | $559.09        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 481627 GN 08/29 FIXED 7.5                    | CUSIP: 36209UA48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        979 | PA      | $989.72        | 0.00%             | 2029-08-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 482704 GN 08/28 FIXED 6.5                    | CUSIP: 36209VGM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        688 | PA      | $708.26        | 0.00%             | 2028-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 482771 GN 10/28 FIXED 6.5                    | CUSIP: 36209VJQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        155 | PA      | $159.32        | 0.00%             | 2028-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 483629 GN 09/28 FIXED 6.5                    | CUSIP: 36209WHE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1518 | PA      | $1561.91       | 0.00%             | 2028-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 485329 GN 03/31 FIXED 7.5                    | CUSIP: 36209YEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        312 | PA      | $311.93        | 0.00%             | 2031-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 485398 GN 04/31 FIXED 7.5                    | CUSIP: 36209YGF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        281 | PA      | $281.54        | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 486844 GN 01/29 FIXED 6.5                    | CUSIP: 36210AZH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2261 | PA      | $2326.84       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 486951 GN 02/29 FIXED 6.5                    | CUSIP: 36210A5L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26462 | PA      | $27240.04      | 0.00%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 487128 GN 04/29 FIXED 6.5                    | CUSIP: 36210BD93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1823 | PA      | $1876.16       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 490213 GN 07/29 FIXED 6.5                    | CUSIP: 36210ESA8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1451 | PA      | $1492.80       | 0.00%             | 2029-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 495830 GN 01/29 FIXED 6.5                    | CUSIP: 36210LY31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2964 | PA      | $3050.07       | 0.00%             | 2029-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 498847 GN 12/30 FIXED 8.5                    | CUSIP: 36210QEU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3391 | PA      | $3389.83       | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 499440 GN 04/29 FIXED 6.5                    | CUSIP: 36210QZD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1850 | PA      | $1903.70       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 500918 GN 04/29 FIXED 6.5                    | CUSIP: 36210SPB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        217 | PA      | $222.95        | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 503097 GN 04/29 FIXED 6.5                    | CUSIP: 36210U3E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7920 | PA      | $8299.01       | 0.00%             | 2029-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 507686 GN 07/30 FIXED 8.5                    | CUSIP: 36211A6X9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15519 | PA      | $15543.61      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 508450 GN 02/31 FIXED 7.5                    | CUSIP: 36211BZP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        744 | PA      | $748.60        | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 509132 GN 05/30 FIXED 8.5                    | CUSIP: 36211CSV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9471 | PA      | $9497.91       | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 509444 GN 12/29 FIXED 8.5                    | CUSIP: 36211C5D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2497 | PA      | $2504.87       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 510707 GN 11/29 FIXED 8.5                    | CUSIP: 36211EKU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        274 | PA      | $273.82        | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 513655 GN 08/29 FIXED 6.5                    | CUSIP: 36211HTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5477 | PA      | $5733.74       | 0.00%             | 2029-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 515821 GN 06/30 FIXED 9                      | CUSIP: 36211LAW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15782 | PA      | $15762.47      | 0.00%             | 2030-06-15      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 518691 GN 12/29 FIXED 8.5                    | CUSIP: 36211PF81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5649 | PA      | $5668.41       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 521288 GN 04/35 FIXED 5                      | CUSIP: 36211SCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     413396 | PA      | $422069.88     | 0.03%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 521655 GN 12/29 FIXED 8.5                    | CUSIP: 36211SQG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9054 | PA      | $9050.97       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 526030 GN 08/30 FIXED 8.5                    | CUSIP: 36211XLK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3291 | PA      | $3290.47       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 527273 GN 07/30 FIXED 8.5                    | CUSIP: 36211YXA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3801 | PA      | $3799.54       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 529546 GN 08/30 FIXED 8.5                    | CUSIP: 36212CHX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5991 | PA      | $5988.73       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 530071 GN 08/30 FIXED 8.5                    | CUSIP: 36212C2C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        394 | PA      | $393.81        | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 530113 GN 09/30 FIXED 8.5                    | CUSIP: 36212C3W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2044 | PA      | $2063.20       | 0.00%             | 2030-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 531039 GN 08/32 FIXED 6.5                    | CUSIP: 36212D4Y2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28050 | PA      | $28866.95      | 0.00%             | 2032-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 531298 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1251 | PA      | $1259.78       | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 531306 GN 08/30 FIXED 8.5                    | CUSIP: 36212EGP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14191 | PA      | $14359.12      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 532706 GN 07/30 FIXED 8.5                    | CUSIP: 36212FYB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3656 | PA      | $3765.41       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 538722 GN 05/35 FIXED 6.5                    | CUSIP: 36212NPF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3698 | PA      | $3807.67       | 0.00%             | 2035-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 540157 GN 01/31 FIXED 7.5                    | CUSIP: 36212QB25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8528 | PA      | $8525.04       | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 542633 GN 03/31 FIXED 7.5                    | CUSIP: 36212SY67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1564 | PA      | $1574.12       | 0.00%             | 2031-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 543931 GN 02/31 FIXED 7.5                    | CUSIP: 36212UHG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2161 | PA      | $2227.13       | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 547823 GN 01/31 FIXED 7.5                    | CUSIP: 36212YSL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        437 | PA      | $437.53        | 0.00%             | 2031-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 550688 GN 10/35 FIXED 6.5                    | CUSIP: 36213CXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1365 | PA      | $1405.12       | 0.00%             | 2035-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 550876 GN 09/31 FIXED 5.5                    | CUSIP: 36213C6M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        888 | PA      | $901.32        | 0.00%             | 2031-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 552114 GN 10/31 FIXED 7.5                    | CUSIP: 36213EK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        714 | PA      | $725.01        | 0.00%             | 2031-10-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 555732 GN 03/32 FIXED 6.5                    | CUSIP: 36213JLM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        522 | PA      | $536.74        | 0.00%             | 2032-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 555893 GN 04/31 FIXED 7.5                    | CUSIP: 36213JRN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         68 | PA      | $68.13         | 0.00%             | 2031-04-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 557521 GN 07/31 FIXED 6.5                    | CUSIP: 36213LLA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         89 | PA      | $91.60         | 0.00%             | 2031-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 562346 GN 01/34 FIXED 5                      | CUSIP: 36213RWF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        429 | PA      | $430.90        | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 565164 GN 10/33 FIXED 5.5                    | CUSIP: 36213UZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        245 | PA      | $248.64        | 0.00%             | 2033-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 566499 GN 10/33 FIXED 5                      | CUSIP: 36213WKL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4134 | PA      | $4201.82       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 566519 GN 06/34 FIXED 5                      | CUSIP: 36213WK88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1503 | PA      | $1521.33       | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 584411 GN 05/32 FIXED 6.5                    | CUSIP: 36201JGU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $483.72        | 0.00%             | 2032-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 594701 GN 01/33 FIXED 5.5                    | CUSIP: 36201VU26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47180 | PA      | $48486.95      | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 598543 GN 04/35 FIXED 5.5                    | CUSIP: 36200D5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        891 | PA      | $904.57        | 0.00%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 598709 GN 07/33 FIXED 5                      | CUSIP: 36200EDN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9860 | PA      | $10101.11      | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 599357 GN 01/33 FIXED 5.5                    | CUSIP: 36200EZW4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4357 | PA      | $4423.79       | 0.00%             | 2033-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 599416 GN 07/33 FIXED 5.5                    | CUSIP: 36200E3Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3501 | PA      | $3563.87       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 602552 GN 03/36 FIXED 5                      | CUSIP: 36200JL99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13842 | PA      | $14014.33      | 0.00%             | 2036-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 603250 GN 04/34 FIXED 5.5                    | CUSIP: 36200KEX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        727 | PA      | $740.47        | 0.00%             | 2034-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 604639 GN 09/33 FIXED 5                      | CUSIP: 36200MV83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1730 | PA      | $1731.50       | 0.00%             | 2033-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 604712 GN 10/33 FIXED 5                      | CUSIP: 36200MYH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1518 | PA      | $1550.12       | 0.00%             | 2033-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 604801 GN 11/33 FIXED 5                      | CUSIP: 36200M3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71206 | PA      | $71468.34      | 0.01%             | 2033-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 604897 GN 12/33 FIXED 5                      | CUSIP: 36200M7J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        753 | PA      | $766.97        | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 604945 GN 01/34 FIXED 5                      | CUSIP: 36200NBN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2925 | PA      | $2986.33       | 0.00%             | 2034-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 605375 GN 09/34 FIXED 6.5                    | CUSIP: 36200NQ46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2385 | PA      | $2454.65       | 0.00%             | 2034-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 605561 GN 11/34 FIXED 5.5                    | CUSIP: 36200NWW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      61192 | PA      | $64141.95      | 0.01%             | 2034-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 605631 GN 08/34 FIXED 6.5                    | CUSIP: 36200NY47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1004 | PA      | $1034.07       | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 606323 GN 06/36 FIXED 5.5                    | CUSIP: 36201XSL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14789 | PA      | $15407.91      | 0.00%             | 2036-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 607658 GN 02/33 FIXED 5.5                    | CUSIP: 36202SB31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4923 | PA      | $4995.63       | 0.00%             | 2033-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 608150 GN 04/33 FIXED 5.5                    | CUSIP: 36202STF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22244 | PA      | $23444.50      | 0.00%             | 2033-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 608367 GN 03/33 FIXED 5                      | CUSIP: 36202SZ84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $235.22        | 0.00%             | 2033-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 609428 GN 06/33 FIXED 5.5                    | CUSIP: 36202UA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29917 | PA      | $30452.31      | 0.00%             | 2033-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 612919 GN 07/33 FIXED 5                      | CUSIP: 36202X4C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1226 | PA      | $1246.52       | 0.00%             | 2033-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 614411 GN 06/33 FIXED 5                      | CUSIP: 36290QR80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1022 | PA      | $1030.90       | 0.00%             | 2033-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 617153 GN 07/36 FIXED 6.5                    | CUSIP: 36290TTJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        858 | PA      | $888.92        | 0.00%             | 2036-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 617332 GN 12/36 FIXED 6.5                    | CUSIP: 36290TY52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1932 | PA      | $2010.52       | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 617573 GN 06/37 FIXED 6.5                    | CUSIP: 36290UCJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2093 | PA      | $2153.73       | 0.00%             | 2037-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 617710 GN 09/37 FIXED 6.5                    | CUSIP: 36290UGT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5493 | PA      | $5652.48       | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 617859 GN 12/37 FIXED 6.5                    | CUSIP: 36290UMG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7478 | PA      | $7921.96       | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 618650 GN 09/36 FIXED 6.5                    | CUSIP: 36290VH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        715 | PA      | $735.65        | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 621097 GN 03/37 FIXED 6                      | CUSIP: 36290X7J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6812 | PA      | $7227.37       | 0.00%             | 2037-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 624207 GN 01/34 FIXED 5.5                    | CUSIP: 36291CNY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9041 | PA      | $9266.70       | 0.00%             | 2034-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 626921 GN 03/45 FIXED 3                      | CUSIP: 36291FPE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     417652 | PA      | $373440.60     | 0.03%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 626938 GN 04/45 FIXED 4                      | CUSIP: 36291FPX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     902575 | PA      | $874548.13     | 0.07%             | 2045-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 631530 GN 07/34 FIXED 5                      | CUSIP: 36291LST3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1754 | PA      | $1776.67       | 0.00%             | 2034-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 633233 GN 08/34 FIXED 6.5                    | CUSIP: 36291NPS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        131 | PA      | $135.27        | 0.00%             | 2034-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 640214 GN 03/35 FIXED 5                      | CUSIP: 36291WGX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1567 | PA      | $1578.46       | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 641967 GN 04/36 FIXED 5.5                    | CUSIP: 36291YFG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2332 | PA      | $2371.56       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 642135 GN 09/36 FIXED 6                      | CUSIP: 36291YLQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4067 | PA      | $4174.95       | 0.00%             | 2036-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 646394 GN 04/36 FIXED 5                      | CUSIP: 36292EC73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20363 | PA      | $20548.57      | 0.00%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 649488 GN 09/35 FIXED 5                      | CUSIP: 36292HRH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1350 | PA      | $1363.22       | 0.00%             | 2035-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 651871 GN 10/36 FIXED 6.5                    | CUSIP: 36292LFL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1456 | PA      | $1498.55       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 653158 GN 04/36 FIXED 5.5                    | CUSIP: 36292MTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1896 | PA      | $1930.73       | 0.00%             | 2036-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 653750 GN 03/36 FIXED 6.5                    | CUSIP: 36292NH37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15329 | PA      | $15775.40      | 0.00%             | 2036-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 654758 GN 09/36 FIXED 6.5                    | CUSIP: 36294NMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13558 | PA      | $13954.48      | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 655251 GN 10/36 FIXED 6.5                    | CUSIP: 36294N5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2582 | PA      | $2686.26       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 655348 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3045 | PA      | $3134.87       | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 655352 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        809 | PA      | $832.61        | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 655355 GN 05/36 FIXED 6.5                    | CUSIP: 36294PBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      49252 | PA      | $50686.40      | 0.00%             | 2036-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 655605 GN 09/36 FIXED 6.5                    | CUSIP: 36294PKS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1986 | PA      | $2043.39       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 656202 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16090 | PA      | $16583.91      | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 656220 GN 08/36 FIXED 6.5                    | CUSIP: 36294QAV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        260 | PA      | $267.63        | 0.00%             | 2036-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 657144 GN 04/37 FIXED 6                      | CUSIP: 36294RBM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2281 | PA      | $2343.16       | 0.00%             | 2037-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 657986 GN 10/36 FIXED 6.5                    | CUSIP: 36294R6X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5121 | PA      | $5269.74       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 658104 GN 09/36 FIXED 6.5                    | CUSIP: 36294SDH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4002 | PA      | $4118.62       | 0.00%             | 2036-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 658122 GN 10/36 FIXED 6.5                    | CUSIP: 36294SD38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3193 | PA      | $3285.75       | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 658132 GN 10/36 FIXED 6                      | CUSIP: 36294SED5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6966 | PA      | $7355.68       | 0.00%             | 2036-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 658219 GN 12/36 FIXED 6.5                    | CUSIP: 36294SG43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2327 | PA      | $2450.19       | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 658374 GN 11/36 FIXED 6.5                    | CUSIP: 36294SMX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        794 | PA      | $817.95        | 0.00%             | 2036-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 659684 GN 10/36 FIXED 6.5                    | CUSIP: 36294T2R5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19479 | PA      | $20396.60      | 0.00%             | 2036-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 661528 GN 12/36 FIXED 6.5                    | CUSIP: 36294V4M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19250 | PA      | $19810.50      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 662065 GN 12/36 FIXED 6.5                    | CUSIP: 36294WQS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18390 | PA      | $19033.58      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 662443 GN 06/37 FIXED 6                      | CUSIP: 36294W5C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2236 | PA      | $2352.15       | 0.00%             | 2037-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 662584 GN 09/37 FIXED 6.5                    | CUSIP: 36294XCV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54535 | PA      | $56864.91      | 0.00%             | 2037-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 662759 GN 12/36 FIXED 6.5                    | CUSIP: 36294XJC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14068 | PA      | $14479.31      | 0.00%             | 2036-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 663771 GN 01/37 FIXED 6.5                    | CUSIP: 36294YMU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5774 | PA      | $5942.65       | 0.00%             | 2037-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 663792 GN 01/37 FIXED 5                      | CUSIP: 36294YNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27154 | PA      | $27387.31      | 0.00%             | 2037-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 663884 GN 02/37 FIXED 6                      | CUSIP: 36294YRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6845 | PA      | $7026.75       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 664543 GN 01/38 FIXED 6.5                    | CUSIP: 36295AHU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1748 | PA      | $1798.97       | 0.00%             | 2038-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 665963 GN 02/38 FIXED 6                      | CUSIP: 36295BZ48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18960 | PA      | $20091.18      | 0.00%             | 2038-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 667332 GN 03/37 FIXED 6.5                    | CUSIP: 36295DLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1497 | PA      | $1540.35       | 0.00%             | 2037-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 667454 GN 05/37 FIXED 6.5                    | CUSIP: 36295DQF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23194 | PA      | $23869.07      | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 668414 GN 04/37 FIXED 5.5                    | CUSIP: 36295ESB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16804 | PA      | $17052.49      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 669050 GN 05/37 FIXED 6.5                    | CUSIP: 36295FH31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3759 | PA      | $3868.34       | 0.00%             | 2037-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 670665 GN 08/37 FIXED 6                      | CUSIP: 36295HCA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1204 | PA      | $1275.53       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 670978 GN 11/37 FIXED 6.5                    | CUSIP: 36295HM31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76001 | PA      | $78250.17      | 0.01%             | 2037-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 671023 GN 08/37 FIXED 6                      | CUSIP: 36295HPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4304 | PA      | $4567.15       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 671182 GN 12/37 FIXED 6.5                    | CUSIP: 36295HUF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        470 | PA      | $483.88        | 0.00%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 671230 GN 02/38 FIXED 6.5                    | CUSIP: 36295HVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        473 | PA      | $487.24        | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 672391 GN 12/37 FIXED 6                      | CUSIP: 36295J7C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1952 | PA      | $2070.98       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 672937 GN 08/38 FIXED 6                      | CUSIP: 36295KS20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23149 | PA      | $24556.71      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 673003 GN 08/38 FIXED 5.5                    | CUSIP: 36295KU43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3925 | PA      | $3988.74       | 0.00%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 673228 GN 11/38 FIXED 5.5                    | CUSIP: 36295K4M2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33060 | PA      | $34409.71      | 0.00%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 674999 GN 12/37 FIXED 6                      | CUSIP: 36295M3G2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8998 | PA      | $9453.66       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 675059 GN 01/38 FIXED 5.5                    | CUSIP: 36295M5U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29662 | PA      | $30671.10      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 675063 GN 01/38 FIXED 6                      | CUSIP: 36295M5Y1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3209 | PA      | $3405.35       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 675394 GN 05/38 FIXED 6.5                    | CUSIP: 36295NKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      84901 | PA      | $88331.15      | 0.01%             | 2038-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 676015 GN 08/38 FIXED 6.5                    | CUSIP: 36295PAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4292 | PA      | $4416.65       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 676842 GN 05/38 FIXED 5.5                    | CUSIP: 36295P5B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38552 | PA      | $40008.80      | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 676927 GN 04/38 FIXED 5.5                    | CUSIP: 36295QA42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      29429 | PA      | $30281.86      | 0.00%             | 2038-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677064 GN 07/38 FIXED 5.5                    | CUSIP: 36295QFD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76795 | PA      | $77998.40      | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677081 GN 07/38 FIXED 6.5                    | CUSIP: 36295QFW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8974 | PA      | $9235.65       | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677215 GN 08/38 FIXED 6.5                    | CUSIP: 36295QK41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16031 | PA      | $16948.82      | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677309 GN 09/38 FIXED 6.5                    | CUSIP: 36295QN22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20853 | PA      | $21469.16      | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677323 GN 09/38 FIXED 6.5                    | CUSIP: 36295QPG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        199 | PA      | $205.19        | 0.00%             | 2038-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677567 GN 11/37 FIXED 6                      | CUSIP: 36295QW48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        384 | PA      | $394.89        | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 677596 GN 12/37 FIXED 6                      | CUSIP: 36295QXZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1234 | PA      | $1275.34       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 678100 GN 01/39 FIXED 5.5                    | CUSIP: 36295RKM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22029 | PA      | $22446.53      | 0.00%             | 2039-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 678761 GN 11/37 FIXED 6                      | CUSIP: 36295SB62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57529 | PA      | $59506.64      | 0.00%             | 2037-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 678950 GN 10/37 FIXED 6.5                    | CUSIP: 36295SH33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35677 | PA      | $36804.04      | 0.00%             | 2037-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 679243 GN 12/37 FIXED 6                      | CUSIP: 36295SS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4518 | PA      | $4695.82       | 0.00%             | 2037-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 679495 GN 01/38 FIXED 5.5                    | CUSIP: 36295S3C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22408 | PA      | $23323.17      | 0.00%             | 2038-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 680222 GN 01/38 FIXED 6                      | CUSIP: 36295TVP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6480 | PA      | $6732.85       | 0.00%             | 2038-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 680512 GN 01/40 FIXED 6                      | CUSIP: 36295UAM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68156 | PA      | $70041.35      | 0.01%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 682899 GN 09/40 FIXED 6                      | CUSIP: 36295WUY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58392 | PA      | $60517.42      | 0.00%             | 2040-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 682904 GN 10/40 FIXED 6                      | CUSIP: 36295WU54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52081 | PA      | $53575.96      | 0.00%             | 2040-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 682906 GN 11/40 FIXED 5.5                    | CUSIP: 36295WU70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     120585 | PA      | $122611.01     | 0.01%             | 2040-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 682911 GN 12/40 FIXED 6                      | CUSIP: 36295WVC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      56222 | PA      | $57762.60      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 683565 GN 02/38 FIXED 6.5                    | CUSIP: 36295XMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11810 | PA      | $12153.61      | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 685630 GN 04/38 FIXED 6                      | CUSIP: 36296AVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43686 | PA      | $45251.86      | 0.00%             | 2038-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 686314 GN 05/38 FIXED 6                      | CUSIP: 36296BN73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1653 | PA      | $1696.55       | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 686776 GN 06/38 FIXED 6.5                    | CUSIP: 36296B6M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19819 | PA      | $20395.90      | 0.00%             | 2038-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 686876 GN 05/38 FIXED 6                      | CUSIP: 36296CCM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23827 | PA      | $24496.65      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 687923 GN 09/38 FIXED 6                      | CUSIP: 36296DG85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7628 | PA      | $7969.22       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 688031 GN 10/38 FIXED 6.5                    | CUSIP: 36296DLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11519 | PA      | $11982.48      | 0.00%             | 2038-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 688088 GN 11/38 FIXED 6.5                    | CUSIP: 36296DND6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15847 | PA      | $16311.80      | 0.00%             | 2038-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 688098 GN 11/38 FIXED 6                      | CUSIP: 36296DNP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5016 | PA      | $5206.51       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 689754 GN 08/38 FIXED 6                      | CUSIP: 36296FH71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16457 | PA      | $16928.47      | 0.00%             | 2038-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 689889 GN 09/38 FIXED 6                      | CUSIP: 36296FNE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1100 | PA      | $1130.33       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 689938 GN 10/38 FIXED 6                      | CUSIP: 36296FPX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6686 | PA      | $7015.99       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 690910 GN 06/38 FIXED 5.5                    | CUSIP: 36296GR78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13799 | PA      | $14283.43      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 690977 GN 05/38 FIXED 5.5                    | CUSIP: 36296GUA7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        697 | PA      | $707.91        | 0.00%             | 2038-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 691570 GN 08/38 FIXED 6.5                    | CUSIP: 36296HJP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14414 | PA      | $14833.33      | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 692176 GN 07/39 FIXED 6.5                    | CUSIP: 36296H6M6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        406 | PA      | $430.57        | 0.00%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 692396 GN 02/39 FIXED 6.5                    | CUSIP: 36296JGD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      51017 | PA      | $52550.10      | 0.00%             | 2039-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 693511 GN 07/38 FIXED 6.5                    | CUSIP: 36296KN40<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      23392 | PA      | $24168.88      | 0.00%             | 2038-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 694182 GN 10/38 FIXED 6                      | CUSIP: 36296LFX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4914 | PA      | $5048.03       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 695998 GN 07/38 FIXED 5.5                    | CUSIP: 36296NGF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77329 | PA      | $79909.89      | 0.01%             | 2038-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 697141 GN 08/38 FIXED 6.5                    | CUSIP: 36296PP21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6456 | PA      | $6644.84       | 0.00%             | 2038-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 697489 GN 09/38 FIXED 6                      | CUSIP: 36296P2W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1639 | PA      | $1702.88       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 697572 GN 11/38 FIXED 5                      | CUSIP: 36296P6H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     234664 | PA      | $239548.72     | 0.02%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 698060 GN 02/39 FIXED 5.5                    | CUSIP: 36296QQM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32277 | PA      | $33290.21      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 698330 GN 05/39 FIXED 5                      | CUSIP: 36296QY37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133410 | PA      | $136221.29     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 698370 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80295 | PA      | $79786.26      | 0.01%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 698386 GN 07/39 FIXED 4.5                    | CUSIP: 36296Q2T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     927006 | PA      | $921076.68     | 0.07%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 698649 GN 11/38 FIXED 6                      | CUSIP: 36296REW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8647 | PA      | $8923.19       | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 699092 GN 09/38 FIXED 6                      | CUSIP: 36296RUR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7009 | PA      | $7203.95       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 699666 GN 07/40 FIXED 5                      | CUSIP: 36296SJK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18051 | PA      | $18252.15      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 700778 GN 10/38 FIXED 5.5                    | CUSIP: 36296TQ71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5136 | PA      | $5305.54       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 700804 GN 10/38 FIXED 5.5                    | CUSIP: 36296TRZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     128027 | PA      | $132524.80     | 0.01%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 700829 GN 10/38 FIXED 5.5                    | CUSIP: 36296TSS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1700.96       | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 700916 GN 11/38 FIXED 6                      | CUSIP: 36296TVH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12426 | PA      | $13077.58      | 0.00%             | 2038-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 701501 GN 12/38 FIXED 5                      | CUSIP: 36296UKN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7533 | PA      | $7716.27       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 701529 GN 02/38 FIXED 6.5                    | CUSIP: 36296ULJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1736 | PA      | $1786.63       | 0.00%             | 2038-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 701993 GN 02/39 FIXED 4.5                    | CUSIP: 36296U3A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1774 | PA      | $1764.62       | 0.00%             | 2039-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 703002 GN 04/39 FIXED 4.5                    | CUSIP: 36296WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12164 | PA      | $12097.52      | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 703036 GN 07/39 FIXED 4.5                    | CUSIP: 36296WBD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     832866 | PA      | $828300.68     | 0.07%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 704672 GN 08/39 FIXED 5.5                    | CUSIP: 36296X2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35429 | PA      | $35965.06      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 705406 GN 01/39 FIXED 6.5                    | CUSIP: 36296YU75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7625 | PA      | $7846.83       | 0.00%             | 2039-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 707895 GN 04/39 FIXED 5                      | CUSIP: 36297CNL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     116176 | PA      | $118080.48     | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 708302 GN 03/39 FIXED 5.5                    | CUSIP: 36297C3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      90814 | PA      | $92200.34      | 0.01%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 708330 GN 02/39 FIXED 5.5                    | CUSIP: 36297C4P1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5149 | PA      | $5227.08       | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 710683 GN 07/39 FIXED 4.5                    | CUSIP: 36297FRC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19703 | PA      | $19594.83      | 0.00%             | 2039-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 710859 GN 09/39 FIXED 5                      | CUSIP: 36297FWU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43065 | PA      | $44111.39      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 710929 GN 10/39 FIXED 5                      | CUSIP: 36297FY22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4780 | PA      | $4895.96       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 711343 GN 11/35 FIXED 5                      | CUSIP: 36297GHU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1261 | PA      | $1277.58       | 0.00%             | 2035-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 711345 GN 09/38 FIXED 6                      | CUSIP: 36297GHW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19873 | PA      | $20400.49      | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 711479 GN 12/39 FIXED 5                      | CUSIP: 36297GM49<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146310 | PA      | $149908.61     | 0.01%             | 2039-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 712594 GN 07/39 FIXED 5.5                    | CUSIP: 36297HUT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      65677 | PA      | $66668.60      | 0.01%             | 2039-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 713866 GN 09/39 FIXED 5                      | CUSIP: 36297KCB5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6048 | PA      | $6123.39       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 716206 GN 05/39 FIXED 5                      | CUSIP: 3620A1U71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2244 | PA      | $2261.75       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 716305 GN 06/39 FIXED 5                      | CUSIP: 3620A1YA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5482 | PA      | $5572.14       | 0.00%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 716768 GN 04/39 FIXED 5                      | CUSIP: 3620A2JM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      38956 | PA      | $39456.70      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 716818 GN 04/39 FIXED 4.5                    | CUSIP: 3620A2K70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8289 | PA      | $8187.58       | 0.00%             | 2039-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 719769 GN 02/40 FIXED 6                      | CUSIP: 3620A5T25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3426 | PA      | $3523.92       | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 719899 GN 08/39 FIXED 6                      | CUSIP: 3620A5X46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      76127 | PA      | $78358.14      | 0.01%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 719922 GN 10/39 FIXED 5.5                    | CUSIP: 3620A5YT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110115 | PA      | $114236.20     | 0.01%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 720739 GN 10/39 FIXED 5.5                    | CUSIP: 3620A6V87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     194773 | PA      | $197921.15     | 0.02%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722105 GN 12/39 FIXED 5.5                    | CUSIP: 3620A8GN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11190 | PA      | $11455.23      | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722759 GN 08/39 FIXED 6                      | CUSIP: 3620A85U3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14047 | PA      | $14429.34      | 0.00%             | 2039-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722770 GN 09/39 FIXED 6                      | CUSIP: 3620A86F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4905 | PA      | $5035.53       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722785 GN 10/39 FIXED 6                      | CUSIP: 3620A86W8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4967 | PA      | $5099.15       | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722831 GN 12/39 FIXED 6                      | CUSIP: 3620A9A84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9044 | PA      | $9284.49       | 0.00%             | 2039-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 722839 GN 01/40 FIXED 6                      | CUSIP: 3620A9BG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1172 | PA      | $1203.76       | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 723631 GN 01/40 FIXED 5.5                    | CUSIP: 3620A94Q1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15009 | PA      | $15267.90      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 723748 GN 05/40 FIXED 4.5                    | CUSIP: 3620AABR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149843 | PA      | $148328.11     | 0.01%             | 2040-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724033 GN 11/39 FIXED 6                      | CUSIP: 3620AALN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42559 | PA      | $43687.66      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724058 GN 11/39 FIXED 5.5                    | CUSIP: 3620AAMF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17848 | PA      | $18174.01      | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724065 GN 07/39 FIXED 6.5                    | CUSIP: 3620AAMN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111797 | PA      | $115053.17     | 0.01%             | 2039-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724182 GN 08/39 FIXED 5.5                    | CUSIP: 3620AARB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35146 | PA      | $36166.53      | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724247 GN 08/39 FIXED 5                      | CUSIP: 3620AATC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5230 | PA      | $5296.59       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 724390 GN 10/39 FIXED 4.5                    | CUSIP: 3620AAXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      82268 | PA      | $81265.15      | 0.01%             | 2039-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 732484 GN 02/40 FIXED 6                      | CUSIP: 3620AKXM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22786 | PA      | $23398.60      | 0.00%             | 2040-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 732933 GN 01/40 FIXED 5                      | CUSIP: 3620ALHJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35182 | PA      | $35625.15      | 0.00%             | 2040-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 732941 GN 01/40 FIXED 5.5                    | CUSIP: 3620ALHS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26698 | PA      | $27092.93      | 0.00%             | 2040-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 733344 GN 04/40 FIXED 5.5                    | CUSIP: 3620ALWD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1191 | PA      | $1209.78       | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 733677 GN 05/40 FIXED 5.5                    | CUSIP: 3620AMCN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14661 | PA      | $14898.10      | 0.00%             | 2040-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 734431 GN 05/41 FIXED 4.5                    | CUSIP: 3620AM4Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2878 | PA      | $2852.04       | 0.00%             | 2041-05-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 737184 GN 04/40 FIXED 5.5                    | CUSIP: 3620AQ6V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     149570 | PA      | $151842.12     | 0.01%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 737442 GN 09/40 FIXED 4                      | CUSIP: 3620ARHT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      54060 | PA      | $52119.65      | 0.00%             | 2040-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 737532 GN 10/40 FIXED 4                      | CUSIP: 3620ARLM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9904 | PA      | $9548.49       | 0.00%             | 2040-10-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 738317 GN 05/41 FIXED 5                      | CUSIP: 3620ASG29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27333 | PA      | $27596.39      | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 742408 GN 06/40 FIXED 5                      | CUSIP: 3620AWYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6532 | PA      | $6591.01       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 745636 GN 12/41 FIXED 4                      | CUSIP: 3620C1LR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14564 | PA      | $14040.73      | 0.00%             | 2041-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 746066 GN 04/41 FIXED 4.5                    | CUSIP: 3620C1Z74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     246468 | PA      | $245116.28     | 0.02%             | 2041-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 752414 GN 11/40 FIXED 4.5                    | CUSIP: 36230LVF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28897 | PA      | $28404.60      | 0.00%             | 2040-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 757044 GN 12/40 FIXED 4                      | CUSIP: 36230RZH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28570 | PA      | $27632.98      | 0.00%             | 2040-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 760747 GN 09/41 FIXED 4                      | CUSIP: 36176A5G0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53115 | PA      | $51251.68      | 0.00%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 764322 GN 11/41 FIXED 3.5                    | CUSIP: 36176E4F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3053 | PA      | $2883.91       | 0.00%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 764480 GN 05/41 FIXED 5                      | CUSIP: 36176FCR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4748 | PA      | $4769.81       | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 768089 GN 06/41 FIXED 4.5                    | CUSIP: 36176KC21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     227596 | PA      | $223879.51     | 0.02%             | 2041-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 768550 GN 05/41 FIXED 5                      | CUSIP: 36176KTF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48768 | PA      | $49213.01      | 0.00%             | 2041-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 769755 GN 09/41 FIXED 4                      | CUSIP: 36176L5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     162499 | PA      | $159782.83     | 0.01%             | 2041-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 770708 GN 06/41 FIXED 5                      | CUSIP: 36176NAH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2776 | PA      | $2802.38       | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 772029 GN 07/41 FIXED 4                      | CUSIP: 36176PPN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41884 | PA      | $40600.37      | 0.00%             | 2041-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 773307 GN 11/41 FIXED 4.5                    | CUSIP: 36176Q3Q5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      58490 | PA      | $57357.43      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 779067 GN 04/42 FIXED 3.5                    | CUSIP: 36176XJL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31289 | PA      | $29454.70      | 0.00%             | 2042-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 779385 GN 06/42 FIXED 3.5                    | CUSIP: 36176XUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1811358 | PA      | $1705590.61    | 0.14%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 780354 GN 12/23 FIXED 6.5                    | CUSIP: 36225AMB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         28 | PA      | $29.06         | 0.00%             | 2023-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 780580 GN 06/27 FIXED 7.5                    | CUSIP: 36225AUD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        646 | PA      | $665.13        | 0.00%             | 2027-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 780747 GN 03/28 FIXED 6.5                    | CUSIP: 36225AZL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        284 | PA      | $292.50        | 0.00%             | 2028-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 780992 GN 12/28 FIXED 8                      | CUSIP: 36225BC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1587 | PA      | $1637.53       | 0.00%             | 2028-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781001 GN 03/29 FIXED 7.5                    | CUSIP: 36225BDE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        718 | PA      | $722.73        | 0.00%             | 2029-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781029 GN 05/29 FIXED 6.5                    | CUSIP: 36225BEA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63977 | PA      | $65839.77      | 0.01%             | 2029-05-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781048 GN 06/29 FIXED 6.5                    | CUSIP: 36225BEV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16300 | PA      | $16774.87      | 0.00%             | 2029-06-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781205 GN 07/30 FIXED 8.5                    | CUSIP: 36225BKS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4057 | PA      | $4363.65       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781261 GN 02/31 FIXED 7.5                    | CUSIP: 36225BMJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         46 | PA      | $46.67         | 0.00%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781339 GN 09/31 FIXED 8                      | CUSIP: 36225BPY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2499 | PA      | $2675.36       | 0.00%             | 2031-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781611 GN 05/33 FIXED 5                      | CUSIP: 36225BYG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        491 | PA      | $502.68        | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781630 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        637 | PA      | $670.76        | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781636 GN 07/33 FIXED 5.5                    | CUSIP: 36225BY93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1529 | PA      | $1611.70       | 0.00%             | 2033-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781696 GN 04/33 FIXED 6.5                    | CUSIP: 36225B3D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      45319 | PA      | $46851.23      | 0.00%             | 2033-04-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781885 GN 03/35 FIXED 5                      | CUSIP: 36241KCW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        698 | PA      | $702.21        | 0.00%             | 2035-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781920 GN 05/35 FIXED 5.5                    | CUSIP: 36241KDZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3709 | PA      | $3907.85       | 0.00%             | 2035-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781936 GN 06/35 FIXED 4.5                    | CUSIP: 36241KEH7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4142 | PA      | $4089.78       | 0.00%             | 2035-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 781987 GN 10/35 FIXED 5.5                    | CUSIP: 36241KF45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26262 | PA      | $26935.49      | 0.00%             | 2035-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782055 GN 02/36 FIXED 5.5                    | CUSIP: 36241KH84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     115960 | PA      | $120801.49     | 0.01%             | 2036-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782131 GN 12/36 FIXED 5.5                    | CUSIP: 36241KLL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9202 | PA      | $9584.55       | 0.00%             | 2036-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782135 GN 01/37 FIXED 5.5                    | CUSIP: 36241KLQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14714 | PA      | $15325.35      | 0.00%             | 2037-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782144 GN 02/37 FIXED 6                      | CUSIP: 36241KLZ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2237 | PA      | $2372.45       | 0.00%             | 2037-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782150 GN 04/37 FIXED 5.5                    | CUSIP: 36241KL71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32828 | PA      | $34038.72      | 0.00%             | 2037-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782278 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        857 | PA      | $892.18        | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782280 GN 02/38 FIXED 5.5                    | CUSIP: 36241KQ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7115 | PA      | $7412.76       | 0.00%             | 2038-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782288 GN 12/37 FIXED 6.5                    | CUSIP: 36241KRH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      91980 | PA      | $94889.79      | 0.01%             | 2037-12-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782294 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     682143 | PA      | $710567.87     | 0.06%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782295 GN 03/38 FIXED 5.5                    | CUSIP: 36241KRQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14045 | PA      | $14633.36      | 0.00%             | 2038-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782333 GN 06/38 FIXED 5.5                    | CUSIP: 36241KSW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     104498 | PA      | $108854.78     | 0.01%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782336 GN 05/38 FIXED 6                      | CUSIP: 36241KSZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9947 | PA      | $10426.82      | 0.00%             | 2038-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782350 GN 06/38 FIXED 5.5                    | CUSIP: 36241KTF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53313 | PA      | $55547.25      | 0.00%             | 2038-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782365 GN 07/38 FIXED 6                      | CUSIP: 36241KTW8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20351 | PA      | $21593.18      | 0.00%             | 2038-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782382 GN 08/38 FIXED 5.5                    | CUSIP: 36241KUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      63200 | PA      | $65844.10      | 0.01%             | 2038-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782399 GN 09/38 FIXED 5.5                    | CUSIP: 36241KUY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57073 | PA      | $59444.85      | 0.00%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782404 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79920 | PA      | $83242.84      | 0.01%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782407 GN 09/38 FIXED 5.5                    | CUSIP: 36241KU89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     304588 | PA      | $317202.81     | 0.03%             | 2038-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782416 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32543 | PA      | $33899.70      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782423 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17476 | PA      | $18205.17      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782425 GN 10/38 FIXED 5.5                    | CUSIP: 36241KVS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36039 | PA      | $37535.06      | 0.00%             | 2038-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782436 GN 10/38 FIXED 6                      | CUSIP: 36241KV54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8473 | PA      | $8990.30       | 0.00%             | 2038-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782474 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      36443 | PA      | $37966.70      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782490 GN 12/38 FIXED 5                      | CUSIP: 36241KXT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13481 | PA      | $13530.06      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782495 GN 12/38 FIXED 5.5                    | CUSIP: 36241KXY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15324 | PA      | $15965.40      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782508 GN 12/38 FIXED 5.5                    | CUSIP: 36241KYD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26374 | PA      | $27476.72      | 0.00%             | 2038-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782539 GN 11/38 FIXED 5.5                    | CUSIP: 36241KZC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      96838 | PA      | $100897.36     | 0.01%             | 2038-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782542 GN 01/39 FIXED 4.5                    | CUSIP: 36241KZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     336796 | PA      | $334954.11     | 0.03%             | 2039-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782560 GN 02/39 FIXED 5.5                    | CUSIP: 36241KZZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      62848 | PA      | $65456.65      | 0.01%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782579 GN 02/39 FIXED 5.5                    | CUSIP: 36241K2L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44423 | PA      | $46256.77      | 0.00%             | 2039-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782604 GN 03/39 FIXED 5.5                    | CUSIP: 36241K3M8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     127622 | PA      | $132964.97     | 0.01%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782619 GN 04/39 FIXED 5                      | CUSIP: 36241K4C9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5408 | PA      | $5482.67       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782655 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      44950 | PA      | $46826.90      | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782662 GN 05/39 FIXED 5.5                    | CUSIP: 36241K5X2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7259 | PA      | $7561.46       | 0.00%             | 2039-05-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782690 GN 06/39 FIXED 5                      | CUSIP: 36241K7B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     332538 | PA      | $340710.33     | 0.03%             | 2039-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782710 GN 07/39 FIXED 5                      | CUSIP: 36241LAK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19897 | PA      | $20384.06      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782716 GN 07/39 FIXED 5                      | CUSIP: 36241LAR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124416 | PA      | $125509.50     | 0.01%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782729 GN 06/39 FIXED 6                      | CUSIP: 36241LA63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1319 | PA      | $1399.71       | 0.00%             | 2039-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782754 GN 09/39 FIXED 6                      | CUSIP: 36241LBX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3207 | PA      | $3402.76       | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782759 GN 09/39 FIXED 5.5                    | CUSIP: 36241LB47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11561 | PA      | $12043.98      | 0.00%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782775 GN 10/39 FIXED 6                      | CUSIP: 36241LCL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10110 | PA      | $10719.55      | 0.00%             | 2039-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782780 GN 09/39 FIXED 5.5                    | CUSIP: 36241LCR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     291519 | PA      | $303722.27     | 0.02%             | 2039-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782789 GN 10/39 FIXED 5.5                    | CUSIP: 36241LC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4339 | PA      | $4520.75       | 0.00%             | 2039-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782808 GN 11/39 FIXED 5.5                    | CUSIP: 36241LDM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11595 | PA      | $12079.93      | 0.00%             | 2039-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782832 GN 12/39 FIXED 5.5                    | CUSIP: 36241LED4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1627 | PA      | $1694.25       | 0.00%             | 2039-12-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782848 GN 08/39 FIXED 5.5                    | CUSIP: 36241LEV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3270 | PA      | $3317.97       | 0.00%             | 2039-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782858 GN 11/39 FIXED 6                      | CUSIP: 36241LE77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10959 | PA      | $11626.52      | 0.00%             | 2039-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782888 GN 02/40 FIXED 5                      | CUSIP: 36241LF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32283 | PA      | $33071.41      | 0.00%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782889 GN 02/40 FIXED 5                      | CUSIP: 36241LF68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83805 | PA      | $85850.84      | 0.01%             | 2040-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782920 GN 03/40 FIXED 5.5                    | CUSIP: 36241LG59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27268 | PA      | $28409.40      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782932 GN 04/40 FIXED 5                      | CUSIP: 36241LHH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     205424 | PA      | $210419.85     | 0.02%             | 2040-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782938 GN 03/40 FIXED 5.5                    | CUSIP: 36241LHP4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     309460 | PA      | $322382.63     | 0.03%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782962 GN 05/40 FIXED 5                      | CUSIP: 36241LJF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     134379 | PA      | $137625.49     | 0.01%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782964 GN 01/40 FIXED 6                      | CUSIP: 36241LJH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9952 | PA      | $10559.42      | 0.00%             | 2040-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782976 GN 03/39 FIXED 5.5                    | CUSIP: 36241LJV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14814 | PA      | $15435.20      | 0.00%             | 2039-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782988 GN 04/40 FIXED 5.5                    | CUSIP: 36241LJ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4448 | PA      | $4634.52       | 0.00%             | 2040-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 782996 GN 06/40 FIXED 5                      | CUSIP: 36241LKH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3177 | PA      | $3254.17       | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783007 GN 06/40 FIXED 4.5                    | CUSIP: 36241LKU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1603715 | PA      | $1574908.10    | 0.13%             | 2040-06-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783024 GN 07/40 FIXED 5                      | CUSIP: 36241LLD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      25951 | PA      | $26581.27      | 0.00%             | 2040-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783076 GN 09/39 FIXED 6                      | CUSIP: 36241LMZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        886 | PA      | $939.02        | 0.00%             | 2039-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783177 GN 09/40 FIXED 4.5                    | CUSIP: 36241LQ66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      27397 | PA      | $27247.68      | 0.00%             | 2040-09-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783213 GN 09/40 FIXED 5.5                    | CUSIP: 36241LSA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     649915 | PA      | $677115.49     | 0.05%             | 2040-09-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783233 GN 07/40 FIXED 5.5                    | CUSIP: 36241LSW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     207774 | PA      | $214090.37     | 0.02%             | 2040-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783287 GN 08/40 FIXED 6                      | CUSIP: 36241LUL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      47897 | PA      | $50108.01      | 0.00%             | 2040-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783292 GN 12/40 FIXED 6                      | CUSIP: 36241LUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      32565 | PA      | $34529.89      | 0.00%             | 2040-12-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783313 GN 02/41 FIXED 5.5                    | CUSIP: 36241LVE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10366 | PA      | $10800.45      | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783353 GN 04/41 FIXED 5                      | CUSIP: 36241LWN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110039 | PA      | $112721.58     | 0.01%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783363 GN 02/41 FIXED 5.5                    | CUSIP: 36241LWY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12337 | PA      | $12710.60      | 0.00%             | 2041-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783473 GN 11/41 FIXED 3.5                    | CUSIP: 36241L2E5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     954510 | PA      | $898971.29     | 0.07%             | 2041-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783571 GN 12/33 FIXED 5                      | CUSIP: 36241L6G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16186 | PA      | $16579.37      | 0.00%             | 2033-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783575 GN 03/40 FIXED 5.5                    | CUSIP: 36241L6L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      41213 | PA      | $42594.42      | 0.00%             | 2040-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783609 GN 10/40 FIXED 4.5                    | CUSIP: 3622A2AJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      20154 | PA      | $20044.69      | 0.00%             | 2040-10-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783610 GN 11/41 FIXED 4.5                    | CUSIP: 3622A2AK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16109 | PA      | $16001.78      | 0.00%             | 2041-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783638 GN 07/41 FIXED 5.5                    | CUSIP: 3622A2BF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12322 | PA      | $12614.73      | 0.00%             | 2041-07-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 783748 GN 04/43 FIXED 3.5                    | CUSIP: 3622A2EV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     359121 | PA      | $338264.74     | 0.03%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 784010 GN 03/45 FIXED 4                      | CUSIP: 3622A2N32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1648414 | PA      | $1597593.86    | 0.13%             | 2045-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 784041 GN 08/45 FIXED 4                      | CUSIP: 3622A2P22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3139533 | PA      | $3042698.35    | 0.24%             | 2045-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL 784208 GN 07/46 FIXED 4                      | CUSIP: 3622A2U91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4376794 | PA      | $4241723.60    | 0.34%             | 2046-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AA0577 GN 06/42 FIXED 3.5                    | CUSIP: 36177WUA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     153841 | PA      | $144832.83     | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AA3699 GN 08/42 FIXED 3.5                    | CUSIP: 36178BDC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     317564 | PA      | $298942.55     | 0.02%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AA4844 GN 06/42 FIXED 3.5                    | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64156 | PA      | $60396.68      | 0.00%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AB2667 GN 12/42 FIXED 3                      | CUSIP: 36178M6C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18648 | PA      | $17089.23      | 0.00%             | 2042-12-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AB5640 GN 11/42 FIXED 3.5                    | CUSIP: 36178SHR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10903 | PA      | $10235.77      | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AB7792 GN 11/42 FIXED 3.5                    | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9408 | PA      | $8856.16       | 0.00%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AD5638 GN 05/43 FIXED 4                      | CUSIP: 36180HHP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28101 | PA      | $26992.29      | 0.00%             | 2043-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AD8789 GN 03/43 FIXED 3.5                    | CUSIP: 36180MXS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      33143 | PA      | $31025.18      | 0.00%             | 2043-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AE3307 GN 10/46 FIXED 2.5                    | CUSIP: 36180VU88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     368302 | PA      | $318827.08     | 0.03%             | 2046-10-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AE6600 GN 06/43 FIXED 3.5                    | CUSIP: 36181AKM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      55260 | PA      | $51954.41      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AE7016 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     288778 | PA      | $271854.73     | 0.02%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AE7017 GN 06/43 FIXED 3.5                    | CUSIP: 36181AYN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2883258 | PA      | $2700119.05    | 0.22%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AI6880 GN 01/45 FIXED 3                      | CUSIP: 36198TUD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     146122 | PA      | $130651.94     | 0.01%             | 2045-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AL1137 GN 01/45 FIXED 3.5                    | CUSIP: 36183WHN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43115 | PA      | $40282.77      | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AL5064 GN 03/45 FIXED 3                      | CUSIP: 36184BTV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77845 | PA      | $69602.32      | 0.01%             | 2045-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AM0240 GN 04/45 FIXED 3.5                    | CUSIP: 36184KHR1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     129472 | PA      | $121877.43     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AM8692 GN 06/45 FIXED 2.5                    | CUSIP: 36185BUR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     108416 | PA      | $93863.66      | 0.01%             | 2045-06-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AN5728 GN 06/45 FIXED 3                      | CUSIP: 36186NLH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      57243 | PA      | $52355.01      | 0.00%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AN5733 GN 06/45 FIXED 3                      | CUSIP: 36186NLN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     109886 | PA      | $98250.96      | 0.01%             | 2045-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AO0095 GN 07/45 FIXED 3                      | CUSIP: 3617A0C87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     312468 | PA      | $279389.34     | 0.02%             | 2045-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AO2429 GN 08/45 FIXED 3                      | CUSIP: 3617A2VW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     187589 | PA      | $167725.73     | 0.01%             | 2045-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AX2582 GN 02/47 FIXED 3                      | CUSIP: 36196D2P3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101912 | PA      | $91121.90      | 0.01%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL AZ8592 GN 04/47 FIXED 4                      | CUSIP: 36197MRM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     372361 | PA      | $358144.55     | 0.03%             | 2047-04-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BA7886 GN 05/47 FIXED 4                      | CUSIP: 3617ALXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235740 | PA      | $226297.68     | 0.02%             | 2047-05-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BA7937 GN 06/47 FIXED 4                      | CUSIP: 3617ALZA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     178401 | PA      | $170743.93     | 0.01%             | 2047-06-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BC1102 GN 07/47 FIXED 4                      | CUSIP: 3617B4GK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     295876 | PA      | $282826.05     | 0.02%             | 2047-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BC1138 GN 08/47 FIXED 4                      | CUSIP: 3617B4HP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     314596 | PA      | $300720.06     | 0.02%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BC1180 GN 08/47 FIXED 4                      | CUSIP: 3617B4JZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106118 | PA      | $101940.25     | 0.01%             | 2047-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BE6179 GN 12/47 FIXED 4                      | CUSIP: 3617G02L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77783 | PA      | $74290.51      | 0.01%             | 2047-12-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BG5674 GN 07/48 FIXED 4                      | CUSIP: 3617GQJT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1188033 | PA      | $1135693.79    | 0.09%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BG9709 GN 07/48 FIXED 4                      | CUSIP: 3617GUYE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114755 | PA      | $109557.17     | 0.01%             | 2048-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BI1270 GN 08/48 FIXED 4                      | CUSIP: 3617HAMT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     228845 | PA      | $218479.58     | 0.02%             | 2048-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BP6203 GN 11/49 FIXED 3.5                    | CUSIP: 3617LC3L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     687135 | PA      | $631301.56     | 0.05%             | 2049-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BR6169 GN 12/49 FIXED 3.5                    | CUSIP: 3617M42A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     417716 | PA      | $383667.41     | 0.03%             | 2049-12-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BR6606 GN 02/50 FIXED 3                      | CUSIP: 3617M5KT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     331888 | PA      | $295189.73     | 0.02%             | 2050-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BS5111 GN 01/50 FIXED 3.5                    | CUSIP: 3617MFVC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366665 | PA      | $336949.14     | 0.03%             | 2050-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BT0861 GN 03/50 FIXED 3                      | CUSIP: 3617MN5W9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5054696 | PA      | $4495759.86    | 0.36%             | 2050-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL BT3502 GN 02/50 FIXED 3.5                    | CUSIP: 3617MR3K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     172281 | PA      | $158282.79     | 0.01%             | 2050-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                  | GNMA POOL CL6189 GN 03/52 FIXED 4                      | CUSIP: 3617YD2W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3233489 | PA      | $3098647.01    | 0.25%             | 2052-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-23      | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 23 IP          | CUSIP: 38378MAC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1873709 | PA      | $248171.26     | 0.02%             | 2042-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-102     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 102 PI         | CUSIP: 38379NWK4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1093398 | PA      | $119657.50     | 0.01%             | 2045-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-126     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 126 GS         | CUSIP: 38379QFL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1736402 | PA      | $1050421.65    | 0.08%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-127     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 127 AS         | CUSIP: 38379MX90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     640944 | PA      | $17316.31      | 0.00%             | 2043-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-165     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 165 IB         | CUSIP: 38379FE39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3396807 | PA      | $359953.15     | 0.03%             | 2042-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-166     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 166 SA         | CUSIP: 38379FDK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     652722 | PA      | $13241.05      | 0.00%             | 2042-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-180     | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 180 SA         | CUSIP: 38379TGM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     706614 | PA      | $19373.66      | 0.00%             | 2042-06-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-118     | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 118 IE         | CUSIP: 38380AUU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     268105 | PA      | $47090.52      | 0.00%             | 2046-09-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-138     | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 138 WI         | CUSIP: 38376MCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     308470 | PA      | $4749.63       | 0.00%             | 2045-08-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-160     | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 160 IE         | CUSIP: 38380B5Q4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     220676 | PA      | $28252.79      | 0.00%             | 2046-06-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-180     | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 180 WI         | CUSIP: 38376T6N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     944372 | PA      | $15393.27      | 0.00%             | 2045-09-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-15      | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 15 WI          | CUSIP: 38380CSQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     764450 | PA      | $14451.85      | 0.00%             | 2045-11-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-57      | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 57 WI          | CUSIP: 38380B7Q2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     545748 | PA      | $14090.56      | 0.00%             | 2045-12-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H23     | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H23 MA         | CUSIP: 38375US27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3770775 | PA      | $3579044.97    | 0.29%             | 2067-11-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15     | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FD         | CUSIP: 38380QHX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8091169 | PA      | $8065455.04    | 0.64%             | 2070-08-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H15     | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H15 FH         | CUSIP: 38380QJA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7878087 | PA      | $7805674.11    | 0.62%             | 2070-07-20      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H17     | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H17 HF         | CUSIP: 38380QMV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8677185 | PA      | $8651883.80    | 0.69%             | 2070-10-20      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2009-19                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2009 19 IO          | CUSIP: 38373M6P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     685783 | PA      | $1700.26       | 0.00%             | 2051-03-16      | Variable      | 1.09%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2021-H16                   | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 H16 F          | CUSIP: 38382YGW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23996674 | PA      | $24603679.60   | 1.96%             | 2071-09-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GOVT NATL MORTGAGE ASSOC SERIES 2007-18               | GOVERNMENT NATIONAL MORTGAGE A GNR 2007 18 CO          | CUSIP: 38375JD69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     195225 | PA      | $175540.50     | 0.01%             | 2035-03-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                  | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1          | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8404 | PA      | $7894.37       | 0.00%             | 2033-10-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR3                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR3 4A2       | CUSIP: 39538WHG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     458012 | PA      | $416062.85     | 0.03%             | 2036-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32      | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1332888 | PA      | $1194162.77    | 0.10%             | 2046-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-TWR            | GS MORTGAGE SECURITIES TRUST GSMS 2018 TWR A 144A      | CUSIP: 36251SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1909839.20    | 0.15%             | 2031-07-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2          | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A2 144A   | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3589560 | PA      | $2898633.42    | 0.23%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1         | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A  | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1767120 | PA      | $1426980.98    | 0.11%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1          | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A   | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   16543076 | PA      | $13826391.74   | 1.10%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ2          | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ2 A4 144A   | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   37572257 | PA      | $30340266.27   | 2.42%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2003-SEA                                  | GSAMP TRUST GSAMP 2003 SEA A1                          | CUSIP: 36228FVH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      78473 | PA      | $75792.16      | 0.01%             | 2033-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S6                                   | GSAMP TRUST GSAMP 2006 S6 A1B                          | CUSIP: 36245CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7502231 | PA      | $77619.58      | 0.01%             | 2036-10-25      | Variable      | 4.69%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                  | GSAMP TRUST GSAMP 2007 FM1 A1                          | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     956088 | PA      | $518220.77     | 0.04%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR2                      | GSR MORTGAGE LOAN TRUST GSR 2006 AR2 2A1               | CUSIP: 36297TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131090 | PA      | $91006.15      | 0.01%             | 2036-04-25      | Floating      | 3.16%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-OA1                      | GSR MORTGAGE LOAN TRUST GSR 2006 OA1 2A2               | CUSIP: 362631AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2055626 | PA      | $571530.62     | 0.05%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                            | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                 | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9721 | PA      | $9305.44       | 0.00%             | 2034-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 3 LTD 2020-3A                         | HALSEYPOINT CLO 3, LTD. HLSY 2020 3A A1A 144A          | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4450000 | PA      | $4394055.94    | 0.35%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-8                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 8 3A1        | CUSIP: 41161PHE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29818 | PA      | $25350.56      | 0.00%             | 2034-11-19      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 4A         | CUSIP: 41161PMZ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        281 | PA      | $275.10        | 0.00%             | 2035-07-19      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-4                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 4 3A1A       | CUSIP: 41161PL76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     511317 | PA      | $149690.76     | 0.01%             | 2046-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 5A1A       | CUSIP: 41161UAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46389 | PA      | $41387.36      | 0.00%             | 2036-08-19      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2007-1                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 1 2A1A       | CUSIP: 41164MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220600 | PA      | $194824.92     | 0.02%             | 2037-03-19      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-6                 | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 6 3A2A       | CUSIP: 41161PFS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     641128 | PA      | $588490.96     | 0.05%             | 2034-08-19      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2004-1                        | HOMEBANC MORTGAGE TRUST HMBT 2004 1 2A                 | CUSIP: 43739EAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     110569 | PA      | $104654.29     | 0.01%             | 2029-08-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MTGE TRUST 2006-2                            | HOMEBANC MORTGAGE TRUST HMBT 2006 2 A1                 | CUSIP: 43739HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16550 | PA      | $16451.99      | 0.00%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| IMC HOME EQ LN TR 1997-5                              | IMC HOME EQUITY LOAN TRUST IMCHE 1997 5 A10            | CUSIP: 449670DE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          7 | PA      | $6.66          | 0.00%             | 2028-11-20      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| IMC HOME EQUITY LN TR 1997-3                          | IMC HOME EQUITY LOAN TRUST IMCHE 1997 3 A6             | CUSIP: 449670CP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4272 | PA      | $4276.90       | 0.00%             | 2028-08-20      | Fixed         | 7.52%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2006-3                      | IMPAC SECURED ASSETS CORP. IMSA 2006 3 A3              | CUSIP: 45255RAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     102303 | PA      | $100673.28     | 0.01%             | 2036-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC ARM TRUST 2001-H2                             | INDYMAC ARM TRUST INARM 2001 H2 A2                     | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1736 | PA      | $1580.83       | 0.00%             | 2032-01-25      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDB MTGE LOAN TRUST 2005-1                   | INDYMAC INDB MORTGAGE LOAN TRU INDB 2005 1 A1          | CUSIP: 45660LYW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      91039 | PA      | $54243.76      | 0.00%             | 2035-11-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1      | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        608 | PA      | $512.23        | 0.00%             | 2036-01-25      | Floating      | 3.21%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31               | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 4A1      | CUSIP: 45660LW70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     217622 | PA      | $197311.47     | 0.02%             | 2036-01-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR6                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR6 2A1       | CUSIP: 45660LGD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46505 | PA      | $38502.56      | 0.00%             | 2035-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A       | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     552849 | PA      | $482458.99     | 0.04%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1       | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     309044 | PA      | $123647.21     | 0.01%             | 2037-06-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TR 2005-AR2                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR2 2A1A      | CUSIP: 45660LCL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80721 | PA      | $69395.41      | 0.01%             | 2035-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR11                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR11 2A       | CUSIP: 45660N6S9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2735 | PA      | $2588.24       | 0.00%             | 2034-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR11                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR11 A6       | CUSIP: 45660LQL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     461914 | PA      | $370250.33     | 0.03%             | 2035-08-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A     | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     412275 | PA      | $380353.39     | 0.03%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR19                | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR19 3A1      | CUSIP: 45660GAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7727193 | PA      | $6667667.02    | 0.53%             | 2036-08-25      | Variable      | 3.52%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A               | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A         | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     663657 | PA      | $514840.81     | 0.04%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                  | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2       | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35616 | PA      | $16153.79      | 0.00%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-2                       | JP MORGAN MORTGAGE TRUST JPMMT 2019 2 A11 144A         | CUSIP: 46650TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1073856 | PA      | $1065505.02    | 0.08%             | 2049-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2019-6                       | JP MORGAN MORTGAGE TRUST JPMMT 2019 6 A11 144A         | CUSIP: 46651BAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2222098 | PA      | $2060816.99    | 0.16%             | 2049-12-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                    | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A       | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   21734730 | PA      | $18217620.38   | 1.45%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                    | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A       | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7028526 | PA      | $5891171.17    | 0.47%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                    | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A       | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6433876 | PA      | $5392747.31    | 0.43%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 A5       | CUSIP: 46630XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125679 | PA      | $122354.91     | 0.01%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE TRUST 2005-A7                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A7 2A3             | CUSIP: 466247WQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     485911 | PA      | $419585.08     | 0.03%             | 2035-10-25      | Floating      | 4.23%                 | 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        |    3018023 | PA      | $2990011.24    | 0.24%             | 2030-07-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                            | LCM LTD PARTNERSHIP LCM 30A AR 144A                    | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5800000 | PA      | $5668504.20    | 0.45%             | 2031-04-20      | Floating      | 5.32%                 | 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        |    2180280 | PA      | $2156746.71    | 0.17%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XX LP 20A                                         | LCM LTD PARTNERSHIP LCM 20A AR 144A                    | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     411635 | PA      | $409738.06     | 0.03%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-16N                              | LEHMAN XS TRUST LXS 2006 16N A322                      | CUSIP: 52522DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1567796 | PA      | $1155303.12    | 0.09%             | 2046-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2001-4                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2001 4 2M1        | CUSIP: 542514BK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     201108 | PA      | $198223.20     | 0.02%             | 2032-03-25      | Floating      | 5.81%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1        | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61845 | PA      | $56650.26      | 0.00%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 M3         | CUSIP: 542514HV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     239724 | PA      | $237945.62     | 0.02%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-7                        | LUMINENT MORTGAGE TRUST LUM 2006 7 1A1                 | CUSIP: 55028BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     365515 | PA      | $329195.02     | 0.03%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-RM1                          | ACE SECURITIES CORP. ACE 2004 RM1 M1                   | CUSIP: 004421FS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     188118 | PA      | $179497.35     | 0.01%             | 2034-07-25      | Floating      | 5.44%                 | 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        |      36521 | PA      | $36560.95      | 0.00%             | 2027-11-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE7                          | ACE SECURITIES CORP. ACE 2005 HE7 M1                   | CUSIP: 004421UC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     352931 | PA      | $352781.93     | 0.03%             | 2035-11-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF1                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF1 A1        | CUSIP: 57645RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359733 | PA      | $158977.58     | 0.01%             | 2037-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                          | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134375 | PA      | $52954.00      | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-NC1                    | MASTR ASSET BACKED SECURITIES MABS 2005 NC1 M2         | CUSIP: 57643LGG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     469004 | PA      | $447458.26     | 0.04%             | 2034-12-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A4        | CUSIP: 57645NAS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23381 | PA      | $23144.95      | 0.00%             | 2047-05-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5        | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3350000 | PA      | $2711522.83    | 0.22%             | 2047-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MASTR REPERFORMING LOAN TRUST 2005-1                  | MASTR REPERFORMING LOAN TRUST MARP 2005 1 1A3 144A     | CUSIP: 576436AT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      69995 | PA      | $53283.49      | 0.00%             | 2034-08-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR SEASONED SECURITIES TRUST 2005-1                | MASTR SEASONED SECURITIZATION MSSTR 2005 1 3A1         | CUSIP: 55265WCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      93638 | PA      | $85189.91      | 0.01%             | 2032-10-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC2                | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC2 A1       | CUSIP: 585525ED6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101537 | PA      | $98213.02      | 0.01%             | 2030-06-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1       | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132248 | PA      | $123801.39     | 0.01%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1               | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 A1       | CUSIP: 585525FC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     117531 | PA      | $111921.97     | 0.01%             | 2031-11-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUNDING CO 2001-TBC1               | MELLON RESIDENTIAL FUNDING COR MRFC 2001 TBC1 B1       | CUSIP: 585525FE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14955 | PA      | $13426.42      | 0.00%             | 2031-11-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                  | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C        | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     895521 | PA      | $260774.59     | 0.02%             | 2037-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM4               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM4 A2A       | CUSIP: 59023QAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     128050 | PA      | $28471.78      | 0.00%             | 2037-09-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTO-2006-RM5               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 RM5 A2A       | CUSIP: 59023FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     986956 | PA      | $165732.96     | 0.01%             | 2037-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2004-OPT1                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 OPT1 A2A      | CUSIP: 59020UKM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     186402 | PA      | $183165.02     | 0.01%             | 2035-06-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MESA TRUST ASSET BK CERT 2001-5                       | MESA TRUST ASSET BACKED CERTIF MESA 2001 5 A 144A      | CUSIP: 68400XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37140 | PA      | $37098.86      | 0.00%             | 2031-12-25      | Floating      | 5.19%                 | 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        |    3000000 | PA      | $2957583.30    | 0.24%             | 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        |    3527573 | PA      | $3486846.17    | 0.28%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO VIII 2018-8A                      | MIDOCEAN CREDIT CLO MIDO 2018 8A A1R 144A              | CUSIP: 59801MAL2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5800000 | PA      | $5701897.70    | 0.45%             | 2031-02-20      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2003-G                    | MLCC MORTGAGE INVESTORS INC MLCC 2003 G A4B            | CUSIP: 5899296K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     956845 | PA      | $884942.18     | 0.07%             | 2029-01-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                  | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173171 | PA      | $146260.69     | 0.01%             | 2035-09-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                    | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A1            | CUSIP: 59020UUK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4090 | PA      | $3602.06       | 0.00%             | 2035-04-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC. 2003-F                   | MLCC MORTGAGE INVESTORS INC MLCC 2003 F A2             | CUSIP: 5899292N7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8116 | PA      | $7844.25       | 0.00%             | 2028-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2018-SUN               | MORGAN STANLEY CAPITAL I TRUST MSC 2018 SUN A 144A     | CUSIP: 61691MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2452458.25    | 0.20%             | 2035-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A         | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     390989 | PA      | $324875.09     | 0.03%             | 2035-07-25      | Floating      | 3.57%                 | 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        |     731647 | PA      | $455464.57     | 0.04%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-6XS                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 6XS 1A1        | CUSIP: 61751JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     844445 | PA      | $379547.69     | 0.03%             | 2047-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3        | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     210502 | PA      | $62877.50      | 0.01%             | 2037-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-8XS                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 8XS A1         | CUSIP: 61754PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501670 | PA      | $254761.40     | 0.02%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF1              | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF1 A 144A    | CUSIP: 61910AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14068185 | PA      | $13857078.22   | 1.10%             | 2042-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF2              | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF2 A 144A    | CUSIP: 61911CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2082198 | PA      | $1935938.16    | 0.15%             | 2042-02-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3              | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A    | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6643835 | PA      | $5799184.53    | 0.46%             | 2042-05-25      | Floating      | 5.14%                 | 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        |    5791927 | PA      | $5730204.88    | 0.46%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-2A                         | MOUNTAIN VIEW CLO MVEW 2017 2A AR 144A                 | CUSIP: 62432LAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     500000 | PA      | $492250.00     | 0.04%             | 2031-01-16      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD 15-10A                          | MOUNTAIN VIEW CLO LTD MVW 2015 10A AR 144A             | CUSIP: 62432CAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     856858 | PA      | $857906.53     | 0.07%             | 2027-10-13      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LTD 2015-9A                         | MOUNTAIN VIEW CLO LTD MVW 2015 9A A1R 144A             | CUSIP: 62432BAN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3400000 | PA      | $3334668.66    | 0.27%             | 2031-07-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NASSAU LTD 2017-IA                                    | NASSAU LTD NCC 2017 IA A1AS 144A                       | CUSIP: 631707AL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6520670 | PA      | $6437916.21    | 0.51%             | 2029-10-15      | Floating      | 5.23%                 | 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        |    7100359 | PA      | $6630461.24    | 0.53%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| AFC HOME EQUITY LOAN TRUST 1999-2                     | AFC HOME EQUITY LOAN TRUST AFC 1999 2 1A               | CUSIP: 00105HDZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     138433 | PA      | $85970.91      | 0.01%             | 2029-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| NEWARK BSL CLO 2 LTD 2017 1A                          | NEWARK BSL CLO 2 LTD. NBCLO 2017 1A A1R 144A           | CUSIP: 65023PAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6845328 | PA      | $6769224.27    | 0.54%             | 2030-07-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEP CORP 2001-R1A                      | NOMURA ASSET ACCEPTANCE CORPOR NAA 2001 R1A A 144A     | CUSIP: 65535VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115874 | PA      | $110844.25     | 0.01%             | 2030-02-19      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                      | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A              | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1615567 | PA      | $1077783.19    | 0.09%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2              | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A         | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3018757 | PA      | $2530261.94    | 0.20%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                    | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1         | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1985479 | PA      | $1876730.56    | 0.15%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M2         | CUSIP: 68389FJJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257494 | PA      | $244765.98     | 0.02%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                 | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3        | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     520477 | PA      | $310276.49     | 0.02%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| OZLM XIX LTD 2017-17A                                 | OZLM LTD OZLM 2017 17A A1 144A                         | CUSIP: 67111NAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3577583 | PA      | $3528462.22    | 0.28%             | 2030-07-20      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE CLO LTD 2018-2                          | PALMER SQUARE CLO LTD PLMRS 2018 2A A1A 144A           | CUSIP: 69688MAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2900000 | PA      | $2863628.78    | 0.23%             | 2031-07-16      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE LOAN FUNDING 2021-3                     | PALMER SQUARE LOAN FUNDING LTD PSTAT 2021 3A A1 144A   | CUSIP: 69702BAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2656561 | PA      | $2625966.39    | 0.21%             | 2029-07-20      | Floating      | 5.04%                 | 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        |    3300000 | PA      | $3237676.17    | 0.26%             | 2031-10-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A   | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7270121 | PA      | $6819572.61    | 0.54%             | 2051-07-25      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                         | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9933 | PA      | $9758.53       | 0.00%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                           | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1       | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |      37598 | PA      | $52684.11      | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                   | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 A           | CUSIP: 75970NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16980 | PA      | $15596.43      | 0.00%             | 2032-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LN TR 2003-2                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2003 2 A           | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183266 | PA      | $169401.96     | 0.01%             | 2033-08-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2004-3                | RENAISSANCE HOME EQUITY LOAN T RAMC 2004 3 AV2A        | CUSIP: 759950DY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     151463 | PA      | $129416.97     | 0.01%             | 2034-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TRUST 2002-2             | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 2 M1          | CUSIP: 759950AH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     289932 | PA      | $272034.78     | 0.02%             | 2032-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO5                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO5 3A4       | CUSIP: 75114HAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     362754 | PA      | $282719.57     | 0.02%             | 2046-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QA9               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QA9 NB21      | CUSIP: 761118FJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     425380 | PA      | $164338.88     | 0.01%             | 2035-08-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2              | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A       | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71332 | PA      | $68673.07      | 0.01%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC4                 | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC4 M5       | CUSIP: 76112BC81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1829000 | PA      | $1760369.52    | 0.14%             | 2035-09-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                   | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB      | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      50212 | PA      | $44892.40      | 0.00%             | 2033-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                 | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635471 | PA      | $396587.28     | 0.03%             | 2035-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| ROMARK CLO LTD 2017-1A                                | ROMARK CLO LTD RMRK 2017 1A A1R 144A                   | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   33700000 | PA      | $33101825.00   | 2.64%             | 2030-10-23      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2002-WMC1               | SALOMON BROTHERS MORTGAGE SECU SBM7 2002 WMC1 M1       | CUSIP: 79549AKF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     147131 | PA      | $148684.34     | 0.01%             | 2032-01-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| AMERICAN BUSINESS FIN SERVICES 2002-2                 | ABFS MORTGAGE LOAN TRUST ABFS 2002 2 M1                | CUSIP: 000759CR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     579675 | PA      | $405788.91     | 0.03%             | 2033-07-15      | Variable      | 6.79%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-HE1     | SECURITIZED ASSET BACKED RECEI SABR 2007 HE1 A2A       | CUSIP: 81377JAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2128896 | PA      | $487853.78     | 0.04%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 10                             | SEQUOIA MORTGAGE TRUST SEMT 10 2A1                     | CUSIP: 81743VAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92085 | PA      | $87690.49      | 0.01%             | 2027-10-20      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                         | SEQUOIA MORTGAGE TRUST SEMT 2007 1 1A1                 | CUSIP: 81744HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     311576 | PA      | $209915.10     | 0.02%             | 2047-01-20      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 5                              | SEQUOIA MORTGAGE TRUST SEMT 5 A                        | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6334 | PA      | $6042.41       | 0.00%             | 2026-10-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 6                              | SEQUOIA MORTGAGE TRUST SEMT 6 A                        | CUSIP: 81743XAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9366 | PA      | $8876.00       | 0.00%             | 2027-04-19      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2003-7A                        | SLM STUDENT LOAN TRUST SLMA 2003 7A A5A 144A           | CUSIP: B018RFII0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1666276 | PA      | $1635329.24    | 0.13%             | 2033-12-15      | Floating      | 5.97%                 | 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        |    8031713 | PA      | $7959549.32    | 0.63%             | 2023-04-25      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERT 2006-20E               | SMALL BUSINESS ADMINISTRATION SBAP 2006 20E 1          | CUSIP: 83162CQG1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      56253 | PA      | $55909.23      | 0.00%             | 2026-05-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20D              | SMALL BUSINESS ADMINISTRATION SBAP 2008 20D 1          | CUSIP: 83162CRS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     619326 | PA      | $613803.76     | 0.05%             | 2028-04-01      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20E              | SMALL BUSINESS ADMINISTRATION SBAP 2008 20E 1          | CUSIP: 83162CRU9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     656008 | PA      | $648784.44     | 0.05%             | 2028-05-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20G              | SMALL BUSINESS ADMINISTRATION SBAP 2008 20G 1          | CUSIP: 83162CRX3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     401353 | PA      | $396776.34     | 0.03%             | 2028-07-01      | Fixed         | 5.87%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L              | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1          | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      91102 | PA      | $93170.24      | 0.01%             | 2028-12-01      | Fixed         | 6.22%                 | 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        |    4480328 | PA      | $4424695.00    | 0.35%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1              | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A  | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60980 | PA      | $17622.00      | 0.00%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-2A LTD                               | STRATUS CLO STRAS 2021 2A A 144A                       | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3893460 | PA      | $3848617.60    | 0.31%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-7                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 7 A3          | CUSIP: 86359BRV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     219009 | PA      | $198468.57     | 0.02%             | 2034-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 3A1        | CUSIP: 863579B49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     229605 | PA      | $203846.52     | 0.02%             | 2035-11-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20               | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1        | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     123401 | PA      | $121794.16     | 0.01%             | 2035-01-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-15              | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 15 4A1        | CUSIP: 863579UU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20442 | PA      | $17389.15      | 0.00%             | 2035-07-25      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17              | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1        | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5664 | PA      | $4831.04       | 0.00%             | 2035-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-9               | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 9 1A1         | CUSIP: 86364JAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     831833 | PA      | $732181.30     | 0.06%             | 2037-10-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2004-8                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 8 3A          | CUSIP: 86359BWG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13755 | PA      | $13012.21      | 0.00%             | 2034-07-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3               | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1        | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     321227 | PA      | $305811.95     | 0.02%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2004-BNC2               | STRUCTURED ASSET INVESTMENT LO SAIL 2004 BNC2 M1       | CUSIP: 86358ENJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     975526 | PA      | $934557.93     | 0.07%             | 2034-12-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                   | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 M3          | CUSIP: 86358EMB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4994 | PA      | $4874.63       | 0.00%             | 2034-09-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                   | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4          | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11234000 | PA      | $10728915.99   | 0.86%             | 2035-06-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2       | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     224939 | PA      | $207424.24     | 0.02%             | 2034-03-19      | Floating      | 5.04%                 | 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        |      44117 | PA      | $41255.43      | 0.00%             | 2034-10-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1       | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     537309 | PA      | $470087.47     | 0.04%             | 2045-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR4                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR4 2A1       | CUSIP: 86360QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61621 | PA      | $58956.04      | 0.00%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A1        | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103017 | PA      | $90944.86      | 0.01%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2        | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258066 | PA      | $239675.54     | 0.02%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     359815 | PA      | $321229.16     | 0.03%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A11       | CUSIP: 86361HAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2092250 | PA      | $1311733.41    | 0.10%             | 2036-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1       | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      72028 | PA      | $24272.08      | 0.00%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INV 1998-2                      | STRUCTURED ASSET MORTGAGE INVE SAMI 1998 2 A5          | CUSIP: 073914F65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49440 | PA      | $1024.50       | 0.00%             | 2030-05-02      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1       | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     386083 | PA      | $291944.95     | 0.02%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-AR1                    | STRUCTURED ASSET SECURITIES CO SASC 2005 AR1 M2        | CUSIP: 86359DVX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     531291 | PA      | $502605.76     | 0.04%             | 2035-09-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A              | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1       | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2362 | PA      | $2284.36       | 0.00%             | 2033-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XVII LTD 2016-17A                        | SYMPHONY CLO LTD SYMP 2016 17A AR 144A                 | CUSIP: 87165UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     944253 | PA      | $937937.43     | 0.07%             | 2028-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 20 LTD 2017-20A                              | AMERICAN MONEY MANAGEMENT CORP AMMC 2017 20A AR 144A   | CUSIP: 00177TAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2685524 | PA      | $2672597.52    | 0.21%             | 2029-04-17      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED P/T CERT 2007-2                       | TBW MORTGAGE BACKED PASS THROU TBW 2007 2 A6A          | CUSIP: 872227AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1519654 | PA      | $603062.81     | 0.05%             | 2037-07-25      | Variable      | 6.51%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                 | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6           | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9084981 | PA      | $308225.23     | 0.02%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-6                 | TBW MORTGAGE BACKED PASS THROU TBW 2006 6 A6A          | CUSIP: 87222PAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     911725 | PA      | $291024.01     | 0.02%             | 2037-01-25      | Variable      | 6.13%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A          | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      89553 | PA      | $85906.79      | 0.01%             | 2031-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1998-3                                | AMRESCO RESIDENTIAL SECURITIES AMRES 1998 3 M1A        | CUSIP: 03215PFJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4741 | PA      | $5022.32       | 0.00%             | 2028-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A          | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177657 | PA      | $167403.61     | 0.01%             | 2029-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2003-3               | THORNBURG MORTGAGE SECURITIES TMST 2003 3 A4           | CUSIP: 885220DR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     140363 | PA      | $129716.07     | 0.01%             | 2043-06-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| TICP CLO III-2 LTD 2018-3R                            | TICP CLO LTD TICP 2018 3R A 144A                       | CUSIP: 87249FAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2787036 | PA      | $2778681.91    | 0.22%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                      | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A          | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8042409 | PA      | $7505522.78    | 0.60%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 11 LTD 2019-11A                 | ANCHORAGE CAPITAL CLO LTD ANCHC 2019 11A AR 144A       | CUSIP: 03330NAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3718170.23    | 0.30%             | 2032-07-22      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRALEE CLO II LTD 2013-1A                             | TRALEE CLO LTD TRAL 2013 1A AR 144A                    | CUSIP: 89289UAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6278462 | PA      | $6217860.21    | 0.50%             | 2029-07-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2015-6A                     | ANCHORAGE CAPITAL CLO LTD ANCHC 2015 6A ARR 144A       | CUSIP: 03328QAY7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4099752 | PA      | $4044124.72    | 0.32%             | 2030-07-15      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| UCFC MANU HOUSING 1996-1                              | UCFC MANUFACTURED HOUSING CONT UCFCM 1996 1 M          | CUSIP: 90263AAF7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     215226 | PA      | $190870.93     | 0.02%             | 2028-01-15      | Fixed         | 7.90%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020414<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2100000 | PA      | $1868037.82    | 0.15%             | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022410<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   91890000 | PA      | $84096847.69   | 6.70%             | 2037-01-18      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   35175000 | PA      | $32948416.87   | 2.63%             | 2038-01-17      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032419<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   93900000 | PA      | $89838106.67   | 7.16%             | 2038-01-17      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040412<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -12700000 | PA      | $-12381972.06  | -0.99%            | 2038-01-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14600000 | PA      | $14504926.11   | 1.16%             | 2038-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 15 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050411<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     400000 | PA      | $401934.49     | 0.03%             | 2038-01-17      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 1.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F012619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14400000 | PA      | $11090577.74   | 0.88%             | 2053-01-12      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   64600000 | PA      | $52579814.05   | 4.19%             | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -93300000 | PA      | $-75939576.63  | -6.05%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                | CUSIP: 01F020620<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -32000000 | PA      | $-26073228.48  | -2.08%            | 2053-02-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -24000000 | PA      | $-20327593.44  | -1.62%            | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F022626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -178370000 | PA      | $-151236623.16 | -12.06%           | 2053-02-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12000000 | PA      | $10534056.12   | 0.84%             | 2053-01-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030611<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -26000000 | PA      | $-22823788.26  | -1.82%            | 2053-01-12      | Fixed         | 3.00%                 | 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        |  769755000 | PA      | $676321568.48  | 53.91%            | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032617<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -33000000 | PA      | $-29984302.26  | -2.39%            | 2049-02-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -48300000 | PA      | $-43914416.03  | -3.50%            | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  358120832 | PA      | $335907470.61  | 26.78%            | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -394120832 | PA      | $-369674478.45 | -29.47%           | 2053-01-12      | Fixed         | 4.00%                 | 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        |  414990000 | PA      | $389346448.23  | 31.04%            | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  144000000 | PA      | $135135532.80  | 10.77%            | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  166700000 | PA      | $160479752.87  | 12.79%            | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   62600000 | PA      | $61694422.77   | 4.92%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15000000 | PA      | $14780664.90   | 1.18%             | 2053-02-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   49200000 | PA      | $49336731.72   | 3.93%             | 2053-01-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39600000 | PA      | $39689943.08   | 3.16%             | 2053-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   97200000 | PA      | $98581132.30   | 7.86%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                  | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   23200000 | PA      | $23763465.59   | 1.89%             | 2053-01-12      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                    | TREASURY BILL 01/23 0.00000                            | CUSIP: 912796ZJ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1461000 | PA      | $1459973.72    | 0.12%             | 2023-01-10      | 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        |     408000 | PA      | $406707.21     | 0.03%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                    | TREASURY BILL 03/23 0.00000                            | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14428000 | PA      | $14293870.23   | 1.14%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                    | TREASURY BILL 03/23 0.00000                            | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9896000 | PA      | $9828497.01    | 0.78%             | 2023-03-02      | None          | 0.00%                 | 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        |    9000000 | PA      | $8903646.63    | 0.71%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 1998-3                          | VENDEE MORTGAGE TRUST VENDE 1998 3 E                   | CUSIP: 911760LY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     167259 | PA      | $163563.53     | 0.01%             | 2029-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| VENDEE MORTGAGE TRUST 2000-1                          | VENDEE MORTGAGE TRUST VENDE 2000 1 1A                  | CUSIP: 911760NH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     109700 | PA      | $111491.66     | 0.01%             | 2030-01-15      | Variable      | 5.86%                 | 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        |    4000000 | PA      | $3899882.20    | 0.31%             | 2032-04-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2013-4A                               | VENTURE CDO LTD VENTR 2013 14A ARR 144A                | CUSIP: 92328GBA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   14233624 | PA      | $14088175.68   | 1.12%             | 2029-08-28      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2014-17A                              | VENTURE CDO LTD VENTR 2014 17A ARR 144A                | CUSIP: 92329YAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6834277 | PA      | $6823748.68    | 0.54%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXI CLO LTD 2015-21A                          | VENTURE XXI CLO VENTR 2015 21A AR 144A                 | CUSIP: 92330MAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     270006 | PA      | $270576.71     | 0.02%             | 2027-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERTIFICATES 2007-HY4                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY4 1A1       | CUSIP: 933636AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     530788 | PA      | $461970.06     | 0.04%             | 2037-04-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 3A6        | CUSIP: 93935BAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2236573 | PA      | $569747.86     | 0.05%             | 2036-07-25      | Variable      | 6.77%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19991 | PA      | $18144.70      | 0.00%             | 2042-11-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A         | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      80397 | PA      | $72389.49      | 0.01%             | 2042-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A        | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     195973 | PA      | $180608.16     | 0.01%             | 2042-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR9                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR9 1A6       | CUSIP: 92922FBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      54183 | PA      | $49963.05      | 0.00%             | 2033-09-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A         | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2751 | PA      | $2687.65       | 0.00%             | 2034-03-25      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR10                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR10 A1C      | CUSIP: 92922FWV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      49032 | PA      | $44905.81      | 0.00%             | 2044-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A       | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     101936 | PA      | $94524.04      | 0.01%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1     | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      34026 | PA      | $31469.93      | 0.00%             | 2045-10-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A4      | CUSIP: 92922F4D7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     108676 | PA      | $100975.29     | 0.01%             | 2035-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1     | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     453540 | PA      | $407036.64     | 0.03%             | 2045-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| ARES LII CLO LTD 2019-52A                             | ARES CLO LTD ARES 2019 52A A1R 144A                    | CUSIP: 04009AAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3800000 | PA      | $3736211.45    | 0.30%             | 2031-04-22      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 B1       | CUSIP: 92925CBL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     744587 | PA      | $626387.64     | 0.05%             | 2045-12-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A21      | CUSIP: 92922FD47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317924 | PA      | $305350.07     | 0.02%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR9                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR9 A1A       | CUSIP: 92922FU48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17120 | PA      | $15648.58      | 0.00%             | 2045-07-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 1A       | CUSIP: 93363QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131294 | PA      | $112127.90     | 0.01%             | 2046-11-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1      | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     501403 | PA      | $434529.60     | 0.03%             | 2036-12-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR19                           | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR19 2A       | CUSIP: 933638AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     550110 | PA      | $490904.70     | 0.04%             | 2047-01-25      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                            | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A       | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480216 | PA      | $422651.70     | 0.03%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTGE P/T 2002-AR1               | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2002 AR1 1A1      | CUSIP: 939335N68<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      37968 | PA      | $37147.57      | 0.00%             | 2030-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE 2003-AR8                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR8 A         | CUSIP: 92922FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     130529 | PA      | $123840.27     | 0.01%             | 2033-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2015-1                              | WELLFLEET CLO LTD WELF 2015 1A AR4 144A                | CUSIP: 949496BJ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1456258 | PA      | $1437433.11    | 0.11%             | 2029-07-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2016-1A                             | WELLFLEET CLO LTD WELF 2016 1A AR 144A                 | CUSIP: 94949RAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2685332 | PA      | $2666552.28    | 0.21%             | 2028-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLFLEET CLO LTD 2017-1A                             | WELLFLEET CLO LTD WELF 2017 1A A1RR 144A               | CUSIP: 94950GAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1399554 | PA      | $1382759.15    | 0.11%             | 2029-04-20      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W2                         | ARGENT SECURITIES INC. ARSI 2005 W2 M1                 | CUSIP: 040104ND9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3245623 | PA      | $3151951.58    | 0.25%             | 2035-10-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2004-K                    | WELLS FARGO MORTGAGE BACKED SE WFMBS 2004 K 2A3        | CUSIP: 94981VAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7257 | PA      | $7294.52       | 0.00%             | 2034-07-25      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | FIXED INC CLEARING CORP.REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    3384000 | PA      | $3384000.00    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -103004173 | PA      | $-103272756.19 | -8.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -4258235 | PA      | $-4266184.02   | -0.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -12084123 | PA      | $-12102208.85  | -0.96%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7527200 | PA      | $-7546018.00   | -0.60%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -26388433 | PA      | $-26451384.48  | -2.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO BANK OF AMERICA REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -11642686 | PA      | $-11661773.24  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | REVERSE REPO DEUTSCHE REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -2686488 | PA      | $-2687756.44   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2002-NC1                    | ASSET BACKED FUNDING CERTIFICA ABFC 2002 NC1 M1        | CUSIP: 04542BAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     179032 | PA      | $172371.65     | 0.01%             | 2032-03-25      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2004-OPT5                  | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT5 A1       | CUSIP: 04542BJY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     121850 | PA      | $114381.74     | 0.01%             | 2034-06-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HEQ LN 2001-HE2                 | ASSET BACKED SECURITIES CORP H ABSHE 2001 HE2 A1       | CUSIP: 04541GBN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     183479 | PA      | $171628.18     | 0.01%             | 2031-06-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2007-HE2                | ASSET BACKED SECURITIES CORP H ABSHE 2007 HE2 A2       | CUSIP: 04544TAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        936 | PA      | $650.63        | 0.00%             | 2037-05-25      | Floating      | 4.47%                 | 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        |    2091221 | PA      | $2070101.67    | 0.17%             | 2027-04-22      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                   | 3 MONTH SOFR FUT  MAR23 XCME 20230620                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        346 | NC      | $-408973.38    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 3 MONTH SOFR FUT  SEP23 XCME 20231219                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -346 | NC      | $528885.84     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | SAIL 2004-10 M3 SP GST                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $29.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U00XA4 PIMCO SWAPTION 3.38 PUT USD 20230406         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3100000 | NC      | $91014.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U00YA3 PIMCO SWAPTION 3.75 PUT USD 20230406         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17000000 | NC      | $-204564.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U01ZA0 PIMCO SWAPTION 3.348 PUT USD 2023041         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $97585.80      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U02AA5 PIMCO SWAPTION 3.75 PUT USD 20230413         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16700000 | NC      | $-199691.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U02NA1 PIMCO SWAPTION 3.285 PUT USD 2023041         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3000000 | NC      | $112276.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U02OA0 PIMCO SWAPTION 3.75 PUT USD 20230414         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16700000 | NC      | $-199658.52    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U03UA1 PIMCO SWAPTION 4.0 PUT USD 20230420          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16200000 | NC      | $-138936.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U03VA0 PIMCO SWAPTION 3.2725 PUT USD 202304         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $114163.72     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U04QA4 PIMCO SWAPTION 4.0 PUT USD 20230420          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16200000 | NC      | $-138936.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U04RA3 PIMCO SWAPTION 3.225 PUT USD 2023042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2900000 | NC      | $125425.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U05SA9 PIMCO SWAPTION 4.0 PUT USD 20230421          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17800000 | NC      | $-152814.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U05TA8 PIMCO SWAPTION 3.2 PUT USD 20230421          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    3200000 | NC      | $146090.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1AVA3 PIMCO SWAPTION 5.5 PUT USD 20230918          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   59600000 | NC      | $60905.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1AWA2 PIMCO SWAPTION 6.0 PUT USD 20230918          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -29800000 | NC      | $-14113.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1AXA1 PIMCO SWAPTION 5.75 PUT USD 20230918         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -29800000 | NC      | $-20919.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1B6A9 PIMCO SWAPTION 5.5 PUT USD 20230918          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   61800000 | NC      | $63153.42      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1B7A8 PIMCO SWAPTION 5.75 PUT USD 20230918         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -30900000 | NC      | $-21691.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1B8A7 PIMCO SWAPTION 6.0 PUT USD 20230918          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -30900000 | NC      | $-14634.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OLA4 PIMCO SWAPTION 3.1225 CALL USD 20230         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10300000 | NC      | $17017.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OMA3 PIMCO SWAPTION 3.12 CALL USD 2023020         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    1200000 | NC      | $1961.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1ONA2 PIMCO SWAPTION 3.2025 CALL USD 20230         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   11500000 | NC      | $26726.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OOA1 PIMCO SWAPTION 3.518 PUT USD 2023020         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   56000000 | NC      | $733146.40     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OPA0 PIMCO SWAPTION 3.2275 CALL USD 20230         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   10600000 | NC      | $27327.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OQA9 PIMCO SWAPTION 3.5325 PUT USD 202302         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   15400000 | NC      | $193836.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OSA7 PIMCO SWAPTION 3.515 PUT USD 2023020         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   13800000 | NC      | $182132.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                   | 317U1OTA6 PIMCO SWAPTION 3.53 PUT USD 20230206         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17000000 | NC      | $215439.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer