# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000147
**Filing Date:** 2023-3
**Character Count:** 334880
**Document Hash:** 35c0eb6e65ea0f9ff83652c5638c9e85
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000147.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000147

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688680

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

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

## Series and Classes Contracts Data

### PIMCO Global Bond Opportunities Portfolio (Unhedged) (Series ID: S000009670)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026497 | Administrative | VPVGBDV         |
| C000030988 | Advisor        | VPVGBVV         |
| C000030996 | Institutional  | VPVGBIV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Bond Opportunities Portfolio (Unhedged)

- **b. EDGAR series identifier (if any):** S000009670

- **c. LEI of Series:** SIG2VU6GJ2VLC2XNC047

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $194056146.76

**Total Liabilities:** $80139686.00

**Net Assets:** $113916460.76

**Cash Not Reported:** $4623627.19

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -7184.080400 | **1-Year:** 1733.472300 | **5-Year:** 23558.383100 | **10-Year:** 24911.871000 | **30-Year:** -3309.560000

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

- **3-Month:** 1026.185800 | **1-Year:** 1415.163200 | **5-Year:** 2326.031100 | **10-Year:** 591.137100 | **30-Year:** 23.204600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026497 | -0.46%               | 5.28%                | 1.28%                |
| Class ID C000030988 | -0.46%               | 5.27%                | 1.28%                |
| Class ID C000030996 | -0.44%               | 5.29%                | 1.30%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1464215.96             | $576823.20                                 |
| Month 2  | $420427.88               | $4713948.04                                |
| Month 3  | $-127518.86              | $196201.88                                 |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate Total Return Unhedged USD Index

- **Index Identifier:** LEGATRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-9843.39     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QJA2 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-335.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QKA0 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-12.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QLA9 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-671.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1QMA8 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-24.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1S7A1 PIMCO SWAPTION 3.5 PUT USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1210.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1S8A0 PIMCO SWAPTION 3.0 CALL USD 20230119          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-38.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-1781.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-148.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1TAA5 PIMCO SWAPTION 3.77 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-510.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1TBA4 PIMCO SWAPTION 3.27 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-62.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.35        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-6024.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-1265.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-16952.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-0.19        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-9303.28     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U458O7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1558.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U459O6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2358.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-530.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-585.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2203.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2270.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-560.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U749I9 PIMCO SWAPTION 2.31 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4500000 | NC      | $-74380.95    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U750I5 PIMCO SWAPTION 2.18 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    500000 | NC      | $52989.15     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS AUD R US3ML/AUD3MBBSW+29 AZD                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2845.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS AUD R US3ML/AUD3MBBSW+42 CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $2245.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS AUD R US3ML/AUD3MBBSW+42.25 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2907.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4          | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36231 | PA      | $36232.37     | 0.03%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 1.75000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-67267.18    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 1.75000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-374068.13   | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 3.75000 03/15/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $29302.82     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-5502.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-4831.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-201402.16   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CAD 1.25000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-80121.49    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CAD 1.50000 06/17/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-54715.58    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CAD 1.71250 10/02/19-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-110393.33   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CAD 2.56485 03/07/19-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $-30392.22    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1          | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35211 | PA      | $32873.44     | 0.03%             | 2036-02-20      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CNY 2.50000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $15485.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CNY 2.50000 09/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $18447.77     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CNY 2.50000 12/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |         1 | NC      | $117776.32    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.05400 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $43831.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $53456.49     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1          | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     50902 | PA      | $42174.04     | 0.04%             | 2046-10-20      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.55000 08/10/22-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4664.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.50000 03/15/23-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-69598.52    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.50000 03/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $725846.20    | 0.64%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.50000 03/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-328550.41   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 1.75000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1121339.18  | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-48302.07    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.55000 06/28/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-38447.55    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3225.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-1959.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS KRW 3.00000 09/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-38504.76    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS KRW 3.25000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-88.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.50000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $19451.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.50000 09/21/22-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $2559.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS MYR P 3.75000 09/21/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |         1 | NC      | $8252.25      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NOK 1.63500 03/18/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |         1 | NC      | $8205.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NOK 1.99300 11/12/19-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NO        |         1 | NC      | $6034.28      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.00000 11/01/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-277156.41   | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.75000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-29385.64    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 4.00000 06/14/23-1Y (RED) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $-96273.28    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS PLN 2.58500 10/14/21-8Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-54984.37    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                              | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $285489.52    | 0.25%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS THB R 2.50000 09/21/22-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $358.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS THB R 2.75000 09/21/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $4673.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS THB R 3.25000 06/15/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $542.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS THB R 3.25000 06/15/22-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $18458.11     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS THB R 3.25000 06/15/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $4343.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD 0.40000 01/15/21-7Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-869546.28   | -0.76%            |  |  |  | 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      | $-171911.02   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD 1.24900 08/31/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $226322.83    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                              | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 09/24 3.625  | CUSIP: BJSF9FII4<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    100000 | PA      | $101874.89    | 0.09%             | 2024-09-24      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD 1.29800 08/25/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $180984.57    | 0.16%             |  |  |  | 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      | $-315323.69   | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD 1.63000 01/20/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-75212.22    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD R 3ML/1ML+7 03/07/22-24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $276.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD R 3ML/1ML+7.25 04/27/22-23 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4839.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD R 3ML/3ML+10.2 10/04/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $543.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD R 3ML/3ML+10.5 09/27/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $299.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS USD R 3ML/3ML+8.8 09/06/22-24 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4391.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS ZAR 7.25000 06/20/18-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-471.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/5.75000 03/16/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $52024.14     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.25000 03/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $4116.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.25000 09/21/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-15947.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.25000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-6271.03     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.50000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $1219.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.50000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-2196.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/6.75000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $9227.88      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS INR MIBOR/7.00000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |         1 | NC      | $-12619.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/1.2500 09/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/2.50000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-19878.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/2.75000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-16325.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/2.75000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-13643.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/3.00000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $-2392.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBCSORA/3.25000 12/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $750.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.00000/THORON 09/21/22-2Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-819.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO BRADESCO SA/CAYMAN ISLANDS BRANCH                                          | BANCO BRADESCO (CAYMAN) SR UNSECURED 144A 01/23 2.85    | CUSIP: 05947KAY6<br>LEI: N/A                  | Long             | DBT              | CORP              | BR        |    300000 | PA      | $299628.00    | 0.26%             | 2023-01-27      | Fixed         | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.00000/THORON 09/21/22-2Y GST                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-3796.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.00000/THORON 09/21/22-2Y NGF                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-433.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.00000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-6623.98     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.00000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $334.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-1482.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |         1 | NC      | $-343.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/2.20893 07/06/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $133713.69    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS USD SOFR/2.96815 10/05/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-67308.29    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/1.00000 11/23/22-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-573128.87   | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/0.01000 02/07/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-144237.65   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/1.25000 10/28/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-177658.53   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-289586.81   | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-189995.38   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-38987.48    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/2.50000 03/15/23-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-27238.95    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $453782.88    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.00000 03/16/22-2Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $3947.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.00000 12/15/21-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $35734.92     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.00000 12/15/21-7Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-177309.89   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.0500 12/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $42435.01     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.4500 12/15/21-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $16451.39     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-39074.38    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/0.50000 06/15/22-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-137499.27   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $990016.30    | 0.87%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $32175.03     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.25000 12/15/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13009.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.32000 12/21/22-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $364812.67    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.48827 03/31/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-128111.31   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.50000 06/15/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-32758.10    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.50000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-196328.84   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-45346.94    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.69500 06/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-794118.32   | -0.70%            |  |  |  | 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      | $-329954.86   | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $27949.50     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $357037.03    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.75000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $136914.85    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.85000 04/21/23-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $269744.28    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-69756.86    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.93600 03/25/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-77487.71    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.17500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-50349.76    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.72986 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $151776.54    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.74966 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $37132.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.75000 09/21/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-171136.16   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.81711 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $137477.38    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.81811 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34328.36     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.81856 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $34309.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.88642 09/30/22-10Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-537220.61   | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $346800.54    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.05000 09/08/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-3606.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.10000 09/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9896.73     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.45389 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-8833.13     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.89765 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11526.64     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA SR UNSECURED 03/25 3.496             | CUSIP: 05964HAP0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $192756.88    | 0.17%             | 2025-03-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                               | BANCO SANTANDER SA SR UNSECURED 03/26 1.849             | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $176752.80    | 0.16%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | TESCO PLC SNR SE ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $1344.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-14643.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-520347.71   | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-440544.25   | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $16288.68     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230214                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $2958.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $316.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $93.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $12504.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-17196.46    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |       -28 | NC      | $221017.02    | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         7 | NC      | $-9415.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -57 | NC      | $33101.15     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -21 | NC      | $-2077.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        72 | NC      | $-11063.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $3087.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED 05/24 VAR                     | CUSIP: 06738EBB0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $397274.95    | 0.35%             | 2024-05-16      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED REGS 06/23 VAR                | CUSIP: ACI137384<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    250000 | PA      | $170372.47    | 0.15%             | 2023-06-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                     | BARCLAYS PLC SR UNSECURED REGS 06/24 VAR                | CUSIP: ACI1CR5G0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $342610.53    | 0.30%             | 2024-06-26      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR     | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    300000 | PA      | $299392.76    | 0.26%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                          | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    200000 | PA      | $194005.97    | 0.17%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                              | BAYVIEW OPPORTUNITY MASTER FUN BVINV 2021 5 A1 144A     | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    266453 | PA      | $223999.34    | 0.20%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                          | BCAP LLC TRUST BCAP 2006 AA2 A1                         | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102538 | PA      | $86619.42     | 0.08%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                   | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    317937 | PA      | $190372.91    | 0.17%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $388080.84    | 0.34%             | 2036-12-16      | Floating      | 5.69%                 | 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        |     42292 | PA      | $30516.80     | 0.03%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2         | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2524 | PA      | $2387.53      | 0.00%             | 2033-08-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A         | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6135 | PA      | $5628.14      | 0.00%             | 2034-05-25      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A         | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2815 | PA      | $2379.06      | 0.00%             | 2034-05-25      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1228 | PA      | $1141.51      | 0.00%             | 2034-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1         | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71673 | PA      | $63591.48     | 0.06%             | 2047-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A          | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1734 | PA      | $1620.94      | 0.00%             | 2033-10-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53572 | PA      | $33300.70     | 0.03%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     56230 | PA      | $45094.69     | 0.04%             | 2035-11-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                                  | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    102731 | PA      | $54670.51     | 0.05%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BGCLO 19A                                                                        | BIRCH GROVE CLO LTD. BGCLO 19A AR 144A                  | CUSIP: 09075JAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $491984.27    | 0.43%             | 2031-06-15      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A                                           | BLUEMOUNTAIN EUR CLO BLUME 2017 2A AR 144A              | CUSIP: ACI1VBS38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    195641 | PA      | $204582.56    | 0.18%             | 2030-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SR UNSECURED 144A 01/30 VAR                 | CUSIP: 09659W2H6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $190465.68    | 0.17%             | 2030-01-10      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                      | BNP PARIBAS SR UNSECURED 144A 04/32 VAR                 | CUSIP: 09659W2P8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $156863.76    | 0.14%             | 2032-04-19      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO SR UNSECURED 02/28 3.25                       | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    200000 | PA      | $181973.86    | 0.16%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35     | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     72771 | PA      | $62973.49     | 0.06%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                     | BROADCOM INC SR UNSECURED 144A 11/35 3.137              | CUSIP: 11135FBP5<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    400000 | PA      | $295328.74    | 0.26%             | 2035-11-15      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                            | BX TRUST BX 2021 21M A 144A                             | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    298005 | PA      | $286782.72    | 0.25%             | 2036-10-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                     | CAIXABANK SA JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI1RXY95<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    200000 | PA      | $196656.56    | 0.17%             | 2027-10-09      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP COMPANY                                                            | CAMPBELL SOUP CO SR UNSECURED 03/23 3.65                | CUSIP: 134429BE8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     29000 | PA      | $28923.11     | 0.03%             | 2023-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    133051 | PA      | $102322.87    | 0.09%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A   | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    247173 | PA      | $244496.91    | 0.21%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CARLYLE US CLO LTD 2017-1A                                                       | CARLYLE GLOBAL MARKET STRATEGI CGMS 2017 1A A1R 144A    | CUSIP: 14314BAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $295216.85    | 0.26%             | 2031-04-20      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL    | CHARTER COMM OPT LLC/CAP SR SECURED 10/35 6.384         | CUSIP: 161175AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    600000 | PA      | $586974.83    | 0.52%             | 2035-10-23      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10886 | PA      | $9070.88      | 0.01%             | 2037-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A    | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    232039 | PA      | $207109.61    | 0.18%             | 2036-07-25      | Floating      | 4.57%                 | 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        |    500000 | PA      | $495018.35    | 0.43%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                    | CITIGROUP INC SR UNSECURED 03/26 VAR                    | CUSIP: 172967NL1<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    200000 | PA      | $190275.70    | 0.17%             | 2026-03-17      | Floating      | 3.29%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A  | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    527076 | PA      | $425622.90    | 0.37%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV2 A3A 144A  | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173337 | PA      | $139972.43    | 0.12%             | 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        |    256187 | PA      | $206875.40    | 0.18%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1        | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114689 | PA      | $110352.01    | 0.10%             | 2035-10-25      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2           | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3382 | PA      | $3247.67      | 0.00%             | 2035-09-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6        | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $467584.05    | 0.41%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5            | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    443788 | PA      | $450635.33    | 0.40%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                         | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/25 3.5    | CUSIP: 21871XAA7<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95952.57     | 0.08%             | 2025-04-04      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A     | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    173067 | PA      | $139349.86    | 0.12%             | 2046-12-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2        | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12110 | PA      | $10486.33     | 0.01%             | 2035-11-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12101 | PA      | $10259.28     | 0.01%             | 2035-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     63401 | PA      | $51510.16     | 0.05%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1       | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     90663 | PA      | $45475.30     | 0.04%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     33316 | PA      | $12503.22     | 0.01%             | 2037-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1      | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18004 | PA      | $9810.49      | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9        | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     39190 | PA      | $18465.45     | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1        | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     97168 | PA      | $82812.85     | 0.07%             | 2035-11-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108790 | PA      | $80892.18     | 0.07%             | 2046-07-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53390 | PA      | $41674.36     | 0.04%             | 2046-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7538 | PA      | $5864.10      | 0.01%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4          | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    662238 | PA      | $631422.48    | 0.55%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A            | CUSIP: 1266714M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71386 | PA      | $65707.75     | 0.06%             | 2034-08-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57829 | PA      | $55739.40     | 0.05%             | 2047-08-25      | Floating      | 5.13%                 | 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        |       195 | PA      | $193.35       | 0.00%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2070 | PA      | $1928.06      | 0.00%             | 2034-09-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5007 | PA      | $4524.51      | 0.00%             | 2034-11-25      | Floating      | 3.79%                 | 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        |      3084 | PA      | $2744.95      | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                  | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25177 | PA      | $21088.07     | 0.02%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                 | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    278019 | PA      | $192619.23    | 0.17%             | 2035-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A3                  | CUSIP: 126694EK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36057 | PA      | $21187.31     | 0.02%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2647 | PA      | $2355.88      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | 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        |      3943 | PA      | $3572.99      | 0.00%             | 2035-04-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 4 1A1                  | CUSIP: 12669GML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    243383 | PA      | $209941.78    | 0.18%             | 2035-02-25      | Floating      | 5.01%                 | 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        |     29497 | PA      | $23835.03     | 0.02%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    147939 | PA      | $134147.79    | 0.12%             | 2036-02-20      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A2                 | CUSIP: 126694F29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900007 | PA      | $261827.71    | 0.23%             | 2046-04-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 2A1               | CUSIP: 125438AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     51800 | PA      | $43358.54     | 0.04%             | 2047-05-25      | Floating      | 2.76%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13332 | PA      | $6357.73      | 0.01%             | 2036-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                                  | CREDIT SUISSE AG SUBORDINATED 144A 08/23 6.5            | CUSIP: 22546DAA4<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $388282.40    | 0.34%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                           | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR      | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    600000 | PA      | $527936.39    | 0.46%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5            | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103060 | PA      | $26075.77     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177 | PA      | $168.45       | 0.00%             | 2032-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1          | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       117 | PA      | $114.03       | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A     | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     85616 | PA      | $69136.70     | 0.06%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                               | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $259887.13    | 0.23%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2       | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     96411 | PA      | $84094.33     | 0.07%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 05/32 VAR                 | CUSIP: 251526CK3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    150000 | PA      | $114025.82    | 0.10%             | 2032-05-28      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR                 | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $160770.62    | 0.14%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SR UNSECURED 11/25 VAR                 | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $191255.67    | 0.17%             | 2025-11-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                 | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $147042.87    | 0.13%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                                 | DEUTSCHE BANK NY SUBORDINATED 07/31 VAR                 | CUSIP: 25160PAE7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $173076.58    | 0.15%             | 2031-07-08      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625          | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $189092.33    | 0.17%             | 2027-01-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG SR UNSECURED REGS 02/26 2.625          | CUSIP: ACI183TV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    300000 | PA      | $303405.31    | 0.27%             | 2026-02-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                                 | DEUTSCHE BANK AG SR UNSECURED REGS 11/30 VAR            | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    200000 | PA      | $168612.28    | 0.15%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| DEXIA CREDIT LOCAL SA                                                            | DEXIA CREDIT LOCAL GOVT LIQUID  144A 10/24 1.625        | CUSIP: 25214BAY0<br>LEI: F4G136OIPBYND1F41110 | Long             | DBT              | NUSS              | FR        |    400000 | PA      | $378904.00    | 0.33%             | 2024-10-16      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| EFSF - EUROPEAN FINANCIAL STABILITY FACILITY (AKA: EU STABILISATION FUND)        | EFSF GOVT GUARANT REGS 05/33 1.25                       | CUSIP: ACI0V8LT7<br>LEI: 222100OW6UHQXNHKN143 | Long             | DBT              | CORP              | LU        |   5900000 | PA      | $5272944.17   | 4.63%             | 2033-05-24      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                    | ENEL FINANCE INTL NV COMPANY GUAR 144A 09/24 2.65       | CUSIP: 29278GAL2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    200000 | PA      | $191488.48    | 0.17%             | 2024-09-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    260430 | PA      | $300400.95    | 0.26%             | 2044-06-15      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                                   | EUROPEAN INVESTMENT BANK SR UNSECURED 01/27 0.5         | CUSIP: ACI0S04Y6<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |   1200000 | PA      | $1165304.59   | 1.02%             | 2027-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                                   | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 07/23 0.5    | CUSIP: B5374VII9<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |    600000 | PA      | $401213.20    | 0.35%             | 2023-07-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 11/27 2.5              | CUSIP: ACI02MR13<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |   1100000 | PA      | $1154837.69   | 1.01%             | 2027-11-04      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    224736 | PA      | $268607.23    | 0.24%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                               | FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75     | CUSIP: BD9MMZII4<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    300000 | PA      | $281041.44    | 0.25%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       620 | PA      | $618.14       | 0.00%             | 2034-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       553 | PA      | $535.44       | 0.00%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                               | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7052 | PA      | $6936.48      | 0.01%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                    | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9018 | PA      | $9090.35      | 0.01%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B3362 FH 04/37 FLOATING VAR          | CUSIP: 3128JNTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9497 | PA      | $9305.71      | 0.01%             | 2037-04-01      | Floating      | 2.93%                 | 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        |        92 | PA      | $90.83        | 0.00%             | 2029-02-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08631 FG 03/45 FIXED 3               | CUSIP: 3128MJVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    172648 | PA      | $155785.50    | 0.14%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    238215 | PA      | $202617.91    | 0.18%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47856 | PA      | $44961.72     | 0.04%             | 2039-10-01      | Fixed         | 3.50%                 | 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        |      6297 | PA      | $6271.87      | 0.01%             | 2031-09-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13805 | PA      | $13755.48     | 0.01%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                       | FIDELITY NATL INFO SERV COMPANY GUAR 05/23 0.75         | CUSIP: ACI1C01S7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    100000 | PA      | $106259.24    | 0.09%             | 2023-05-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 794808 FN 10/34 FLOATING VAR                  | CUSIP: 31405PAH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        68 | PA      | $66.55        | 0.00%             | 2034-10-01      | Floating      | 3.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1093 | PA      | $1085.09      | 0.00%             | 2034-12-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7701 | PA      | $7893.34      | 0.01%             | 2034-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    397263 | PA      | $3808166.36   | 3.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6314 FN 09/42 FIXED 3                       | CUSIP: 31417DAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3471 | PA      | $3161.88      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    541015 | PA      | $5256505.46   | 4.61%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7562 FN 10/42 FIXED 3                       | CUSIP: 3138LYML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4713 | PA      | $4292.88      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5145 FN 08/42 FIXED 3                       | CUSIP: 3138M8WF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6335 | PA      | $5771.55      | 0.01%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6402 FN 09/42 FIXED 3                       | CUSIP: 3138MADG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2635 | PA      | $2398.78      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7553 FN 09/42 FIXED 3                       | CUSIP: 3138MBMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     27361 | PA      | $24924.13     | 0.02%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7739 FN 11/42 FIXED 3                       | CUSIP: 3138MBS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10370 | PA      | $9446.99      | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | 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        |     11782 | PA      | $10732.17     | 0.01%             | 2043-08-01      | 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        |    335609 | PA      | $308305.96    | 0.27%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194313 | PA      | $171304.98    | 0.15%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     69933 | PA      | $64877.10     | 0.06%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    287388 | PA      | $254688.91    | 0.22%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130846 | PA      | $123858.09    | 0.11%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25339 | PA      | $24394.18     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     94935 | PA      | $87363.61     | 0.08%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    148330 | PA      | $136599.68    | 0.12%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/25 2.3         | CUSIP: 345397B85<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $182916.00    | 0.16%             | 2025-02-10      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 06/24 2.748       | CUSIP: ACI1TC740<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    100000 | PA      | $114565.55    | 0.10%             | 2024-06-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                    | FORD MOTOR CREDIT CO LLC SR UNSECURED 12/24 VAR         | CUSIP: ACI0Z5575<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    100000 | PA      | $103500.69    | 0.09%             | 2024-12-01      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FORT CRE 2022-FL3                                                                | FORTRESS CBO INVESTMENTS LTD FORT 2022 FL3 A 144A       | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    300000 | PA      | $288937.65    | 0.25%             | 2039-02-23      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS REGS 05/52 0.75                  | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   1500000 | PA      | $847951.87    | 0.74%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) UNSECURED 144A REGS 05/48 2            | CUSIP: ACI0V7KW3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $661986.44    | 0.58%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC R006                                                 | FREDDIE MAC REFERENCE REMIC FHRR R006 ZA                | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     97219 | PA      | $100882.21    | 0.09%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104920 | PA      | $104998.12    | 0.09%             | 2038-01-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    104920 | PA      | $3921.33      | 0.00%             | 2038-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $132240.12    | 0.12%             | 2027-01-06      | Fixed         | 2.25%                 | 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        |    150556 | PA      | $149336.13    | 0.13%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                             | GCAT GCAT 2022 INV2 A5 144A                             | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    380084 | PA      | $318579.30    | 0.28%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3          | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $189623.00    | 0.17%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004239 G2 09/38 FIXED 6                    | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2056 | PA      | $2070.45      | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 008542 G2 11/24 FLOATING VAR               | CUSIP: 36202KP33<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       211 | PA      | $207.21       | 0.00%             | 2024-11-20      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                          | GOLDMAN SACHS GROUP INC SR UNSECURED 01/25 VAR          | CUSIP: 38141GZJ6<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    500000 | PA      | $492727.86    | 0.43%             | 2025-01-24      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5126 | PA      | $4898.04      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1        | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4878 | PA      | $4410.60      | 0.00%             | 2045-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A2 144A    | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175100 | PA      | $141396.75    | 0.12%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                     | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A    | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    357964 | PA      | $289062.21    | 0.25%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88356 | PA      | $71349.05     | 0.06%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                             | GSAMP TRUST GSAMP 2006 HE3 A2D                          | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $469043.55    | 0.41%             | 2046-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                   | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       952 | PA      | $929.37       | 0.00%             | 2033-03-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31256 | PA      | $29353.36     | 0.03%             | 2035-09-25      | Floating      | 3.77%                 | 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        |      1389 | PA      | $1329.35      | 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        |    300000 | PA      | $296228.49    | 0.26%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A       | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59596 | PA      | $48856.82     | 0.04%             | 2036-12-19      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A2R 144A                          | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $386770.74    | 0.34%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| HELMERICH & PAYNE INC                                                            | HELMERICH + PAYNE INC SR UNSECURED 09/31 2.9            | CUSIP: 423452AG6<br>LEI: 254900NAOGHJ88RZ4C73 | Long             | DBT              | CORP              | US        |    100000 | PA      | $81415.55     | 0.07%             | 2031-09-29      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY MTGE TRUST 2006-5                                                    | HOME EQUITY MORTGAGE TRUST HEMT 2006 5 A1               | CUSIP: 43709PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    149700 | PA      | $139886.22    | 0.12%             | 2037-01-25      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2                                       | HOMEWARD OPPORTUNITIES FUND I HOF 2020 2 A1 144A        | CUSIP: 43789XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7112 | PA      | $7072.46      | 0.01%             | 2065-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $184597.32    | 0.16%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $87728.55     | 0.08%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $160050.55    | 0.14%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                         | HYATT HOTELS CORP SR UNSECURED 10/23 1.3                | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97234.79     | 0.09%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2        | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     83595 | PA      | $69000.07     | 0.06%             | 2035-09-25      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                                     | ING GROEP NV SR UNSECURED 10/23 VAR                     | CUSIP: 456837AL7<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    700000 | PA      | $701869.89    | 0.62%             | 2023-10-02      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL FIXED BOND BONDS 07/23 0.15                      | CUSIP: ACI1Q01H6<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |   2100000 | PA      | $586039.31    | 0.51%             | 2023-07-31      | Fixed         | 0.15%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 01/23 0.00000                   | CUSIP: ACI22SVD5<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    800000 | PA      | $227486.16    | 0.20%             | 2023-01-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 02/23 0.00000                   | CUSIP: ACI25P422<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   2739000 | PA      | $776378.25    | 0.68%             | 2023-02-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 04/23 0.00000                   | CUSIP: ACI254262<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    800000 | PA      | $225455.23    | 0.20%             | 2023-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 05/23 0.00000                   | CUSIP: ACI25PW54<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   2800000 | PA      | $787246.58    | 0.69%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | ISRAEL MAKAM BILL BILLS 07/23 0.00000                   | CUSIP: BQPCBMII0<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   1500000 | PA      | $418824.02    | 0.37%             | 2023-07-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)                              | JAPAN FIN ORG MUNICIPAL SR UNSECURED 144A 09/25 0.625   | CUSIP: 471068AS5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |    400000 | PA      | $358455.79    | 0.31%             | 2025-09-02      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)                              | JAPAN FIN ORG MUNICIPAL SR UNSECURED REGS 09/27 2.375   | CUSIP: ACI2802G5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   2300000 | PA      | $2339981.36   | 2.05%             | 2027-09-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 100000000 | PA      | $596738.80    | 0.52%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                   | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  64000000 | PA      | $391870.77    | 0.34%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 157231500 | PA      | $1239378.14   | 1.09%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 790000000 | PA      | $6019722.95   | 5.28%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 800000000 | PA      | $6096080.46   | 5.35%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN TREASURY DISC BILL BILLS 03/23 0.00000            | CUSIP: ACI2BHRL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  90000000 | PA      | $685996.27    | 0.60%             | 2023-03-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 04/26 VAR              | CUSIP: 46647PCZ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $388721.24    | 0.34%             | 2026-04-26      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 07/33 VAR              | CUSIP: 46647PDH6<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    100000 | PA      | $95510.66     | 0.08%             | 2033-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1              | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2139 | PA      | $1983.37      | 0.00%             | 2033-11-25      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A2              | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     68524 | PA      | $53177.64     | 0.05%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    983877 | PA      | $824665.94    | 0.72%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    614996 | PA      | $515477.48    | 0.45%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A        | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    600495 | PA      | $503323.09    | 0.44%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                               | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    553418 | PA      | $463863.59    | 0.41%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       971 | PA      | $890.69       | 0.00%             | 2035-02-25      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2014-XI BV 14-11A                                                    | JUBILEE CDO BV JUBIL 2014 11A ARR 144A                  | CUSIP: ACI1W2T93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $261607.18    | 0.23%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    250000 | PA      | $255088.37    | 0.22%             | 2031-04-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                             | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   8898300 | PA      | $890905.94    | 0.78%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                             | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   4995809 | PA      | $529929.15    | 0.47%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                                | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9           | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |    300000 | PA      | $184871.24    | 0.16%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUER WIEDERAUFBAU (KFW)                                            | KFW GOVT GUARANT REGS 12/27 0.0000                      | CUSIP: BM99XKII4<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   1200000 | PA      | $1106534.21   | 0.97%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                  | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $289580.58    | 0.25%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LANDWIRTSCHAFTLICHE RENTENBANK                                                   | LANDWIRTSCH. RENTENBANK GOVT GUARANT 01/23 4.25         | CUSIP: ACI04QSX1<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | NUSS              | DE        |    200000 | PA      | $136255.12    | 0.12%             | 2023-01-24      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| LANDWIRTSCHAFTLICHE RENTENBANK                                                   | LANDWIRTSCH. RENTENBANK GOVT GUARANT REGS 04/24 5.375   | CUSIP: ACI09B035<br>LEI: 529900Z3J0N6S0F7CT25 | Long             | DBT              | NUSS              | DE        |    500000 | PA      | $316522.44    | 0.28%             | 2024-04-23      | Fixed         | 5.38%                 | 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        |    500000 | PA      | $488664.16    | 0.43%             | 2031-04-20      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANK CORPORATE MARKETS PLC                                                | LLOYDS BK CORP MKTS PLC SR UNSECURED REGS 07/24 1.75    | CUSIP: ACI1D3YZ8<br>LEI: 213800MBWEIJDM5CU638 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $230452.86    | 0.20%             | 2024-07-11      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ACCUNIA EUROPEAN CLO I DAC 1A                                                    | ACCUNIA EUROPEAN CLO ACCUN 1A AR 144A                   | CUSIP: ACI19ZJ97<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    222927 | PA      | $233927.80    | 0.21%             | 2030-07-15      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 02/33 FIXED 4.145 | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    100000 | PA      | $94810.53     | 0.08%             | 2033-02-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                           | CENTURYLINK INC 2020 TERM LOAN B                        | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |    224422 | PA      | $213540.77    | 0.19%             | 2027-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                                   | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187433 | PA      | $153960.54    | 0.14%             | 2036-04-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                    | MALAYSIA GOVERNMENT BONDS 03/23 3.48                    | CUSIP: ACI05FPC3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   2100000 | PA      | $477205.08    | 0.42%             | 2023-03-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                        | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    300000 | PA      | $311538.81    | 0.27%             | 2031-12-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $342153.08    | 0.30%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                     | ACE SECURITIES CORP. ACE 2005 HE5 M4                    | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    472852 | PA      | $452217.43    | 0.40%             | 2035-08-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO X LTD 2017-1A                                                   | MARBLE POINT CLO X LTD MP10 2017 1A AR 144A             | CUSIP: 566061AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $392274.88    | 0.34%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1          | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    192087 | PA      | $179341.53    | 0.16%             | 2034-05-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                           | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1           | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43697 | PA      | $4990.10      | 0.00%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1547 | PA      | $1447.98      | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-1                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1          | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3908 | PA      | $3449.39      | 0.00%             | 2037-04-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1         | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2849 | PA      | $2617.00      | 0.00%             | 2033-02-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A          | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27306 | PA      | $25522.90     | 0.02%             | 2036-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A      | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     94129 | PA      | $91876.96     | 0.08%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $289008.45    | 0.25%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                       | MIZUHO FINANCIAL GROUP SR UNSECURED 05/24 VAR           | CUSIP: 60687YBC2<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $198927.77    | 0.17%             | 2024-05-25      | Floating      | 5.39%                 | 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        |      2839 | PA      | $2397.71      | 0.00%             | 2035-09-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2006-1                                               | MLCC MORTGAGE INVESTORS INC MLCC 2006 1 1A              | CUSIP: 59020U4R3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6130 | PA      | $5791.54      | 0.01%             | 2036-02-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D            | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1840408 | PA      | $958969.10    | 0.84%             | 2036-08-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A            | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    800964 | PA      | $361785.25    | 0.32%             | 2037-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                                    | MPT OPER PARTNERSP/FINL COMPANY GUAR 12/23 2.55         | CUSIP: ACI1H1MY4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    400000 | PA      | $460368.20    | 0.40%             | 2023-12-05      | Fixed         | 2.55%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                      | NATIONWIDE BLDG SOCIETY COVERED 144A 02/23 1.7          | CUSIP: 638602BR2<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    500000 | PA      | $498433.18    | 0.44%             | 2023-02-13      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $379197.17    | 0.33%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                           | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M3          | CUSIP: 64352VKV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27628 | PA      | $27621.99     | 0.02%             | 2035-06-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                        | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/24 1.65        | CUSIP: 00774MAU9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    200000 | PA      | $184614.54    | 0.16%             | 2024-10-29      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    304301 | PA      | $284162.62    | 0.25%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    259441 | PA      | $237685.21    | 0.21%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $181663.33    | 0.16%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                              | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $255259.41    | 0.22%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1         | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6472 | PA      | $3945.72      | 0.00%             | 2035-10-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    124338 | PA      | $12453.87     | 0.01%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    300000 | PA      | $29873.90     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    585590 | PA      | $65049.86     | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                    | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     79520 | PA      | $68080.55     | 0.06%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D               | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $465828.60    | 0.41%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    490536 | PA      | $49256.96     | 0.04%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |  10194809 | PA      | $1081705.22   | 0.95%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1.5           | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        70 | PA      | $6.89         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    973652 | PA      | $108112.49    | 0.09%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                          | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A      | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $363766.04    | 0.32%             | 2038-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2018-1                                                                 | ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A             | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92528 | PA      | $87440.23     | 0.08%             | 2057-06-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $472650.80    | 0.41%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2021-INV2                                         | ONSLOW BAY FINANCIAL LLC OBX 2021 INV2 A3 144A          | CUSIP: 67114KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    356592 | PA      | $287954.15    | 0.25%             | 2051-10-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                                 | ORGANON + CO/ORG SR SECURED 144A 04/28 4.125            | CUSIP: 68622TAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $177430.00    | 0.16%             | 2028-04-30      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 3.5           | CUSIP: 694308HM2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $94440.45     | 0.08%             | 2025-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $67316.78     | 0.06%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU BONDS 144A 08/40 5.35                  | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    300000 | PA      | $59141.90     | 0.05%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU BONDS REGS 08/26 8.2                   | CUSIP: 715638CY6<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    800000 | PA      | $220677.16    | 0.19%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    400000 | PA      | $96717.46     | 0.08%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35           | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    800000 | PA      | $200493.58    | 0.18%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: 715638CE0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    200000 | PA      | $48358.73     | 0.04%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35           | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   2700000 | PA      | $676665.83    | 0.59%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                         | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A        | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    352297 | PA      | $284485.82    | 0.25%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                                 | PRINCIPAL LFE GLB FND II SECURED 144A 01/25 1.375       | CUSIP: 74256LET2<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    100000 | PA      | $92603.95     | 0.08%             | 2025-01-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                               | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR  | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    620000 | PA      | $2026.75      | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| QATARENERGY TRADING LLC                                                          | QATAR ENERGY TRADING LLC SR UNSECURED 144A 07/31 2.25   | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    200000 | PA      | $166036.20    | 0.15%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                        | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A1 144A    | CUSIP: 75585RQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    100252 | PA      | $73453.58     | 0.06%             | 2053-08-12      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |   2417097 | PA      | $256671.32    | 0.23%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    292410 | PA      | $32468.29     | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453857 | PA      | $148066.09    | 0.13%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116641 | PA      | $34592.85     | 0.03%             | 2046-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4        | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    138432 | PA      | $109436.17    | 0.10%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A5          | CUSIP: 76111XZV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28942 | PA      | $22813.50     | 0.02%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A                                       | RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A           | CUSIP: ACI1PKR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    197302 | PA      | $237660.71    | 0.21%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                          | RIPON MORTGAGES PLC RIPON 1RA A 144A                    | CUSIP: ACI23KYX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    861145 | PA      | $1021769.85   | 0.90%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $74170.11     | 0.07%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $68852.54     | 0.06%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/41 2.75                       | CUSIP: ACI1X0DG7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $60364.22     | 0.05%             | 2041-04-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $60203.14     | 0.05%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $149595.03    | 0.13%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LIMITED                                                          | SA GLOBAL SUKUK LTD SR UNSECURED 144A 06/31 2.694       | CUSIP: 78397PAD3<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $171319.20    | 0.15%             | 2031-06-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                                  | SANDS CHINA LTD SR UNSECURED 08/25 5.625                | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $191478.42    | 0.17%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |    200000 | PA      | $208132.80    | 0.18%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    110639 | PA      | $89899.29     | 0.08%             | 2046-05-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2A        | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5030 | PA      | $3117.11      | 0.00%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12          | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    240060 | PA      | $129920.08    | 0.11%             | 2046-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $77203.17     | 0.07%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $60685.93     | 0.05%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| SHAMROCK RESIDENTIAL 2022-1 DAC 22-1                                             | SHAMROCK RESIDENTIAL SROCK 2022 1 A REGS                | CUSIP: ACI2439Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    269823 | PA      | $282188.24    | 0.25%             | 2061-01-24      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A      | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    196166 | PA      | $173213.47    | 0.15%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A      | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     49042 | PA      | $47535.99     | 0.04%             | 2053-07-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    272099 | PA      | $264085.78    | 0.23%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                              | SOCIETE GENERALE SR UNSECURED 144A 01/26 VAR            | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $184088.44    | 0.16%             | 2026-01-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                              | SOCIETE GENERALE SR UNSECURED 144A 01/28 VAR            | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    200000 | PA      | $175253.21    | 0.15%             | 2028-01-19      | Floating      | 2.80%                 | 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        |    298689 | PA      | $294979.67    | 0.26%             | 2029-01-23      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    493821 | PA      | $457892.27    | 0.40%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 VAR              | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99853.75     | 0.09%             | 2023-04-03      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                               | SOUTHERN CAL EDISON 1ST MORTGAGE 04/24 VAR              | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    100000 | PA      | $99314.13     | 0.09%             | 2024-04-01      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3 | CUSIP: BYZK81II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    550000 | PA      | $520712.23    | 0.46%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                               | AMERICAN TOWER CORP SR UNSECURED 08/29 3.8              | CUSIP: 03027XAW0<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |    400000 | PA      | $363735.72    | 0.32%             | 2029-08-15      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC 01/28 1                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $173738.29    | 0.15%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 06/32 VAR      | CUSIP: 853254CC2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $226943.57    | 0.20%             | 2032-06-29      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR      | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $274209.52    | 0.24%             | 2025-11-23      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $484788.70    | 0.43%             | 2038-04-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                                                  | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A       | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    510509 | PA      | $611933.97    | 0.54%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-3A LTD                                                          | STRATUS CLO STRAS 2021 3A A 144A                        | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    271560 | PA      | $267090.35    | 0.23%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1          | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2578 | PA      | $2408.05      | 0.00%             | 2034-02-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3429 | PA      | $3391.64      | 0.00%             | 2034-04-25      | Floating      | 3.96%                 | 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        |      1447 | PA      | $1334.38      | 0.00%             | 2034-03-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       708 | PA      | $645.25       | 0.00%             | 2034-07-19      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2         | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40576 | PA      | $37684.83     | 0.03%             | 2035-07-19      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    150027 | PA      | $116088.56    | 0.10%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    175437 | PA      | $134246.90    | 0.12%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    157508 | PA      | $127516.60    | 0.11%             | 2047-09-25      | Floating      | 4.61%                 | 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        |     30366 | PA      | $22961.97     | 0.02%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1        | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    187878 | PA      | $130174.68    | 0.11%             | 2046-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-7XS                                               | STRUCTURED ASSET SECURITIES CO SASC 2005 7XS 2A1A       | CUSIP: 86359B7K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2820 | PA      | $2746.48      | 0.00%             | 2035-04-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70608 | PA      | $67631.79     | 0.06%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A     | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $290644.26    | 0.26%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A1        | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    176437 | PA      | $149594.11    | 0.13%             | 2035-12-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED                                       | SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9        | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |    600000 | PA      | $598397.54    | 0.53%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                                    | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                  | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     18900 | PA      | $18911.63     | 0.02%             | 2026-07-14      | Floating      | 4.96%                 | 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        |       448 | PA      | $429.53       | 0.00%             | 2031-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                       | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8948 | PA      | $7811.94      | 0.01%             | 2033-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                    | THAILAND GOVERNMENT BOND SR UNSECURED 06/37 3.39        | CUSIP: ACI287LN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |   5599000 | PA      | $168411.39    | 0.15%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 19-A13A                                              | TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A      | CUSIP: ACI1G4F01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    537344 | PA      | $642686.07    | 0.56%             | 2045-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC                                  | TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A      | CUSIP: ACI19VH23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    251720 | PA      | $302526.92    | 0.27%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019-AUBURN 13 PLC 19-A13X                           | TOWD POINT MORTGAGE FUNDING TPMF 2019 A13X A1 REGS      | CUSIP: ACI1G4DQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    268672 | PA      | $321343.03    | 0.28%             | 2045-07-20      | Floating      | 3.75%                 | 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        |    868215 | PA      | $810255.30    | 0.71%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    211613 | PA      | $194941.95    | 0.17%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    255248 | PA      | $224778.46    | 0.20%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A                                     | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2019 1A A 144A     | CUSIP: 89231XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $482105.50    | 0.42%             | 2031-11-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A            | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $293055.60    | 0.26%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                      | TRINITY SQUARE TRINI 2021 1A A 144A                     | CUSIP: ACI1WK7V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    216014 | PA      | $258130.08    | 0.23%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2000000 | PA      | $-1779083.64  | -1.56%            | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -13700000 | PA      | $-11150827.44 | -9.79%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2900000 | PA      | $2456250.87   | 2.16%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4400000 | PA      | $3865924.74   | 3.39%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   7300000 | PA      | $6637168.47   | 5.83%             | 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        |   5300000 | PA      | $4971253.93   | 4.36%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   6300000 | PA      | $6064921.67   | 5.32%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    900000 | PA      | $912788.26    | 0.80%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNEDIC                                                                           | UNEDIC GOVT GUARANT REGS 05/28 0.875                    | CUSIP: ACI15B6N7<br>LEI: 969500V3L9W19NIA5E82 | Long             | DBT              | NUSS              | FR        |   2000000 | PA      | $1895767.87   | 1.66%             | 2028-05-25      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                    | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    500000 | PA      | $505291.89    | 0.44%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    529000 | PA      | $525391.56    | 0.46%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    483248 | PA      | $454637.92    | 0.40%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 1.75                              | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1991458 | PA      | $1991034.58   | 1.75%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    107503 | PA      | $94242.89     | 0.08%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| APIDOS CLO 2017-27A                                                              | APIDOS CLO APID 2017 27A A1R 144A                       | CUSIP: 03767JAF2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    250000 | PA      | $247323.52    | 0.22%             | 2030-07-17      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    290038 | PA      | $326061.98    | 0.29%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    333558 | PA      | $294967.79    | 0.26%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    102565 | PA      | $94027.33     | 0.08%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1700000 | PA      | $1202484.38   | 1.06%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/50 1.625                             | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    200000 | PA      | $119074.22    | 0.10%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                          | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    456752 | PA      | $368835.31    | 0.32%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A    | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $292350.90    | 0.26%             | 2037-01-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2014-17A                                                         | VENTURE CDO LTD VENTR 2014 17A ARR 144A                 | CUSIP: 92329YAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     68343 | PA      | $68237.46     | 0.06%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                    | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $490889.97    | 0.43%             | 2030-09-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVI CLO LTD 2017-26A                                                    | VENTURE CDO LTD VENTR 2017 26A AR 144A                  | CUSIP: 92331MAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    386550 | PA      | $382065.79    | 0.34%             | 2029-01-20      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                                             | VOYA CLO LTD VOYA 2017 1A A1R 144A                      | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    472595 | PA      | $466743.94    | 0.41%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A        | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    145684 | PA      | $121316.84    | 0.11%             | 2047-02-25      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1        | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14087 | PA      | $12482.23     | 0.01%             | 2036-12-25      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1        | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26650 | PA      | $23283.79     | 0.02%             | 2037-06-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A6        | CUSIP: 929227ZS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21181 | PA      | $20412.70     | 0.02%             | 2033-02-25      | 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        |      1289 | PA      | $1188.21      | 0.00%             | 2042-08-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7         | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1862 | PA      | $1733.44      | 0.00%             | 2033-06-25      | Floating      | 3.21%                 | 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        |      6878 | PA      | $6719.12      | 0.01%             | 2034-03-25      | Floating      | 2.59%                 | 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        |      2039 | PA      | $1890.53      | 0.00%             | 2045-01-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12662 | PA      | $11746.24     | 0.01%             | 2045-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1516 | PA      | $1454.89      | 0.00%             | 2045-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                                         | ARES CLO LTD ARES 2016 40A A1RR 144A                    | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    323157 | PA      | $318984.96    | 0.28%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A         | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     92971 | PA      | $75664.74     | 0.07%             | 2046-07-25      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1       | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32822 | PA      | $28033.81     | 0.02%             | 2036-09-25      | Variable      | 3.56%                 | 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        |      2135 | PA      | $1850.64      | 0.00%             | 2036-12-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11303 | PA      | $9703.56      | 0.01%             | 2037-01-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     31908 | PA      | $19632.46     | 0.02%             | 2046-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1       | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30861 | PA      | $11742.00     | 0.01%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 04/26 VAR            | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    100000 | PA      | $97279.05     | 0.09%             | 2026-04-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    824000 | PA      | $824000.00    | 0.72%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                   | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     68000 | PA      | $15895.00     | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                   | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     44000 | PA      | $10285.00     | 0.01%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ABU DHABI GOVT EM SP GST                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $4730.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $475.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         5 | NC      | $-22579.39    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -11 | NC      | $10618.93     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $3275.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4242.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $341.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1592.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2537.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1465.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1150.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $7214.69      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $343.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $737.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $4567.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $28134.01     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-4472.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-135198.86   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-63864.35    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230111                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-499578.02   | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-13008.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1088.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-90251.93    | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-100.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $9231.82      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3701.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-1186.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $146048.84    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $23511.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $67076.94     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $503.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $26184.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $1768.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $965.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $37.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1892.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-380.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1920.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-3306.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230323                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $4458.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-376.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $366669.85    | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $678.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3505.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $7530.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.16         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARMADA EURO CLO III DAC 3A                                                       | ARMADA EURO CLO ARMDA 3A A1R 144A                       | CUSIP: ACI1WGZB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $415955.46    | 0.37%             | 2031-07-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $9191.64      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230705                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $18690.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-4564.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-253.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $336.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $737.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-7485.04     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-6900.84     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG35 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-109.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG37 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $9378.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG38 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1780.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG39 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $213303.00    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHINA AS BP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1141.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHINA AS BP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1522.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CHINA AS BP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2663.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $47.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $6332.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-3144.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20230202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $3213.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $27380.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $398.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $783.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $1941.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $199.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $357.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $550.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $7062.57      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20230509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $2097.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-4711.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $2682.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $2211.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-902.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1721.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-5721.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-796.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-1910.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3125.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-1087.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $16213.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $9829.62      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $17481.21     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $10112.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $11025.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $22533.83     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230705                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $20220.95     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $1503.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-28954.04    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230201                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-10270.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-17063.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3473.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-61294.15    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-36.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $44955.45     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-32560.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $82.14        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3175SQ653 OTC EPUT FRTR 0.75 97                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |    300000 | NC      | $122903.89    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -76 | NC      | $720909.88    | 0.63%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -13 | NC      | $49944.52     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -22 | NC      | $191654.43    | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $54719.32     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $801.92       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | RXG3P 138.5 FEB23 138.5 PUT FSO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -1 | NC      | $-5128.37     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20230404                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $5365.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CLP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $17847.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $7271.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-1859.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $4158.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $287.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $24094.26     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $26492.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $1227.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-5255.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-4594.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $23743.02     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $1914.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $9456.93      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-32808.56    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $1695.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-264.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-236.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $1887.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $252.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $572.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-27627.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3205.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $463.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $8945.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1389.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230206                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $9538.72      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $303.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-302.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-214.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-166.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-708.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-266.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-47.66       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-26425.93    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-125.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HKD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |         1 | NC      | $53.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-9653.97     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT BONDS REGS 05/30 2.5              | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $247745.62    | 0.22%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -24 | NC      | $208424.29    | 0.18%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT BONDS REGS 11/31 1                | CUSIP: BMGX73II0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    300000 | PA      | $158480.68    | 0.14%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $490.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $981.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ITALY GOVT SW SP CBK                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $981.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |      -146 | NC      | $231333.49    | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315             | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -300000 | NC      | $-57.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 04/33 4.5       | CUSIP: ACI078RZ4<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    200000 | PA      | $141290.50    | 0.12%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX MAIN38 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $30469.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -7 | NC      | $143560.77    | 0.13%             |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     50000 | PA      | $19728.29     | 0.02%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $850.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $707891.87    | 0.62%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $5981.99      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 09/26 0.5       | CUSIP: ACI1RRGQ0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |   2200000 | PA      | $1338310.34   | 1.17%             | 2026-09-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $20200.86     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $24028.99     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1327.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $753.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $235.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)                | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $104012.59    | 0.09%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $658.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $768.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1202.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $17278.24     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-8488.17     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2913.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-1391.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2238.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $557.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1034.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $3174.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ROLLS-ROYCE PLC SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-2499.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20230420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $59916.15     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-108.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-962.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1359.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $7779.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                      | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    282000 | PA      | $225816.64    | 0.20%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  DEC23 XCME 20240319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -216 | NC      | $61961.58     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  JUN23 XCME 20230919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       118 | NC      | $-66853.17    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR FUT  JUN24 XCME 20240917                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       108 | NC      | $-25285.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-172.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-6066.62     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2865.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP BRC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3223.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP HUS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1074.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1432.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CAD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-6272.40     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $0.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4218.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $7891.90      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $1320.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $37589.61     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $24315.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $1502.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                         | AVON FINANCE AVON 2A A 144A                             | CUSIP: ACI1RJQB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    196757 | PA      | $233373.03    | 0.20%             | 2048-09-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $9218.48      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $344.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $274.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $118.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $614.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $3.97         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-440.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CLP BOUGHT USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-25756.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-7587.63     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-0.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2771.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20230216                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-5843.91     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $-32424.95    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-37396.98    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2024.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1520.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-19363.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | STELLANTIS NV SNR SE ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |         1 | NC      | $41391.19     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-15589.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-0.43        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |   -500000 | NC      | $-7794.80     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1328.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-0.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U02JA6 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2745.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U02KA4 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-202.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1372.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-101.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2555.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-245.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4243.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2230.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-315.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1141.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-151.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1180.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-143.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-121.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1309.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-5683.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-0.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1403.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-107.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-4268.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-0.32        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U09MA7 PIMCO SWAPTION 3.0875 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-304.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U09NA6 PIMCO SWAPTION 3.0875 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2385.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0ATA7 PIMCO SWAPTION 3.02 PUT USD 20231106          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1242.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0AUA5 PIMCO SWAPTION 3.02 CALL USD 2023110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-142.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1315.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-133.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-7957.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-0.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0D9A3 PIMCO SWAPTION 2.1 PUT EUR 20230515           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-1592.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0DAA1 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -100000 | NC      | $-0.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-251.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-2729.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0E3A7 PIMCO SWAPTION 3.75 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1429.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0E4A6 PIMCO SWAPTION 2.25 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-138.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-2324.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-188.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-3027.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-285.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2017-1A                                                  | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2017 1A A1R 144A     | CUSIP: 05682QAQ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    295202 | PA      | $291992.42    | 0.26%             | 2030-07-20      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-1381.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -200000 | NC      | $-167.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U164I5 PIMCO FPPSWAPTION 0.82 CALL GBP               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1200000 | NC      | $-1191.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U173X1 IRO EUR 25Y P0.451 MAY25 0.451 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -300000 | NC      | $-114956.87   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1PGA7 PIMCO SWAPTION 3.65 PUT USD 20230109          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-1806.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1PHA6 PIMCO SWAPTION 3.15 CALL USD 2023010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-3.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-769.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer