# EDGAR Filing Document

**Accession Number:** 0000887340
**File Stem:** 0002071691-26-004673
**Filing Date:** 2026-2
**Character Count:** 202103
**Document Hash:** e2187d697c39699cb66463854450a7e3
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0002071691-26-004673.hdr.sgml**: 20260226

**ACCESSION NUMBER**: 0002071691-26-004673

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260226

**DATE AS OF CHANGE**: 20260226

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST
- **CENTRAL INDEX KEY:** 0000887340

**ORGANIZATION NAME:**
- **EIN:** 133186036
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-03833-01
- **FILM NUMBER:** 26682335

**BUSINESS ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010
- **BUSINESS PHONE:** 2125767000

**MAIL ADDRESS:**
- **STREET 1:** 51 MADISON AVE
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10010

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP FUNDS TRUST
- **DATE OF NAME CHANGE:** 20110429

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** MAINSTAY VP SERIES FUND INC
- **DATE OF NAME CHANGE:** 20010518

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** NEW YORK LIFE MFA SERIES FUND INC
- **DATE OF NAME CHANGE:** 19920929

## Series and Classes Contracts Data

### NYLI VP Pimco Real Return Portfolio (Series ID: S000033931)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000104633 | Initial Class |  |
| C000104634 | Service Class |  |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

- **b. Investment Company Act file number:** 811-03833-01

- **c. CIK number of Registrant:** 0000887340

- **d. LEI of Registrant:** 549300AG6K4RXYNOVN04

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

  - **Street Address 1:** 51 Madison Avenue

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10010

  - **Telephone number:** 212-576-7000

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

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

- **b. EDGAR series identifier (if any):** S000033931

- **c. LEI of Series:** FL0D50RT2GXIMU1UV517

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

- **a. Date of fiscal year-end:** 2025-12-31

- **b. Date as of which information is reported:** 2025-12-31

**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:** $841050684.68

**Total Liabilities:** $435103510.74

**Net Assets:** $405947173.94

**Delayed Delivery Securities:** $71355069.92

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -718.94000000 | **1-Year:** -17222.71000000 | **5-Year:** -79107.16000000 | **10-Year:** -95514.67000000 | **30-Year:** -91014.51000000

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

- **3-Month:** -75.16000000 | **1-Year:** -3272.22000000 | **5-Year:** -3774.72000000 | **10-Year:** -10447.40000000 | **30-Year:** -12373.29000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000104633 | 0.48%                | 0.26%                | -0.56%               |
| Class ID C000104634 | 0.46%                | 0.24%                | -0.58%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $287195.02               | $-960763.61                                |
| Month 2  | $-705648.10              | $341635.53                                 |
| Month 3  | $-4136308.00             | $222863.94                                 |

**Designated Index Information**

- **Index Name:** Bloomberg U.S. TIPS Index

- **Index Identifier:** LEH__LHMN0062

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA or FHLMC                                                          | UMBS, Single Family, 30 Year                                                                     | CUSIP: 01F042616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  25200000 | PA      | $24598782.68  | 6.06%             | 2056-01-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA or FHLMC                                                          | UMBS, Single Family, 30 Year                                                                     | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15300000 | PA      | $15701160.80  | 3.87%             | 2056-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Anchorage Capital CLO 20 Ltd.                                          | Anchorage Capital CLO 20 Ltd., Series 2021-20A, Class A1R                                        | CUSIP: 03330YAJ9<br>LEI: 549300AYL7KYENHY1C67 | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $900410.40    | 0.22%             | 2035-01-20      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2021-FL4, Class A                         | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    262563 | PA      | $262565.04    | 0.06%             | 2036-11-15      | Floating      | 5.21%                 | Yes           |                  2 | On Loan: No      |
| Arbor Realty Commercial Real Estate Notes Ltd.                         | Arbor Realty Commercial Real Estate Notes Ltd., Series 2022-FL1, Class A                         | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    565522 | PA      | $565539.90    | 0.14%             | 2037-01-15      | Floating      | 5.43%                 | Yes           |                  2 | On Loan: No      |
| Argent Securities Trust                                                | Argent Securities Trust, Series 2006-W4, Class A2C                                               | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    267765 | PA      | $63538.88     | 0.02%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Avolon Holdings Funding Ltd.                                           | Avolon Holdings Funding Ltd.                                                                     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     29000 | PA      | $28114.63     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | Yes           |                  2 | On Loan: No      |
| Bain Capital Credit CLO Ltd.                                           | Bain Capital Credit CLO Ltd., Series 2022-2A, Class A1R                                          | CUSIP: 05682GAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1998360.00   | 0.49%             | 2035-04-22      | Floating      | 5.01%                 | Yes           |                  2 | On Loan: No      |
| Bank of America Corp.                                                  | Bank of America Corp., Series FF                                                                 | CUSIP: 060505FL3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    190000 | PA      | $193249.38    | 0.05%             | 2028-03-15      | Variable      | 5.88%                 | No            |                  2 | On Loan: No      |
| Beignet Investor LLC                                                   | Beignet Investor LLC                                                                             | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2100000 | PA      | $2218639.75   | 0.55%             | 2049-05-30      | Fixed         | 6.58%                 | Yes           |                  2 | On Loan: No      |
| BlueMountain Fuji Eur CLO V DAC                                        | BlueMountain Fuji EUR CLO V DAC, Series 5A, Class A                                              | CUSIP: N/A<br>LEI: 635400IYPG2G6NM3OV52       | Long             | ABS-CBDO         | CORP              | IE        |    884476 | PA      | $1038491.92   | 0.26%             | 2033-01-15      | Floating      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| Credit-Based Asset Servicing and Securitization LLC                    | Credit-Based Asset Servicing and Securitization LLC, Series 2007-CB6, Class A3                   | CUSIP: 1248RHAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    660041 | PA      | $441844.47    | 0.11%             | 2037-07-25      | Floating      | 4.07%                 | Yes           |                  2 | On Loan: No      |
| CIFC Funding Ltd.                                                      | CIFC Funding Ltd., Series 2017-4A, Class A1R                                                     | CUSIP: 12551JAL0<br>LEI: 254900JEH56UBUEZJW15 | Long             | ABS-CBDO         | CORP              | KY        |     62252 | PA      | $62261.96     | 0.02%             | 2030-10-24      | Floating      | 5.08%                 | Yes           |                  2 | On Loan: No      |
| Alternative Loan Trust                                                 | Alternative Loan Trust, Series 2005-29CB, Class A4                                               | CUSIP: 12667GUG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21274 | PA      | $11273.28     | 0.00%             | 2035-07-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CWABS Asset-Backed Certificates Trust                                  | CWABS Asset-Backed Certificates Trust, Series 2007-8, Class 1A1                                  | CUSIP: 12669WAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |    933796 | PA      | $899410.91    | 0.22%             | 2037-11-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7351.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5742.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $11717.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $932.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $6070.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1084.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $9784.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $12165.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1958.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $25805.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $10340.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $17484.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2419.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-83.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1530.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1273.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $22210.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2015.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1303.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-12482.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $43369.25     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4318.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1937.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-30911.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-589.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6279.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1609.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-311.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1741.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2.22         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7220.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3237.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4246.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $9583.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4687.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6571.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $16844.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $33873.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-9244.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $394.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2030.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3417.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5841.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-179.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2763.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4423.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4344.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-34192.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-4100.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-253227.25   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3175.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-26006.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2523.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-25167.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1015.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-52631.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-997.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $7728.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $46724.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1988.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-733.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $775.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CarVal CLO III Ltd.                                                    | CarVal CLO III Ltd., Series 2019-2A, Class AR2                                                   | CUSIP: 14686WAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1950121 | PA      | $1950282.91   | 0.48%             | 2032-07-20      | Floating      | 4.87%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-135.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $592.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $88.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-46.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $846.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3584.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3966.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $801.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2533.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2528.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $657.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2688.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5390.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $204.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1008.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2373.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $829.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-261.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1293.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-280.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $593.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1154.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3276.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-7632.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1981.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3415.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1371.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $13856.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2011.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-6883.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $527.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1239.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-3282.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $517.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-147.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $222.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1399.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-2773.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $552.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1171.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-178.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $599.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $2093.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $3561.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-144.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $404.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-1134.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-51.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1686.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-793.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1213.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1097.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-528.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-983.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-372.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $376.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $200.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $435.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $344.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $585.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-93.41       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $386.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-53.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $24.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-9.95        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-5.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $5.80         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $1051.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $-64.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | Forward Foreign Currency Contract                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DFE              |  | N/A       |         1 | NC      | $0.29         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL Mortgage Pass-Through Trust                                        | CHL Mortgage Pass-Through Trust, Series 2007-1, Class A1                                         | CUSIP: 170255AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24508 | PA      | $10540.20     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust, Inc.                                    | Citigroup Mortgage Loan Trust, Inc., Series 2004-NCM2, Class 1CB1                                | CUSIP: 17307GGX0<br>LEI: 549300R1KUK063S4I339 | Long             | ABS-MBS          | CORP              | US        |     90256 | PA      | $89604.94     | 0.02%             | 2034-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust                                          | Citigroup Mortgage Loan Trust, Series 2007-AR4, Class 1A1A                                       | CUSIP: 17311WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    139317 | PA      | $120578.81    | 0.03%             | 2037-03-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 21H032613<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |  13000000 | PA      | $11828468.47  | 2.91%             | 2056-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Canadian Government Real Return Bond                                   | Canadian Government Real Return Bond                                                             | CUSIP: 135087VS0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    600000 | PA      | $849346.96    | 0.21%             | 2026-12-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities Corp.                   | Credit Suisse First Boston Mortgage Securities Corp., Series 2001-HE17, Class A1                 | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    273247 | PA      | $271319.32    | 0.07%             | 2032-01-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| Alternative Loan Trust                                                 | Alternative Loan Trust, Series 2007-1T1, Class 1A1                                               | CUSIP: 23246KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    520004 | PA      | $172092.21    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Invesco Euro CLO I DAC                                                 | Invesco Euro CLO I DAC, Series 1A, Class A1R                                                     | CUSIP: N/A<br>LEI: 549300GHZE7CYFQDBC40       | Long             | ABS-CBDO         | CORP              | IE        |    288008 | PA      | $337675.23    | 0.08%             | 2031-07-15      | Floating      | 2.66%                 | Yes           |                  2 | On Loan: No      |
| FHLMC Pool                                                             | UMBS Pool, 30 Year                                                                               | CUSIP: 3132DWDC4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    160457 | PA      | $130110.82    | 0.03%             | 2052-03-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Strips, Series 278, Class F1                                                       | CUSIP: 3132HTBH8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    108850 | PA      | $107490.65    | 0.03%             | 2042-09-15      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC Pool                                                             | UMBS Pool, 30 Year                                                                               | CUSIP: 3133B2P52<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    369347 | PA      | $327416.67    | 0.08%             | 2052-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC, Series 2025-19, Class FC                                                            | CUSIP: 3136BVBY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1735452 | PA      | $1742012.70   | 0.43%             | 2055-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, Series 2025-47, Class FJ                                                                   | CUSIP: 3136BWNH5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   1869962 | PA      | $1882550.73   | 0.46%             | 2055-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC,REMIC, Series 4694, Class FA                                                               | CUSIP: 3137BYWC0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    676403 | PA      | $663645.81    | 0.16%             | 2047-06-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Series 4779, Class WF                                                              | CUSIP: 3137F4BX9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     77895 | PA      | $76363.82     | 0.02%             | 2044-07-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, Series 4851, Class PF                                                                     | CUSIP: 3137FKAX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    958190 | PA      | $931901.86    | 0.23%             | 2057-08-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC                                                                  | FHLMC, REMIC, Series 5513, Class MF                                                              | CUSIP: 3137HKEX8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   1703243 | PA      | $1709960.88   | 0.42%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31385HJE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     19641 | PA      | $19890.17     | 0.00%             | 2036-12-01      | Variable      | 4.80%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31402LPB2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     57942 | PA      | $58447.85     | 0.01%             | 2043-06-01      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | FNMA, REMIC                                                                                      | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     74817 | PA      | $78366.41     | 0.02%             | 2034-11-01      | Variable      | 6.24%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EE63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    474025 | PA      | $464694.38    | 0.11%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EGJ3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    383963 | PA      | $364613.47    | 0.09%             | 2052-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA                                                                   | UMBS, 30 Year                                                                                    | CUSIP: 31418EQL7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    423047 | PA      | $414456.84    | 0.10%             | 2053-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| First Franklin Mortgage Loan Trust                                     | First Franklin Mortgage Loan Trust, Series 2006-FF17, Class A2                                   | CUSIP: 32028KAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    325904 | PA      | $297361.08    | 0.07%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179W5D6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     20957 | PA      | $19303.03     | 0.00%             | 2052-05-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179W7L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    457896 | PA      | $421048.93    | 0.10%             | 2052-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, Single Family, 30 Year                                                                  | CUSIP: 36179WZB7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     37312 | PA      | $34382.33     | 0.01%             | 2052-03-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA II, 30 Year                                                                                 | CUSIP: 3618N5TJ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    198241 | PA      | $180497.94    | 0.04%             | 2055-08-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                                                 | GSAA Home Equity Trust, Series 2006-17, Class A3A                                                | CUSIP: 362257AC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    909354 | PA      | $284840.33    | 0.07%             | 2036-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Gallatin CLO VIII Ltd.                                                 | Gallatin CLO VIII Ltd., Series 2017-1A, Class A1R                                                | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    224755 | PA      | $224884.99    | 0.06%             | 2031-07-15      | Floating      | 5.26%                 | Yes           |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2017-H10, Class FB                                                                  | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     86966 | PA      | $87997.60     | 0.02%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2018-H15, Class FG                                                                  | CUSIP: 38380LJY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    280767 | PA      | $282491.06    | 0.07%             | 2068-08-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2025-159, Class FJ                                                                  | CUSIP: 38381U6P2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4057306 | PA      | $4073235.41   | 1.00%             | 2055-09-20      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2023-H11, Class FC                                                                  | CUSIP: 38382Y5C3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    476961 | PA      | $485589.58    | 0.12%             | 2073-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2023-H20, Class FA                                                                  | CUSIP: 38383KCV2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4750270 | PA      | $4789169.81   | 1.18%             | 2073-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| GNMA                                                                   | GNMA, Series 2025-H22, Class F                                                                   | CUSIP: 38384LA58<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   4189653 | PA      | $4203211.99   | 1.04%             | 2075-10-20      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                                      | GreenPoint Mortgage Funding Trust, Series 2006-AR4, Class A6A                                    | CUSIP: 39539FAK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46478 | PA      | $43808.50     | 0.01%             | 2046-09-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Greywolf CLO III Ltd.                                                  | Greywolf CLO III Ltd., Series 2020-3RA, Class A1R2                                               | CUSIP: 39809CAY0<br>LEI: 5493002TWMA4NNPZ2B66 | Long             | ABS-CBDO         | CORP              | KY        |   1045585 | PA      | $1046189.27   | 0.26%             | 2033-04-22      | Floating      | 5.09%                 | Yes           |                  2 | On Loan: No      |
| Carlyle Global Market Strategies Euro CLO Ltd.                         | Carlyle Global Market Strategies Euro CLO Ltd., Series 2014-2A, Class AR1                        | CUSIP: N/A<br>LEI: 6354006SCMVW8LXU4P40       | Long             | ABS-CBDO         | CORP              | IE        |    122862 | PA      | $144316.79    | 0.04%             | 2031-11-15      | Floating      | 2.81%                 | Yes           |                  2 | On Loan: No      |
| Home Equity Asset Trust                                                | Home Equity Asset Trust, Series 2005-8, Class M2                                                 | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    112687 | PA      | $111285.99    | 0.03%             | 2036-02-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    770000 | PA      | $-78102.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3300000 | PA      | $-626481.46   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    510000 | PA      | $-52013.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $207752.11    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2700000 | PA      | $312064.34    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5400000 | PA      | $655601.27    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $-336693.32   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $120469.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2600000 | PA      | $-348095.26   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $48139.95     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $91999.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $23112.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    500000 | PA      | $34338.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  50000000 | PA      | $11450.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 106980000 | PA      | $39107.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  14000000 | PA      | $2445.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $32054.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5397.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5294.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $5292.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    280000 | PA      | $3639.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $928322.08    | 0.23%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $21334.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4100000 | PA      | $885755.51    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1250000 | PA      | $263028.58    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1550000 | PA      | $321708.46    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2760000 | PA      | $-123516.54   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2340000 | PA      | $-103281.28   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   5900000 | PA      | $92958.80     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $61430.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 386000000 | PA      | $150258.60    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 210000000 | PA      | $26808.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        | 210000000 | PA      | $26770.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    400000 | PA      | $72408.91     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $53530.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    100000 | PA      | $17219.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    200000 | PA      | $34561.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $48032.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $46458.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $128308.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |   1400000 | PA      | $127680.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $-12597.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1600000 | PA      | $-26357.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    600000 | PA      | $28574.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1200000 | PA      | $55348.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    800000 | PA      | $37096.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1300000 | PA      | $-20835.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $32610.33     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    300000 | PA      | $-1883.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3500000 | PA      | $-9611.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | SOP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -19800000 | PA      | $-108975.61   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | SOP                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        | -19800000 | PA      | $-79975.91    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2000000 | PA      | $1813.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2200000 | PA      | $2759.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2100000 | PA      | $7069.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6800000 | PA      | $249709.72    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2500000 | PA      | $234207.54    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $12205.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3200000 | PA      | $24488.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2000000 | PA      | $11087.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $20886.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |  10500000 | PA      | $3341.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4400000 | PA      | $-33073.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | HICPXT                                                                                           | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   6700000 | PA      | $12254.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    270000 | PA      | $-6155.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    280000 | PA      | $-6678.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    280000 | PA      | $-7682.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    270000 | PA      | $-6948.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3430000 | PA      | $-60883.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3430000 | PA      | $-56690.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3420000 | PA      | $-63139.55    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3420000 | PA      | $-56169.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $6940.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    700000 | PA      | $6949.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $12623.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    370000 | PA      | $3639.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2435000 | PA      | $184053.14    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    370000 | PA      | $4315.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    380000 | PA      | $4467.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | IRS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    845000 | PA      | $67426.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |    380000 | PA      | $4374.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | USCPI                                                                                            | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   4100000 | PA      | $26788.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2730000 | PA      | $29326.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2730000 | PA      | $27701.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2720000 | PA      | $30058.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2720000 | PA      | $29513.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | RPI                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2100000 | PA      | $-28788.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   7100000 | PA      | $6644.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1600000 | PA      | $5972.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1658700 | PA      | $7238.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1661000 | PA      | $8516.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $7479.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-26708.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  20000000 | PA      | $-143834.84   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  15000000 | PA      | $-53906.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | DTRS                                                                                             | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |  10000000 | PA      | $-30186.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $4118.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $3845.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $3778.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1000000 | PA      | $113.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1400000 | PA      | $-1030.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1501900 | PA      | $-1712.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1500000 | PA      | $-1144.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1100000 | PA      | $542.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   1113000 | PA      | $-1374.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   2052000 | PA      | $886.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                    | OIS                                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | GB        |   3002000 | PA      | $3697.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                       | IndyMac INDX Mortgage Loan Trust, Series 2005-AR12, Class 2A1A                                   | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70371 | PA      | $66268.69     | 0.02%             | 2035-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| IndyMac INDX Mortgage Loan Trust                                       | IndyMac INDX Mortgage Loan Trust, Series 2005-AR14, Class 1A1A                                   | CUSIP: 45660LRU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    578859 | PA      | $423171.24    | 0.10%             | 2035-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| Ares European CLO X DAC                                                | Ares European CLO X DAC, Series 10A, Class AR                                                    | CUSIP: N/A<br>LEI: 635400SFL7VSI4HNPI68       | Long             | ABS-CBDO         | CORP              | IE        |    383907 | PA      | $450758.75    | 0.11%             | 2031-10-15      | Floating      | 2.79%                 | Yes           |                  2 | On Loan: No      |
| Madison Park Euro Funding IX DAC                                       | Madison Park Euro Funding IX DAC, Series 9A, Class AR                                            | CUSIP: N/A<br>LEI: 635400IRITPTWQSADZ09       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587645.24    | 0.14%             | 2035-07-15      | Floating      | 2.91%                 | Yes           |                  2 | On Loan: No      |
| Dryden 52 Euro CLO DAC                                                 | Dryden 52 Euro CLO DAC, Series 2017-52A, Class AR                                                | CUSIP: N/A<br>LEI: 635400V5VX7XDQVRNU55       | Long             | ABS-CBDO         | CORP              | IE        |    265546 | PA      | $312104.55    | 0.08%             | 2034-05-15      | Floating      | 2.92%                 | Yes           |                  2 | On Loan: No      |
| LCM Loan Income Fund I Ltd.                                            | LCM Loan Income Fund I Ltd., Series 1A, Class A                                                  | CUSIP: 50189XAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    138450 | PA      | $138456.10    | 0.03%             | 2031-04-20      | Floating      | 5.18%                 | Yes           |                  2 | On Loan: No      |
| LCM 30 Ltd.                                                            | LCM 30 Ltd., Series 30A, Class AR                                                                | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    434008 | PA      | $434612.19    | 0.11%             | 2031-04-20      | Floating      | 5.23%                 | Yes           |                  2 | On Loan: No      |
| LCM 35 Ltd.                                                            | LCM 35 Ltd., Series 35A, Class A1R                                                               | CUSIP: 50202QAL7<br>LEI: 549300KLSB4ZQ2S3TJ95 | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1000022.00   | 0.25%             | 2034-10-15      | Floating      | 4.98%                 | Yes           |                  2 | On Loan: No      |
| Lehman XS Trust                                                        | Lehman XS Trust, Series 2007-20N, Class A1                                                       | CUSIP: 52525AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     18610 | PA      | $18848.55     | 0.00%             | 2037-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| LoanCore Issuer Ltd.                                                   | LoanCore Issuer Ltd., Series 2022-CRE7, Class A                                                  | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    173454 | PA      | $173467.27    | 0.04%             | 2037-01-17      | Floating      | 5.49%                 | Yes           |                  2 | On Loan: No      |
| Long Beach Mortgage Loan Trust                                         | Long Beach Mortgage Loan Trust, Series 2006-7, Class 2A2                                         | CUSIP: 54251TAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    203499 | PA      | $80403.68     | 0.02%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NYLI U.S. Government Liquidity Fund                                    | NYLI U.S. Government Liquidity Fund                                                              | CUSIP: 56064L488<br>LEI: 549300Y3ZLEL13IJCK58 | Long             | STIV             | RF                | US        |    495078 | NS      | $495078.24    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| Mastr Asset-Backed Securities Trust                                    | Mastr Asset-Backed Securities Trust, Series 2006-WMC4, Class A5                                  | CUSIP: 57645MAE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    104838 | PA      | $33983.94     | 0.01%             | 2036-10-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust                                 | Merrill Lynch Mortgage Investors Trust, Series 2005-A4, Class 1A                                 | CUSIP: 59020UXH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    129109 | PA      | $55913.02     | 0.01%             | 2035-07-25      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley ABS Capital I, Inc. Trust                               | Morgan Stanley ABS Capital I, Inc. Trust, Series 2005-WMC1, Class M3                             | CUSIP: 61744CLW4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60668 | PA      | $62009.76     | 0.02%             | 2035-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| New Century Home Equity Loan Trust                                     | New Century Home Equity Loan Trust, Series 2004-4, Class M1                                      | CUSIP: 64352VJJ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     39783 | PA      | $39167.99     | 0.01%             | 2035-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                    | New Residential Mortgage Loan Trust, Series 2018-3A, Class A1                                    | CUSIP: 64830KAA5<br>LEI: 549300U48YU2VDL8N523 | Long             | ABS-MBS          | CORP              | US        |     72763 | PA      | $71264.82     | 0.02%             | 2058-05-25      | Variable      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust                                    | New Residential Mortgage Loan Trust, Series 2019-RPL3, Class A1                                  | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108436 | PA      | $105121.92    | 0.03%             | 2059-07-25      | Variable      | 2.75%                 | Yes           |                  2 | On Loan: No      |
| OBX Trust                                                              | OBX Trust, Series 2018-1, Class A2                                                               | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13353 | PA      | $13091.52     | 0.00%             | 2057-06-25      | Floating      | 4.50%                 | Yes           |                  2 | On Loan: No      |
| OZLM XXIV Ltd.                                                         | OZLM XXIV Ltd., Series 2019-24A, Class A1AR                                                      | CUSIP: 67113DAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     65365 | PA      | $65365.21     | 0.02%             | 2032-07-20      | Floating      | 5.31%                 | Yes           |                  2 | On Loan: No      |
| Opteum Mortgage Acceptance Corp Asset Backed Pass-Through Certificates | Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates, Series 2005-2, Class M7 | CUSIP: 68383NBC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    100000 | PA      | $99510.98     | 0.02%             | 2035-04-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                                         | Option One Mortgage Loan Trust, Series 2006-1, Class M1                                          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1026747 | PA      | $977317.47    | 0.24%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| Popular ABS Mortgage Pass-Through Trust                                | Popular ABS Mortgage Pass-Through Trust, Series 2006-A, Class M2                                 | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   1019964 | PA      | $983306.30    | 0.24%             | 2036-02-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| RALI Trust                                                             | RALI Trust, Series 2006-QH1, Class A1                                                            | CUSIP: 75115GAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545909 | PA      | $498503.85    | 0.12%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                             | RASC Trust, Series 2006-EMX4, Class A4                                                           | CUSIP: 75406DAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295545 | PA      | $293251.05    | 0.07%             | 2036-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| RASC Trust                                                             | RASC Trust, Series 2005-EMX1, Class M2                                                           | CUSIP: 76110WQ66<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    426744 | PA      | $429185.62    | 0.11%             | 2035-03-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust                                 | Residential Asset Securitization Trust, Series 2006-A10, Class A5                                | CUSIP: 76113LAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    219544 | PA      | $62534.23     | 0.02%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Romark CLO Ltd.                                                        | Romark CLO Ltd., Series 2017-1A, Class A1R                                                       | CUSIP: 77587UAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11260 | PA      | $11260.87     | 0.00%             | 2030-10-23      | Floating      | 5.15%                 | Yes           |                  2 | On Loan: No      |
| SLM Student Loan Trust                                                 | SLM Student Loan Trust, Series 2004-3A, Class A6B                                                | CUSIP: 78442GLL8<br>LEI: 549300YK6GOQU7FJ5N55 | Long             | ABS-O            | CORP              | US        |    195840 | PA      | $194437.60    | 0.05%             | 2064-10-25      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Saranac CLO VI Ltd.                                                    | Saranac CLO VI Ltd., Series 2018-6A, Class A1R                                                   | CUSIP: 80317LAJ2<br>LEI: 5493002U06KAOJIMH261 | Long             | ABS-CBDO         | CORP              | JE        |     31398 | PA      | $31409.70     | 0.01%             | 2031-08-13      | Floating      | 5.12%                 | Yes           |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                                           | Saxon Asset Securities Trust, Series 2007-3, Class 1A                                            | CUSIP: 80557BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     54930 | PA      | $53347.70     | 0.01%             | 2037-09-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                         | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE1, Class A2C                       | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500634 | PA      | $162040.47    | 0.04%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Securitized Asset-Backed Receivables LLC Trust                         | Securitized Asset-Backed Receivables LLC Trust, Series 2006-HE2, Class A2C                       | CUSIP: 81377AAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    300934 | PA      | $113890.79    | 0.03%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| Sound Point CLO IX Ltd.                                                | Sound Point CLO IX Ltd., Series 2015-2A, Class ARRR                                              | CUSIP: 83609GBN4<br>LEI: 549300W2FX6HEXN27U70 | Long             | ABS-CBDO         | CORP              | KY        |    299825 | PA      | $299880.87    | 0.07%             | 2032-07-20      | Floating      | 5.36%                 | Yes           |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                              | Soundview Home Loan Trust, Series 2007-OPT1, Class 1A1                                           | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    221754 | PA      | $153478.84    | 0.04%             | 2037-06-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| Soundview Home Loan Trust                                              | Soundview Home Loan Trust, Series 2007-OPT2, Class 2A3                                           | CUSIP: 83613DAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    121437 | PA      | $111684.87    | 0.03%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| Thornburg Mortgage Securities Trust                                    | Thornburg Mortgage Securities Trust, Series 2004-2, Class A1                                     | CUSIP: 885220FE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    198245 | PA      | $191605.25    | 0.05%             | 2044-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    399239 | PA      | $52483.18     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Bills                                                                              | CUSIP: 912797TA5<br>LEI: 254900HROIFWPRGM1V77 | Long             | STIV             | UST               | US        |      1000 | PA      | $992.07       | 0.00%             | 2026-03-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810FQ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    327000 | PA      | $662047.80    | 0.16%             | 2032-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PS1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     20000 | PA      | $32548.72     | 0.01%             | 2027-01-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10224000 | PA      | $16005517.71  | 3.94%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810PZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4130000 | PA      | $6464255.86   | 1.59%             | 2029-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QF8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2660000 | PA      | $3965368.76   | 0.98%             | 2040-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QP6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1930000 | PA      | $2808337.88   | 0.69%             | 2041-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7530000 | PA      | $8443456.81   | 2.08%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RA8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1780000 | PA      | $1875183.11   | 0.46%             | 2043-02-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5990000 | PA      | $7004117.09   | 1.73%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6440000 | PA      | $6489553.24   | 1.60%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5190000 | PA      | $5374489.18   | 1.32%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7243000 | PA      | $7041128.98   | 1.73%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3808000 | PA      | $3671171.84   | 0.90%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    650000 | PA      | $604812.45    | 0.15%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2980000 | PA      | $2171288.39   | 0.53%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3610000 | PA      | $2437179.73   | 0.60%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1800000 | PA      | $1112455.69   | 0.27%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5000000 | PA      | $4268750.82   | 1.05%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4400000 | PA      | $4192796.96   | 1.03%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Bonds                                                             | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2900000 | PA      | $2838590.91   | 0.70%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Bonds                                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     40000 | PA      | $40387.50     | 0.01%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3795000 | PA      | $4817545.70   | 1.19%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   8140000 | PA      | $9982212.60   | 2.46%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828S50<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3510000 | PA      | $4739958.72   | 1.17%             | 2026-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10810000 | PA      | $13854054.11  | 3.41%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828Z37<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  15000000 | PA      | $18003454.34  | 4.43%             | 2030-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6520000 | PA      | $7813755.80   | 1.92%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7140000 | PA      | $8324252.62   | 2.05%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10800000 | PA      | $12155918.45  | 2.99%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CDC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19100000 | PA      | $22547185.63  | 5.55%             | 2026-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11800000 | PA      | $12664017.65  | 3.12%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CEJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11600000 | PA      | $13134178.31  | 3.24%             | 2027-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  36800000 | PA      | $38686937.18  | 9.53%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CFR7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10100000 | PA      | $11184568.88  | 2.76%             | 2027-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  11800000 | PA      | $12375560.41  | 3.05%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $2054076.15   | 0.51%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  19100000 | PA      | $19958262.01  | 4.92%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CJH5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13700000 | PA      | $14996976.68  | 3.69%             | 2028-10-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4900000 | PA      | $5160564.87   | 1.27%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6000000 | PA      | $6449246.59   | 1.59%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  18000000 | PA      | $18751522.30  | 4.62%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CLV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10700000 | PA      | $11180846.67  | 2.75%             | 2029-10-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  10000000 | PA      | $10499538.32  | 2.59%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5700000 | PA      | $5858828.07   | 1.44%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CNS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  12400000 | PA      | $12540305.69  | 3.09%             | 2035-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Notes                                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     64000 | PA      | $64460.00     | 0.02%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| United States of America                                               | U.S. Treasury Inflation Linked Notes                                                             | CUSIP: 91282CPH8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6100000 | PA      | $6046244.90   | 1.49%             | 2030-10-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| Venture 36 CLO Ltd.                                                    | Venture 36 CLO Ltd., Series 2019-36A, Class A1AR                                                 | CUSIP: 92332LAU3<br>LEI: 549300AZL7IWJJ04HD37 | Long             | ABS-CBDO         | CORP              | KY        |    272572 | PA      | $272640.61    | 0.07%             | 2032-04-20      | Floating      | 5.28%                 | Yes           |                  2 | On Loan: No      |
| Vibrant CLO XI Ltd.                                                    | Vibrant CLO XI Ltd., Series 2019-11A, Class A1R1                                                 | CUSIP: 92558NAJ1<br>LEI: 5493008IYL3HLPE46G85 | Long             | ABS-CBDO         | CORP              | KY        |    104755 | PA      | $104721.38    | 0.03%             | 2032-07-20      | Floating      | 5.27%                 | Yes           |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2006-5, Class 2CB1      | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27682 | PA      | $19828.53     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through Certificates WMALT Trust       | Washington Mutual Mortgage Pass-Through Certificates WMALT Trust, Series 2007-HY1, Class A2A     | CUSIP: 93936AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    288379 | PA      | $227464.78    | 0.06%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| Argentine Peso                                                         | Argentine Peso                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AR        |  41415191 | OU      | $28532.68     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Australian Dollar                                                      | Australian Dollar                                                                                | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | AU        |    332134 | OU      | $221649.65    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3X, Class A3A                                                       | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |     25610 | PA      | $34495.35     | 0.01%             | 2045-06-13      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3X, Class A3C                                                       | CUSIP: N/A<br>LEI: 213800YCKG3TNT5E1296       | Long             | ABS-MBS          | CORP              | GB        |      6827 | PA      | $9194.92      | 0.00%             | 2045-06-13      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Eurosail-UK plc                                                        | Eurosail-UK plc, Series 2007-3A, Class A3C                                                       | CUSIP: 29880YAJ8<br>LEI: 213800YCKG3TNT5E1296 | Long             | ABS-MBS          | CORP              | GB        |      6827 | PA      | $9194.92      | 0.00%             | 2045-06-13      | Floating      | 4.80%                 | Yes           |                  2 | On Loan: No      |
| Republic of Peru                                                       | Peru Government Bond                                                                             | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |    900000 | PA      | $288788.44    | 0.07%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                                       | Peru Government Bond                                                                             | CUSIP: N/A<br>LEI: 254900STKLK2DBJJZ530       | Long             | DBT              | NUSS              | PE        |   1000000 | PA      | $311538.81    | 0.08%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 431000000 | PA      | $3176678.38   | 0.78%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Republic of Italy                                                      | Italy Buoni Poliennali del Tesoro                                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |   1300000 | PA      | $1853649.79   | 0.46%             | 2030-05-15      | Fixed         | 0.40%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.12         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 627000000 | PA      | $4584629.81   | 1.13%             | 2029-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1470370 | PA      | $177512.76    | 0.04%             | 2050-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |     13150 | PA      | $1663.27      | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    500000 | PA      | $52776.51     | 0.01%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.25         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.18         | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |     17518 | PA      | $2263.83      | 0.00%             | 2043-10-01      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| CIFC European Funding CLO III DAC                                      | CIFC European Funding CLO III DAC, Series 3A, Class A                                            | CUSIP: N/A<br>LEI: 5493000EF0244RPYUG32       | Long             | ABS-CBDO         | CORP              | IE        |   1200000 | PA      | $1410853.45   | 0.35%             | 2034-01-15      | Floating      | 3.06%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01eE                                                             | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.12         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01EE                                                             | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |    318214 | PA      | $38989.54     | 0.01%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 23S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |    750601 | PA      | $94787.61     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                        | France Government Bond                                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |   3100000 | PA      | $4455104.25   | 1.10%             | 2026-03-01      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |     99562 | PA      | $10494.31     | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| French Republic                                                        | France Government Bond                                                                           | CUSIP: N/A<br>LEI: 969500KCGF3SUYJHPV70       | Long             | DBT              | NUSS              | FR        |    700000 | PA      | $957459.98    | 0.24%             | 2031-07-25      | Fixed         | 0.10%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series cce                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.28         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |    529320 | PA      | $65027.52     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 28S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |    359281 | PA      | $42428.60     | 0.01%             | 2053-10-01      | Fixed         | 2.00%                 | Yes           |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series CCE                                                                 | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |   1971834 | PA      | $239157.91    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 27S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.21         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| St Pauls CLO II DAC                                                    | St Pauls CLO II DAC, Series 2A, Class AR4                                                        | CUSIP: N/A<br>LEI: 549300HFD82A7GIR1V82       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $585700.29    | 0.14%             | 2035-10-25      | Floating      | 3.04%                 | Yes           |                  2 | On Loan: No      |
| Nordea Kredit Realkreditaktieselskab                                   | Nordea Kredit Realkreditaktieselskab                                                             | CUSIP: N/A<br>LEI: 52990080NNXXLC14OC65       | Long             | DBT              | CORP              | DK        |      1706 | PA      | $248.63       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Realkredit Danmark A/S                                                 | Realkredit Danmark A/S, Series 23S                                                               | CUSIP: N/A<br>LEI: 549300NLOMBOWE943Y30       | Long             | DBT              | CORP              | DK        |      7826 | PA      | $1140.40      | 0.00%             | 2047-04-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Nykredit Realkredit A/S                                                | Nykredit Realkredit A/S, Series 01E                                                              | CUSIP: N/A<br>LEI: LIU16F6VZJSD6UKHD557       | Long             | DBT              | CORP              | DK        |      1479 | PA      | $215.69       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | Yes           |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        |  70000000 | PA      | $461234.44    | 0.11%             | 2034-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Jyske Realkredit A/S                                                   | Jyske Realkredit A/S, Series 111E                                                                | CUSIP: N/A<br>LEI: 529900R9HQNZRT2OXB26       | Long             | DBT              | CORP              | DK        |      3875 | PA      | $560.90       | 0.00%             | 2047-10-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Japan                                                                  | Japan Government CPI Linked Bond                                                                 | CUSIP: N/A<br>LEI: 353800WZS8AXZXFUC241       | Long             | DBT              | NUSS              | JP        | 200000000 | PA      | $1270667.30   | 0.31%             | 2035-03-10      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| Canadian Dollar                                                        | Canadian Dollar                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CA        |      2918 | OU      | $2125.92      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Swiss Franc                                                            | Swiss Franc                                                                                      | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CH        |       984 | OU      | $1242.38      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Yuan Renminbi                                                          | Yuan Renminbi                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | CN        |       307 | OU      | $43.94        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Danish Krone                                                           | Danish Krone                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | DK        |    144302 | OU      | $22704.56     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| EURO                                                                   | EURO                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | XX        |     43572 | OU      | $51206.34     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 5 Year Notes                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       337 | NC      | $-118024.16   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Pound Sterling                                                         | Pound Sterling                                                                                   | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | GB        |     19243 | OU      | $25938.36     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| Forint                                                                 | Forint                                                                                           | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | HU        |    794746 | OU      | $2430.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Euro-BTP                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        43 | NC      | $-12489.32    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| New Israeli Sheqel                                                     | New Israeli Sheqel                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | IL        |       394 | OU      | $123.58       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Japan 10 Year Bonds                                                                              | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | JP        |        -3 | NC      | $17047.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Yen                                                                    | Yen                                                                                              | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | JP        |  16150486 | OU      | $103105.76    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Mexican Peso                                                           | Mexican Peso                                                                                     | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | MX        |       758 | OU      | $42.11        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Norwegian Krone                                                        | Norwegian Krone                                                                                  | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NO        |   1103660 | OU      | $109490.07    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| New Zealand Dollar                                                     | New Zealand Dollar                                                                               | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | NZ        |       154 | OU      | $88.85        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Euro-OAT                                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |      -133 | NC      | $172127.49    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| OCP Euro CLO DAC                                                       | OCP Euro CLO DAC, Series 2022-6A, Class ARR                                                      | CUSIP: N/A<br>LEI: 635400KHBQOJVEDAGW16       | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $704358.47    | 0.17%             | 2036-07-20      | Floating      | 3.24%                 | Yes           |                  2 | On Loan: No      |
| OCP Euro CLO DAC                                                       | OCP Euro CLO DAC, Series 2020-4A, Class ARR                                                      | CUSIP: N/A<br>LEI: 635400NSID6FARUW3W95       | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587380.24    | 0.14%             | 2039-10-20      | Floating      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | Euro-Bobl                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        -2 | NC      | $2072.32      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Contego CLO III BV                                                     | Contego CLO III BV, Series 3A, Class ARR                                                         | CUSIP: N/A<br>LEI: 724500XA96HF0GU8WL83       | Long             | ABS-CBDO         | CORP              | NL        |   2000000 | PA      | $2350797.22   | 0.58%             | 2038-04-15      | Floating      | 3.30%                 | Yes           |                  2 | On Loan: No      |
| Nuevo Sol                                                              | Nuevo Sol                                                                                        | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PE        |    730365 | OU      | $217299.40    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| Zloty                                                                  | Zloty                                                                                            | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | PL        |       726 | OU      | $202.09       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Euro-Bund                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |        37 | NC      | $-75909.29    | -0.02%            |  |  |  | No            |                  1 | On Loan: No      |
| Swedish Krona                                                          | Swedish Krona                                                                                    | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | SE        |   1111706 | OU      | $120752.27    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| Baht                                                                   | Baht                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | TH        |      1566 | OU      | $49.72        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 2 Year Notes                                                                       | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -137 | NC      | $-26923.51    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 10 Year Notes                                                                      | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |      -514 | NC      | $389387.38    | 0.10%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | Euro-Buxl                                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | DE        |       -21 | NC      | $42541.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury Long Bonds                                                                         | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       -79 | NC      | $48031.61     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                    | U.S. Treasury 10 Year Ultra Bonds                                                                | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       211 | NC      | $-135068.44   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| Republic of Italy                                                      | Italy Buoni Poliennali del Tesoro                                                                | CUSIP: N/A<br>LEI: 815600DE60799F5A9309       | Long             | DBT              | NUSS              | IT        |    600000 | PA      | $734418.10    | 0.18%             | 2036-05-15      | Fixed         | 1.80%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                    | U.S. Treasury Ultra Bonds                                                                        | CUSIP: N/A<br>LEI: N/A                        | N/A              | DIR              |  | US        |       106 | NC      | $-108029.02   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| CVC Cordatus Loan Fund XXI DAC                                         | CVC Cordatus Loan Fund XXI DAC, Series 21A, Class A1E                                            | CUSIP: N/A<br>LEI: 549300830IXOSQG2RQ34       | Long             | ABS-CBDO         | CORP              | IE        |   1000000 | PA      | $1174286.87   | 0.29%             | 2034-09-22      | Floating      | 2.99%                 | Yes           |                  2 | On Loan: No      |
| Barings Euro CLO DAC                                                   | Barings Euro CLO DAC, Series 2021-2A, Class A                                                    | CUSIP: N/A<br>LEI: 549300WLKHU1JJG5SG04       | Long             | ABS-CBDO         | CORP              | IE        |   2000000 | PA      | $2344507.55   | 0.58%             | 2034-10-15      | Floating      | 3.01%                 | Yes           |                  2 | On Loan: No      |
| Palmer Square European Loan Funding DAC                                | Palmer Square European Loan Funding DAC, Series 2023-3A, Class AR                                | CUSIP: N/A<br>LEI: 54930004WJL9ZPQZOM50       | Long             | ABS-CBDO         | CORP              | IE        |    215491 | PA      | $253279.74    | 0.06%             | 2033-05-15      | Floating      | 3.03%                 | Yes           |                  2 | On Loan: No      |
| Rand                                                                   | Rand                                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | STIV             |  | ZA        |       318 | OU      | $19.21        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Repurchase Agreement                                                   | Repurchase Agreement                                                                             | CUSIP: N/A<br>LEI: N/A                        | Long             | RA               | CORP              | US        |   8100000 | PA      | $8100000.00   | 2.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-01-30

**Name of Applicant:** NEW YORK LIFE INVESTMENTS VP FUNDS TRUST

**Signature:** Jack Benintende

**Name of Signer:** Jack Benintende

**Title:** Treasurer