# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000146
**Filing Date:** 2023-3
**Character Count:** 391453
**Document Hash:** 55b80bc49f113d1b8e171e64c97a4daf
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000146.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000146

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230301

**DATE AS OF CHANGE**: 20230228

**PERIOD START**: 20221231

**FILER**: 

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 23688679

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

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

## Series and Classes Contracts Data

### PIMCO International Bond Portfolio (U.S. Dollar-Hedged) (Series ID: S000009669)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026495 | Administrative | VPVFHIV         |
| C000026496 | Institutional  | VPVFHDV         |
| C000139585 | Advisor        | PVITFBP         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO International Bond Portfolio (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009669

- **c. LEI of Series:** 549300P9300R3FCSTO42

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $862171160.78

**Total Liabilities:** $300396000.63

**Net Assets:** $561775160.15

**Cash Not Reported:** $18491669.94

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -11730.652900 | **1-Year:** 12893.365000 | **5-Year:** 113427.709600 | **10-Year:** 114126.450800 | **30-Year:** 14825.355700

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

- **3-Month:** 2219.637300 | **1-Year:** 2082.503800 | **5-Year:** 7975.817700 | **10-Year:** 2330.641800 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026496 | 0.68%                | 1.73%                | -1.54%               |
| Class ID C000026495 | 0.67%                | 1.72%                | -1.55%               |
| Class ID C000139585 | 0.66%                | 1.71%                | -1.56%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6156073.30             | $1555201.37                                |
| Month 2  | $-3513109.57             | $29287496.29                               |
| Month 3  | $1791842.49              | $4072004.32                                |

**Designated Index Information**

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

- **Index Identifier:** LG38TRUH

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                           | 317U1Q9A3 PIMCO SWAPTION 3.14 PUT EUR 20230609          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-49216.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QJA2 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-2685.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QKA0 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-96.96       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QLA9 PIMCO SWAPTION 3.8 PUT USD 20230112           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-2014.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1QMA8 PIMCO SWAPTION 3.2 CALL USD 20230112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-72.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1S7A1 PIMCO SWAPTION 3.5 PUT USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-4843.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1S8A0 PIMCO SWAPTION 3.0 CALL USD 20230119          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-154.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SBA6 PIMCO SWAPTION 3.5 PUT USD 20230119           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-2421.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SCA5 PIMCO SWAPTION 3.0 CALL USD 20230119          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -200000 | NC      | $-77.06       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-8905.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-744.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1TAA5 PIMCO SWAPTION 3.77 PUT USD 20230123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-2041.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1TBA4 PIMCO SWAPTION 3.27 CALL USD 2023012          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -400000 | NC      | $-249.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-1.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U386O4 PIMCO FPPSWAPTION 2.6875 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8480.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-24097.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U389O1 PIMCO FPPSWAPTION 2.6875 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1756.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-5062.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5700000 | NC      | $-87846.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2800000 | NC      | $-0.90        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2800000 | NC      | $-43415.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U458O7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-10912.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U459O6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-0.30        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8253.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1855.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-3219.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-12119.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-12488.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-3082.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U749I9 PIMCO SWAPTION 2.31 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -22600000 | NC      | $-373557.66   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U750I5 PIMCO SWAPTION 2.18 PUT USD 20240111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    2600000 | NC      | $275543.58    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+29 AZD                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $9865.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+29.75 MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $4711.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+42 CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $6287.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS AUD R US3ML/AUD3MBBSW+42.25 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-9361.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 1.25000 06/17/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $545105.84    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.75000 03/15/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $151784.37    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-44017.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-25769.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 09/15/27-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-445822.24   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.00000 06/16/21-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-232027.88   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.22000 03/03/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-337697.93   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.25000 06/16/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1549015.13  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.50000 06/17/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-1248377.18  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.50000 06/17/20-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-159172.64   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.58500 07/19/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-135927.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.75000 12/16/16-30Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-147300.47   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 1.90000 12/18/19-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-673082.30   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 2.50000 06/19/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-302267.84   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CAD 2.75000 12/18/18-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-75310.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 2.50000 03/16/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-64639.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 2.50000 12/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $-74720.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-107723.72   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.05400 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $131493.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $320739.23    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.55000 08/10/22-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-27985.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-195139.07   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-132284.50   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.70000 04/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-105635.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 03/30/23-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-616923.84   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-194602.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-92689.44    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.50000 03/15/23-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-393026.92   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.50000 03/15/23-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1165752.98   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.50000 03/15/23-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-8542310.60  | -1.52%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.75000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-7996216.26  | -1.42%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-834308.54   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-20Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-281157.65   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $16126.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-9455.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.00000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-190661.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.00000 09/21/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-316722.38   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 3.25000 06/15/22-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-6127.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.87000 07/13/20-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $-155570.67   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.25000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $17384.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $893.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $10725.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y NGF                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $19664.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 03/16/22-10Y SCX                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $14301.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $6910.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.50000 09/21/22-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $8701.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.75000 09/21/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $7281.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 4.00000 09/21/22-5Y BOA                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $-38103.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 0.52750 03/17/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-14730.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.00000 11/01/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-216905.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.00000 12/15/22-1Y (WHT) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-276469.54   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 3.75000 06/15/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-182190.86   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 4.00000 06/14/23-1Y (RED) LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-383148.21   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     900000 | PA      | $856468.57    | 0.15%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS SEK 1.00000 06/19/19-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $-157103.79   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.00000 03/16/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-45337.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.50000 09/21/22-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $775.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 2.75000 09/21/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $25766.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $26420.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $61346.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS THB R 3.25000 06/15/22-10Y GLM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $28592.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 04/25 2.625  | CUSIP: ACI1J7WJ1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     500000 | PA      | $485690.77    | 0.09%             | 2025-04-28      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.40000 03/30/21-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $295492.49    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.75000 06/16/21-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $297914.33    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.24900 08/31/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $409122.04    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 12/15/21-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1526337.27   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 12/15/21-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1388083.74   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.29800 08/25/21-3Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $341859.75    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.63000 01/26/22-7Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-87685.59    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+7 03/07/22-24 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3663.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/1ML+7.25 04/27/22-23 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11712.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+10.2 10/04/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1663.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+10.5 09/27/22-24 CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4431.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD R 3ML/3ML+8.8 09/06/22-24 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12676.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS ZAR 7.25000 06/20/18-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $-505.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/5.75000 03/16/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $265868.11    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 03/16/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $21168.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 09/21/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-82765.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.25000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-33137.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.50000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $6283.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.50000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-11319.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.75000 09/21/22-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $46334.67     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/7.00000 09/21/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-64661.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/1.2500 09/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.50000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-35340.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.75000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-60278.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/2.75000 09/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-188616.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/3.00000 06/15/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-18183.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBCSORA/3.25000 12/21/22-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $4546.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 1.75000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $7117.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-4336.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y GST                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-19561.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y NGF                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-2178.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-2Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-19131.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.00000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $702.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-5381.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 09/21/22-5Y SCX                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-1844.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS THB P 2.25000/THORON 12/21/22-5Y BOA                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | TH        |          1 | NC      | $-8983.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/2.20893 07/06/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $390584.65    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/2.96466 10/05/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-688039.57   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/2.96815 10/05/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-271925.52   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-120923.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $-394653.03   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.00000 11/23/22-2Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-590496.39   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/0.01000 02/07/22-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-495289.36   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2742557.39  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                                  | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65   | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    2200000 | PA      | $541199.71    | 0.10%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-1424965.37  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.25000 03/15/23-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-896712.04   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.50000 03/15/23-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-549318.85   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-952305.63   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.2000 06/19/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-247507.27   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.00000 12/15/21-2Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-14410.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.0500 12/15/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-228088.06   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.2500 09/14/22-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-116939.93   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.4500 12/15/21-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $16451.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-351897.37   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $829441.05    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2059202.25  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.25000 12/15/21-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-481349.81   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.61750 02/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-238071.49   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.69500 06/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-462032.48   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1463825.30   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2190514.37   | 0.39%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $693147.85    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5310313.78   | 0.95%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $695979.37    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.88750 03/22/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-338819.02   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.93600 03/25/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-387438.55   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.11678 07/06/22-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $481467.17    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.17500 04/21/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-260140.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.74966 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $127312.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81711 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $240585.41    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81811 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $201066.17    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.81856 09/30/22-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $161746.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.90550 09/16/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-84774.13    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1404202.16   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.05000 09/08/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10819.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.10000 09/09/22-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-56081.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.45389 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-46373.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-60867.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.89765 12/30/22-6Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $57633.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 03/26 1.849             | CUSIP: 05964HAL9<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $176752.80    | 0.03%             | 2026-03-25      | Fixed         | 1.85%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                            | BANCO SANTANDER SA SR UNSECURED 04/23 3.848             | CUSIP: 05964HAG0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $198954.31    | 0.04%             | 2023-04-12      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | TESCO PLC SNR SE ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $1344.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1814712.63  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1577029.51  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1546400.23  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20230113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-2034.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $79392.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1811394.74  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 02/28 VAR             | CUSIP: 06051GKJ7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     500000 | PA      | $444796.23    | 0.08%             | 2028-02-04      | Floating      | 2.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-118.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 02/33 VAR             | CUSIP: 06051GKK4<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     500000 | PA      | $404099.63    | 0.07%             | 2033-02-04      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  MAR23 IFLL 20230329                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        -48 | NC      | $378886.32    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         74 | NC      | $-31898.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -359 | NC      | $236700.37    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/28 VAR             | CUSIP: 06051GKP3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1149441.43   | 0.20%             | 2028-04-27      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -159 | NC      | $-30635.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) MAR23 XCBT 20230331                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        314 | NC      | $-75234.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US LONG BOND(CBT) MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -23 | NC      | $13803.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT MAR23 XCBT 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          9 | NC      | $127.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1         | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      17482 | PA      | $15615.28     | 0.00%             | 2036-02-25      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/23 VAR     | CUSIP: 07274NAG8<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498987.93    | 0.09%             | 2023-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291008.95    | 0.05%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375   | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $282219.06    | 0.05%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                             | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1649343.57   | 0.29%             | 2036-12-16      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                          | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14097 | PA      | $10172.26     | 0.00%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2         | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        561 | PA      | $530.56       | 0.00%             | 2033-08-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                               | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13393 | PA      | $8325.17      | 0.00%             | 2035-09-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                               | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14058 | PA      | $11273.68     | 0.00%             | 2035-11-25      | Floating      | 3.76%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1              | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74080 | PA      | $57215.33     | 0.01%             | 2036-03-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25683 | PA      | $13667.63     | 0.00%             | 2036-08-25      | Floating      | 3.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                               | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19544 | PA      | $17300.80     | 0.00%             | 2034-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XII LTD 2017-12A                                  | BENEFIT STREET PARTNERS CLO LT BSP 2017 12A A1R 144A    | CUSIP: 08179HAE0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1678444.85   | 0.30%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2015-1 DESIGNATED ACTIVITY CO 15-1A                         | BLACK DIAMOND CLO LTD BLACK 2015 1A A1R 144A            | CUSIP: ACI0ZL547<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      18582 | PA      | $19792.75     | 0.00%             | 2029-10-03      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                            | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 06/34 3.5    | CUSIP: ACI25ZFG7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     600000 | PA      | $545906.12    | 0.10%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN FUJI EUR CLO II DAC 17-2A                                        | BLUEMOUNTAIN EUR CLO BLUME 2017 2A AR 144A              | CUSIP: ACI1VBS38<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1173848 | PA      | $1227495.35   | 0.22%             | 2030-07-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 01/28 VAR                 | CUSIP: 09659W2T0<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $704702.15    | 0.13%             | 2028-01-20      | Floating      | 2.59%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 06/27 VAR                 | CUSIP: 09659W2Q6<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    1000000 | PA      | $871458.05    | 0.16%             | 2027-06-30      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED 144A 09/29 VAR                 | CUSIP: 09659W2R4<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     800000 | PA      | $653593.63    | 0.12%             | 2029-09-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                                   | BNP PARIBAS SR UNSECURED REGS 09/28 VAR                 | CUSIP: 09659X2M3<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $417109.06    | 0.07%             | 2028-09-30      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/24 1.95                       | CUSIP: 097023CZ6<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $96377.38     | 0.02%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/26 2.75                       | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1670120.03   | 0.30%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/28 3.25                       | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     400000 | PA      | $363947.71    | 0.06%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/31 2.45               | CUSIP: 11135FBH3<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     400000 | PA      | $315981.66    | 0.06%             | 2031-02-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/33 2.6                | CUSIP: 11135FBF7<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     300000 | PA      | $225978.19    | 0.04%             | 2033-02-15      | Fixed         | 2.60%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/34 3.469              | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |     300000 | PA      | $240210.41    | 0.04%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BUSINESS MORTGAGE FINANCE 7 PLC X                                             | BUSINESS MORTGAGE FINANCE PLC BUMF 7X A1 REGS           | CUSIP: ACI085MJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      30416 | PA      | $36655.87     | 0.01%             | 2041-02-15      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO IV BV 14-4A                                                         | CAIRN CLO DAC CRNCL 2014 4A ARRR 144A                   | CUSIP: ACI1W1H64<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1085455 | PA      | $1133324.21   | 0.20%             | 2031-04-30      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA JR SUBORDINA REGS 12/99 VAR                | CUSIP: ACI1RXY95<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $196656.56    | 0.04%             | 2027-10-09      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| CAMPBELL SOUP COMPANY                                                         | CAMPBELL SOUP CO SR UNSECURED 03/23 3.65                | CUSIP: 134429BE8<br>LEI: 5493007JDSMX8Z5Z1902 | Long             | DBT              | CORP              | US        |     229000 | PA      | $228392.83    | 0.04%             | 2023-03-15      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 12/51 2                       | CUSIP: 135087H72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    4800000 | PA      | $2695434.79   | 0.48%             | 2051-12-01      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     532204 | PA      | $409291.45    | 0.07%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2013-1A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2013 1A A1RR 144A   | CUSIP: 14310BAU5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1680776 | PA      | $1662578.99   | 0.30%             | 2030-08-14      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                                          | CHARTER COMMUNICATIONS OPERATI 2019 TERM LOAN B2        | CUSIP: 16117LBX6<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     561786 | PA      | $549426.88    | 0.10%             | 2027-02-01      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 02/28 3.75          | CUSIP: 161175BJ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     100000 | PA      | $90341.84     | 0.02%             | 2028-02-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 06/62 3.95          | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $534138.71    | 0.10%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23587 | PA      | $19653.59     | 0.00%             | 2037-07-25      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 04/51 3.72                  | CUSIP: ACI1X4BQ9<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   13000000 | PA      | $2026869.22   | 0.36%             | 2051-04-12      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 05/28 3.01                  | CUSIP: ACI1XSY40<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    3800000 | PA      | $554895.53    | 0.10%             | 2028-05-13      | Fixed         | 3.01%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 05/30 2.68                  | CUSIP: ACI1MK202<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    9600000 | PA      | $1366886.93   | 0.24%             | 2030-05-21      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   28000000 | PA      | $4234277.19   | 0.75%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND UNSECURED 09/50 3.81              | CUSIP: ACI1RLL61<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   25900000 | PA      | $4091942.22   | 0.73%             | 2050-09-14      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                      | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1782066.04   | 0.32%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 02/28 VAR                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $902959.51    | 0.16%             | 2028-02-24      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED 03/33 VAR                    | CUSIP: 172967NN7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     900000 | PA      | $772179.08    | 0.14%             | 2033-03-17      | Floating      | 3.79%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV2                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV2 A3A 144A  | CUSIP: 17329RAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     780015 | PA      | $629875.93    | 0.11%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1821987 | PA      | $1529422.11   | 0.27%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 8 A3 144A      | CUSIP: 17310CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1036425 | PA      | $564307.12    | 0.10%             | 2035-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     393425 | PA      | $221811.92    | 0.04%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1745105 | PA      | $1717371.34   | 0.31%             | 2037-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1209 | PA      | $1180.12      | 0.00%             | 2035-09-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2          | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      94246 | PA      | $80228.86     | 0.01%             | 2035-09-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6        | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1200000 | PA      | $1122201.72   | 0.20%             | 2035-07-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE FINANCIAL INC                                                      | COREBRIDGE FINANCIAL INC SR UNSECURED 144A 04/27 3.65   | CUSIP: 21871XAC3<br>LEI: 549300XY1661QCIA7J65 | Long             | DBT              | CORP              | US        |     500000 | PA      | $466847.51    | 0.08%             | 2027-04-05      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6051 | PA      | $5129.63      | 0.00%             | 2035-11-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23978 | PA      | $19492.42     | 0.00%             | 2035-12-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25360 | PA      | $20604.05     | 0.00%             | 2037-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32034 | PA      | $25004.68     | 0.00%             | 2046-03-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3769 | PA      | $2932.04      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 2A3          | CUSIP: 12667HAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      24425 | PA      | $24367.90     | 0.00%             | 2047-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233092 | PA      | $210610.80    | 0.04%             | 2035-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A           | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     731133 | PA      | $670209.29    | 0.12%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A          | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1122501 | PA      | $1085932.48   | 0.19%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5          | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     417415 | PA      | $406821.01    | 0.07%             | 2035-04-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A           | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274151 | PA      | $251410.78    | 0.04%             | 2036-12-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A           | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     245957 | PA      | $217975.39    | 0.04%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A           | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308142 | PA      | $282308.17    | 0.05%             | 2037-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     214521 | PA      | $193691.66    | 0.03%             | 2037-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6            | CUSIP: 12668WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     131324 | PA      | $118203.28    | 0.02%             | 2035-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                     | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                 | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     197366 | PA      | $190110.16    | 0.03%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-12                                                | COUNTRYWIDE HOME LOANS CWHL 2004 12 11A1                | CUSIP: 12669FN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        974 | PA      | $966.73       | 0.00%             | 2034-08-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2503 | PA      | $2262.25      | 0.00%             | 2034-11-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3084 | PA      | $2744.95      | 0.00%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                  | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10910 | PA      | $9138.24      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6623 | PA      | $5339.08      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2647 | PA      | $2355.88      | 0.00%             | 2035-03-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12642 | PA      | $10215.01     | 0.00%             | 2035-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| CPI PROPERTY GROUP SA                                                         | CPI PROPERTY GROUP SA SR UNSECURED REGS 05/26 2.75      | CUSIP: ACI1M88D5<br>LEI: 222100CO2ZOTEPGJO223 | Long             | DBT              | CORP              | LU        |     300000 | PA      | $252922.22    | 0.05%             | 2026-05-12      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     348185 | PA      | $309776.03    | 0.06%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/ ZURICH BRANCH                                               | CREDIT SUISSE AG SUBORDINATED REGS 08/23 6.5            | CUSIP: ACI06K5Q2<br>LEI: ANGGYXNX0JLX3X63JN86 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $679494.20    | 0.12%             | 2023-08-08      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR      | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $262800.00    | 0.05%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 06/23 3.8           | CUSIP: 225433AT8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     800000 | PA      | $779135.42    | 0.14%             | 2023-06-09      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 01/28 4.282    | CUSIP: 225401AC2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     250000 | PA      | $207587.61    | 0.04%             | 2028-01-09      | Fixed         | 4.28%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 01/29 VAR      | CUSIP: 225401AF5<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |     800000 | PA      | $642407.27    | 0.11%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 04/31 VAR      | CUSIP: 225401AP3<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1200000 | PA      | $933859.62    | 0.17%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 06/26 VAR      | CUSIP: 225401AQ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1200000 | PA      | $1025880.01   | 0.18%             | 2026-06-05      | Floating      | 2.19%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/33 VAR      | CUSIP: 225401AZ1<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    1800000 | PA      | $1583809.16   | 0.28%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A           | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     149928 | PA      | $36680.81     | 0.01%             | 2037-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 6A3            | CUSIP: 22942KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     703815 | PA      | $505728.13    | 0.09%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XV 2017-1A                                               | CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A     | CUSIP: 22616CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1535391 | PA      | $1516198.55   | 0.27%             | 2030-04-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        355 | PA      | $336.90       | 0.00%             | 2032-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1          | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        117 | PA      | $114.03       | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                            | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $831638.80    | 0.15%             | 2031-10-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| DELL INTERNATIONAL LLC / EMC CORP                                             | DELL INT LLC / EMC CORP SR UNSECURED 07/30 6.2          | CUSIP: 24703TAH9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $203818.36    | 0.04%             | 2030-07-15      | Fixed         | 6.20%                 | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $753207.62    | 0.13%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546038 | PA      | $434940.38    | 0.08%             | 2047-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/24 VAR                 | CUSIP: 251526CC1<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1800000 | PA      | $1738976.60   | 0.31%             | 2024-09-18      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 09/31 VAR                 | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1000000 | PA      | $803853.10    | 0.14%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SR UNSECURED 11/25 VAR                 | CUSIP: 251526CB3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1250000 | PA      | $1195347.95   | 0.21%             | 2025-11-26      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY SUBORDINATED 01/32 VAR                 | CUSIP: 251526CF4<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1100000 | PA      | $808735.79    | 0.14%             | 2032-01-14      | Floating      | 3.73%                 | Yes           |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 01/27 1.625          | CUSIP: ACI1J0CL3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    2200000 | PA      | $2080015.67   | 0.37%             | 2027-01-20      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 02/26 2.625          | CUSIP: ACI183TV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1200000 | PA      | $1213621.26   | 0.22%             | 2026-02-12      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 11/30 VAR            | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     600000 | PA      | $505836.84    | 0.09%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG SR UNSECURED REGS 12/24 2.625          | CUSIP: ACI1J0BM2<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     300000 | PA      | $337249.31    | 0.06%             | 2024-12-16      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                           | DEVELOPMENT BK OF JAPAN GOVT GUARANT 144A 08/24 1.75    | CUSIP: 25159MAX5<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    1400000 | PA      | $1325485.00   | 0.24%             | 2024-08-28      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| DNB BOLIGKREDITT AS                                                           | DNB BOLIGKREDITT AS COVERED 144A 06/23 3.25             | CUSIP: 25600WAG5<br>LEI: 5967007LIEEXZX659K67 | Long             | DBT              | CORP              | NO        |     500000 | PA      | $495512.22    | 0.09%             | 2023-06-28      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     200000 | PA      | $161182.25    | 0.03%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DRYDEN 61 CLO LTD 2018-61A                                                    | DRYDEN SENIOR LOAN FUND DRSLF 2018 61A A1R 144A         | CUSIP: 26251CAQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1670247.45   | 0.30%             | 2032-01-17      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     900000 | PA      | $934720.60    | 0.17%             | 2033-04-15      | Floating      | 2.04%                 | No            |                  2 | On Loan: No      |
| ELEVATION CLO LTD 2017-8A                                                     | ELEVATION CLO LTD AWPT 2017 8A A1R2 144A                | CUSIP: 28622VAN0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1669618.62   | 0.30%             | 2030-10-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                                 | ENEL FINANCE INTL NV COMPANY GUAR 144A 09/24 2.65       | CUSIP: 29278GAL2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    1300000 | PA      | $1244675.09   | 0.22%             | 2024-09-10      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     178189 | PA      | $205537.49    | 0.04%             | 2044-06-15      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                                | EUROPEAN INVESTMENT BANK SR UNSECURED 06/23 0.5         | CUSIP: B764JTII8<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |     500000 | PA      | $335346.33    | 0.06%             | 2023-06-21      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EUROPEAN INVESTMENT BANK (EIB)                                                | EUROPEAN INVESTMENT BANK SR UNSECURED REGS 08/23 0.5    | CUSIP: B42XTXII5<br>LEI: 5493006YXS1U5GIHE750 | Long             | DBT              | CORP              | N/A       |     400000 | PA      | $266899.22    | 0.05%             | 2023-08-10      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     243464 | PA      | $290991.17    | 0.05%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1561908 | PA      | $1519228.74   | 0.27%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED 144A 03/28 2.75     | CUSIP: BD9MMZII4<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $468402.40    | 0.08%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                            | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        620 | PA      | $618.14       | 0.00%             | 2034-03-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                            | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        553 | PA      | $535.44       | 0.00%             | 2034-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                            | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8815 | PA      | $8670.53      | 0.00%             | 2036-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                             | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2748 | PA      | $2730.49      | 0.00%             | 2035-05-25      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                                  | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7224 | PA      | $7063.36      | 0.00%             | 2042-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                 | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4509 | PA      | $4545.18      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G0159 FH 03/35 FLOATING VAR          | CUSIP: 3128NCE83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        168 | PA      | $162.99       | 0.00%             | 2035-03-01      | Floating      | 2.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G0173 FH 04/35 FLOATING VAR          | CUSIP: 3128NCFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9655 | PA      | $9473.76      | 0.00%             | 2035-04-01      | Floating      | 2.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 847040 FH 02/29 FLOATING VAR          | CUSIP: 3128HDZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         92 | PA      | $90.83        | 0.00%             | 2029-02-01      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     476430 | PA      | $405235.83    | 0.07%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1922332 | PA      | $1632932.80   | 0.29%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     159956 | PA      | $150283.13    | 0.03%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16566 | PA      | $16506.57     | 0.00%             | 2044-10-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                                    | FIDELITY NATL INFO SERV COMPANY GUAR 05/23 0.75         | CUSIP: ACI1C01S7<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |     300000 | PA      | $318777.72    | 0.06%             | 2023-05-21      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FINSBURY SQUARE 2020-1 PLC 20-1A                                              | FINSBURY SQUARE FSQ 2020 1A A 144A                      | CUSIP: ACI1JHW34<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     428175 | PA      | $516409.60    | 0.09%             | 2070-03-16      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1         | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     609954 | PA      | $563034.66    | 0.10%             | 2036-07-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1093 | PA      | $1085.09      | 0.00%             | 2034-12-01      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5074 | PA      | $4835.19      | 0.00%             | 2044-10-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7701 | PA      | $7893.34      | 0.00%             | 2034-11-01      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |      31445 | PA      | $301428.42    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    4243989 | PA      | $41234597.23  | 7.34%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1006827 | PA      | $924917.86    | 0.16%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     582939 | PA      | $513914.96    | 0.09%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139867 | PA      | $129754.20    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BR1297 FN 02/51 FIXED 2.5                     | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     160055 | PA      | $136144.56    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1005859 | PA      | $891411.19    | 0.16%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     456365 | PA      | $431992.86    | 0.08%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101357 | PA      | $97576.72     | 0.02%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     284806 | PA      | $262090.55    | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     553526 | PA      | $509750.02    | 0.09%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM7441 FN 05/51 FIXED VAR                     | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      79939 | PA      | $70568.49     | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/25 4.535       | CUSIP: ACI1989Q0<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     500000 | PA      | $575972.24    | 0.10%             | 2025-03-06      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 06/24 2.748       | CUSIP: ACI1TC740<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $458262.21    | 0.08%             | 2024-06-14      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 07/24 1.744       | CUSIP: ACI1K2ZL2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $409962.46    | 0.07%             | 2024-07-19      | Fixed         | 1.74%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/23 3.37        | CUSIP: 345397A78<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     600000 | PA      | $586062.84    | 0.10%             | 2023-11-17      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/23 VAR         | CUSIP: ACI12NHW2<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     100000 | PA      | $105425.57    | 0.02%             | 2023-11-15      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $362313.14    | 0.06%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5              | CUSIP: ACI1V7HH8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1000000 | PA      | $399175.96    | 0.07%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 05/52 0.75                  | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    4650000 | PA      | $2628650.77   | 0.47%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) UNSECURED 144A REGS 05/48 2            | CUSIP: ACI0V7KW3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    6200000 | PA      | $5130394.92   | 0.91%             | 2048-05-25      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2610                                                              | FREDDIE MAC FHR 2610 FD                                 | CUSIP: 31393QX80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1960 | PA      | $1936.86      | 0.00%             | 2032-12-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                              | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2770 | PA      | $2743.82      | 0.00%             | 2037-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139893 | PA      | $139997.50    | 0.02%             | 2038-01-15      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     139893 | PA      | $5228.45      | 0.00%             | 2038-01-15      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     400000 | PA      | $352640.32    | 0.06%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                            | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2063775.00   | 0.37%             | 2031-07-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080187 G2 04/28 FLOATING VAR               | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        116 | PA      | $113.65       | 0.00%             | 2028-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080397 G2 04/30 FLOATING VAR               | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        135 | PA      | $132.61       | 0.00%             | 2030-04-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        309 | PA      | $303.46       | 0.00%             | 2030-05-20      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080414 G2 06/30 FLOATING VAR               | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        452 | PA      | $446.78       | 0.00%             | 2030-06-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158 | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     600000 | PA      | $539378.28    | 0.10%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 02/28 VAR          | CUSIP: 38141GZK3<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1800000 | PA      | $1605258.18   | 0.29%             | 2028-02-24      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 03/28 VAR          | CUSIP: 38141GZR8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1586012.25   | 0.28%             | 2028-03-15      | Floating      | 3.62%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 07/26 1.625   | CUSIP: ACI0NSPW1<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $799850.14    | 0.14%             | 2026-07-27      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| GOODMAN US FINANCE THREE LLC                                                  | GOODMAN US FIN THREE COMPANY GUAR 144A 03/28 3.7        | CUSIP: 38239JAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     600000 | PA      | $542461.99    | 0.10%             | 2028-03-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1336262 | PA      | $1319735.72   | 0.23%             | 2066-05-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA          | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     864213 | PA      | $855970.71    | 0.15%             | 2066-06-20      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F           | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     379939 | PA      | $375777.57    | 0.07%             | 2066-11-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10251 | PA      | $9796.08      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC          | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4659 | PA      | $4407.89      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                             | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1741487.76   | 0.31%             | 2036-12-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR2                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR2 A2 144A    | CUSIP: 36262JAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     700402 | PA      | $565587.01    | 0.10%             | 2052-02-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     449538 | PA      | $363009.85    | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-HP1                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 HP1 A2 144A    | CUSIP: 36262RAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1521347 | PA      | $1228514.40   | 0.22%             | 2052-01-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     353424 | PA      | $285396.20    | 0.05%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-GR2                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2022 GR2 A2 144A    | CUSIP: 36267BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1885569 | PA      | $1573403.25   | 0.28%             | 2052-08-26      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-MM1                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2022 MM1 A2 144A    | CUSIP: 36266PAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1194831 | PA      | $964847.19    | 0.17%             | 2052-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3045062 | PA      | $2458941.40   | 0.44%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE6                                                          | GSAMP TRUST GSAMP 2005 HE6 M3                           | CUSIP: 362341G60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $794246.30    | 0.14%             | 2035-11-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                         | GSAMP TRUST GSAMP 2005 WMC2 M1                          | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058506 | PA      | $918519.27    | 0.16%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| GSK CONSUMER HEALTHCARE CAPITAL UK PLC                                        | GSK CONSUMER HEALTHCARE COMPANY GUAR 03/25 3.125        | CUSIP: 36264NAB0<br>LEI: 5493004B26DRJNN0OV17 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $856647.95    | 0.15%             | 2025-03-24      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                               | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                 | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9834 | PA      | $8536.71      | 0.00%             | 2034-12-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1                | CUSIP: 36242DH89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32070 | PA      | $30900.89     | 0.01%             | 2035-04-25      | Floating      | 2.52%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15614 | PA      | $15014.21     | 0.00%             | 2036-01-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| HALSEYPOINT CLO 3 LTD 2020-3A                                                 | HALSEYPOINT CLO 3, LTD. HLSY 2020 3A A1A 144A           | CUSIP: 40638UAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1579885.28   | 0.28%             | 2032-11-30      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| HOMEWARD OPPORTUNITIES FUND I TRUST 2020-2                                    | HOMEWARD OPPORTUNITIES FUND I HOF 2020 2 A1 144A        | CUSIP: 43789XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23113 | PA      | $22985.55     | 0.00%             | 2065-05-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $922986.61    | 0.16%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/24 VAR                | CUSIP: 404280BR9<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     300000 | PA      | $298893.04    | 0.05%             | 2024-05-18      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $737952.05    | 0.13%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED REGS 02/24 VAR           | CUSIP: ACI0YTRJ4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $1564627.54   | 0.28%             | 2024-02-16      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3        | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     632033 | PA      | $335872.15    | 0.06%             | 2037-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                      | HYATT HOTELS CORP SR UNSECURED 10/23 1.3                | CUSIP: 448579AL6<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291704.38    | 0.05%             | 2023-10-01      | Fixed         | 1.30%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246075 | PA      | $214744.32    | 0.04%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9419 | PA      | $8689.81      | 0.00%             | 2035-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     437768 | PA      | $289546.37    | 0.05%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL FIXED BOND BONDS 03/27 2                         | CUSIP: ACI0RRBN4<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    4400000 | PA      | $1188695.19   | 0.21%             | 2027-03-31      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 02/23 0.00000                   | CUSIP: ACI25P422<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   21776000 | PA      | $6172476.37   | 1.10%             | 2023-02-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 03/23 0.00000                   | CUSIP: ACI240MX0<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |    3700000 | PA      | $1046417.19   | 0.19%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 04/23 0.00000                   | CUSIP: ACI254262<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   14000000 | PA      | $3945466.57   | 0.70%             | 2023-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | ISRAEL MAKAM BILL BILLS 05/23 0.00000                   | CUSIP: ACI25PW54<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   10300000 | PA      | $2895942.77   | 0.52%             | 2023-05-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     400000 | PA      | $488460.05    | 0.09%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2021-INV5                                          | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV5 A2 144A        | CUSIP: 46653XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1488452 | PA      | $1247591.33   | 0.22%             | 2051-12-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO VI-R LTD 2020-15A                                               | JAMESTOWN CLO LTD JTWN 2020 15A A 144A                  | CUSIP: 47050EAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1278622.46   | 0.23%             | 2033-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/35 1.2                   | CUSIP: ACI0GYYD8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1340000000 | PA      | $10656798.23  | 1.90%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  740000000 | PA      | $4415867.11   | 0.79%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/46 0.3                   | CUSIP: ACI0MYW19<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  620000000 | PA      | $3676679.37   | 0.65%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  202000000 | PA      | $1254604.08   | 0.22%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  612000000 | PA      | $3865056.99   | 0.69%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  471694500 | PA      | $3718134.41   | 0.66%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI28ZYN8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 4120000000 | PA      | $31393998.17  | 5.59%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI2946L1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2790000000 | PA      | $21260080.61  | 3.78%             | 2023-01-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI298TG8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 2090000000 | PA      | $15926583.52  | 2.84%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 01/23 0.00000            | CUSIP: ACI29DFN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 1720000000 | PA      | $13107529.72  | 2.33%             | 2023-01-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI29L6H2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  440000000 | PA      | $3353209.69   | 0.60%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI29XT99<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  520000000 | PA      | $3963030.78   | 0.71%             | 2023-02-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI2B3GL9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 3280000000 | PA      | $24998478.51  | 4.45%             | 2023-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN TREASURY DISC BILL BILLS 02/23 0.00000            | CUSIP: ACI2B8F47<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  740000000 | PA      | $5640109.27   | 1.00%             | 2023-02-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 02/28 VAR              | CUSIP: 46647PCW4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1177848.09   | 0.21%             | 2028-02-24      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 04/28 VAR              | CUSIP: 46647PDA1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1052183.24   | 0.19%             | 2028-04-26      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11918 | PA      | $8855.62      | 0.00%             | 2036-02-25      | Floating      | 3.48%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      35369 | PA      | $32164.90     | 0.01%             | 2037-07-27      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                  | 7 ELEVEN INC SR UNSECURED 144A 02/23 0.625              | CUSIP: 817826AA8<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1591866.83   | 0.28%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4561610 | PA      | $3823451.19   | 0.68%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4480685 | PA      | $3755621.62   | 0.67%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2859324 | PA      | $2396628.55   | 0.43%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| 7-ELEVEN INC                                                                  | 7 ELEVEN INC SR UNSECURED 144A 02/24 0.8                | CUSIP: 817826AB6<br>LEI: 549300K23JPL0SS3LB18 | Long             | DBT              | CORP              | US        |     200000 | PA      | $190409.03    | 0.03%             | 2024-02-10      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2014-XI BV 14-11A                                                 | JUBILEE CDO BV JUBIL 2014 11A ARR 144A                  | CUSIP: ACI1W2T93<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     800000 | PA      | $837142.98    | 0.15%             | 2030-04-15      | Floating      | 1.99%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                               | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     500000 | PA      | $510176.75    | 0.09%             | 2031-04-15      | Floating      | 2.03%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   14896669 | PA      | $1491468.17   | 0.27%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1.5                  | CUSIP: BD9H2PII9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1987943 | PA      | $208483.90    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1853846 | PA      | $206552.24    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT KGS                                                          | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |   23428622 | PA      | $2485184.99   | 0.44%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| KILROY REALTY LP                                                              | KILROY REALTY LP COMPANY GUAR 12/24 3.45                | CUSIP: 49427RAM4<br>LEI: 5493008CT3N3JR7P1552 | Long             | DBT              | CORP              | US        |     100000 | PA      | $95791.78     | 0.02%             | 2024-12-15      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                             | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                  | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1640956.62   | 0.29%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LCM LP 13A                                                                    | LCM LTD PARTNERSHIP LCM 13A AR3 144A                    | CUSIP: 50184KBL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1476964 | PA      | $1461021.98   | 0.26%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XX LP 20A                                                                 | LCM LTD PARTNERSHIP LCM 20A AR 144A                     | CUSIP: 50188WAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     397440 | PA      | $395609.17    | 0.07%             | 2027-10-20      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2021-1A                                             | REACH FINANCIAL LLC REACH 2021 1A A 144A                | CUSIP: 53934QAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     461876 | PA      | $446091.74    | 0.08%             | 2029-05-15      | Fixed         | 1.07%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED REGS 11/23 3.9    | CUSIP: ACI12SMB1<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $536915.56    | 0.10%             | 2023-11-23      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                 | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1648816.40   | 0.29%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12369 | PA      | $11330.05     | 0.00%             | 2034-10-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LUMEN TECHNOLOGIES INC                                                        | CENTURYLINK INC 2020 TERM LOAN B                        | CUSIP: 15669GAH7<br>LEI: 8M3THTGWLTYZVE6BBY25 | Long             | LON              | CORP              | US        |     374036 | PA      | $355901.30    | 0.06%             | 2027-03-15      | Floating      | 6.63%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 03/23 3.48                    | CUSIP: ACI05FPC3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   17100000 | PA      | $3885812.81   | 0.69%             | 2023-03-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA INVESTMNT ISSUE BONDS 05/23 3.151              | CUSIP: ACI1H6NK2<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     400000 | PA      | $90833.03     | 0.02%             | 2023-05-15      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                     | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1038462.70   | 0.18%             | 2031-12-15      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                       | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1197535.78   | 0.21%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                                 | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      74451 | PA      | $86550.41     | 0.02%             | 2049-12-15      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| MARATHON CLO V LTD 2013-5A                                                    | MARATHON CLO LTD MCLO 2013 5A A1R 144A                  | CUSIP: 56576QAN8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      21581 | PA      | $21604.19     | 0.00%             | 2027-11-21      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO X LTD 2017-1A                                                | MARBLE POINT CLO X LTD MP10 2017 1A AR 144A             | CUSIP: 566061AL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     900000 | PA      | $882618.49    | 0.16%             | 2030-10-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| MARKS AND SPENCER PLC                                                         | MARKS + SPENCER PLC SR UNSECURED REGS 05/26 3.75        | CUSIP: ACI1STT40<br>LEI: 213800CN1RI3UCIZWB95 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $528366.81    | 0.09%             | 2026-05-19      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                                  | ACE SECURITIES CORP. ACE 2006 NC2 A1                    | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1004289 | PA      | $754912.82    | 0.13%             | 2036-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                           | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5           | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |     400000 | PA      | $423463.00    | 0.08%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                        | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1547 | PA      | $1447.98      | 0.00%             | 2030-12-15      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| MERLIN PROPERTIES SOCIMI SA                                                   | MERLIN PROPERTIES SOCIMI SR UNSECURED REGS 04/23 2.225  | CUSIP: BZBXG0II2<br>LEI: 959800L8KD863DP30X04 | Long             | DBT              | CORP              | ES        |     200000 | PA      | $213457.91    | 0.04%             | 2023-04-25      | Fixed         | 2.23%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C        | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1047180 | PA      | $557053.68    | 0.10%             | 2037-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| METROPOLIS OF TOKYO JAPAN                                                     | TOKYO METROPOLITAN GOVT SR UNSECURED 144A 07/25 0.75    | CUSIP: 59173LAD2<br>LEI: 353800FABE4GGB1BMO18 | Long             | DBT              | NUSS              | JP        |    2100000 | PA      | $1891869.76   | 0.34%             | 2025-07-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL5 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL5 A 144A      | CUSIP: 55282XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |     376516 | PA      | $367507.78    | 0.07%             | 2036-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1734050.70   | 0.31%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     587275 | PA      | $529414.56    | 0.09%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     213556 | PA      | $193123.96    | 0.03%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| MGM CHINA HOLDINGS LIMITED                                                    | MGM CHINA HOLDINGS LTD SR UNSECURED 144A 02/27 4.75     | CUSIP: 55300RAG6<br>LEI: 529900VZFN87OS7WJM66 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $442971.13    | 0.08%             | 2027-02-01      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MIDOCEAN CREDIT CLO II 2013-2A                                                | MIDOCEAN CREDIT CLO MIDO 2013 2A ARR 144A               | CUSIP: 59863KAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1362926 | PA      | $1347190.47   | 0.24%             | 2030-01-29      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| MILEAGE PLUS HOLDINGS LLC / MILEAGE PLUS INTELLECTUAL PROPERTY ASSETS LTD     | MILEAGE PLUS HLDINGS LLC SR SECURED 144A 06/27 6.5      | CUSIP: 599191AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     630041 | PA      | $627773.62    | 0.11%             | 2027-06-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR           | CUSIP: 60687YAS8<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $492096.72    | 0.09%             | 2024-09-11      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                    | MIZUHO FINANCIAL GROUP SR UNSECURED 09/24 VAR           | CUSIP: 60687YAU3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     900000 | PA      | $897734.21    | 0.16%             | 2024-09-11      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 02/26 VAR                   | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $939781.57    | 0.17%             | 2026-02-18      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      97709 | PA      | $86061.97     | 0.02%             | 2036-10-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1630322.44   | 0.29%             | 2023-12-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2          | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798303 | PA      | $404828.97    | 0.07%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3          | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     640580 | PA      | $356089.24    | 0.06%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12056 | PA      | $11512.36     | 0.00%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3         | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     136698 | PA      | $32924.53     | 0.01%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| MOUNTAIN VIEW CLO LLC 2017-1A                                                 | MOUNTAIN VIEW CLO MVEW 2017 1A AR 144A                  | CUSIP: 62432HAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1401273 | PA      | $1386339.89   | 0.25%             | 2029-10-16      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1056457.85   | 0.19%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 03/24 VAR     | CUSIP: 63861VAA5<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1193507.56   | 0.21%             | 2024-03-08      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $453773.86    | 0.08%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                           | NATWEST MARKETS PLC SR UNSECURED REGS 05/24 1           | CUSIP: ACI1C3V82<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $826301.15    | 0.15%             | 2024-05-28      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $525442.81    | 0.09%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     862187 | PA      | $805127.44    | 0.14%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     726434 | PA      | $665518.60    | 0.12%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3           | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $503751.26    | 0.09%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GOVERNMENT BONDS 05/31 1.5                  | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     700000 | PA      | $353907.27    | 0.06%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     163725 | PA      | $184351.65    | 0.03%             | 2050-12-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC-2007-1X                                                   | NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS               | CUSIP: 994BNLII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     195651 | PA      | $221015.77    | 0.04%             | 2050-12-01      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 2.45    | CUSIP: 65480CAD7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |     500000 | PA      | $389389.64    | 0.07%             | 2028-09-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/25 3.522           | CUSIP: 654744AB7<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $371950.84    | 0.07%             | 2025-09-17      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/27 4.345           | CUSIP: 654744AC5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $363326.66    | 0.06%             | 2027-09-17      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                           | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81            | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     400000 | PA      | $340345.88    | 0.06%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329            | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $438399.70    | 0.08%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     368193 | PA      | $359399.39    | 0.06%             | 2036-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/37 1.5              | CUSIP: BVG7BHII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2037-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   19266611 | PA      | $1929767.34   | 0.34%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    1000000 | PA      | $99579.66     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4489526 | PA      | $498715.61    | 0.09%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |   21409307 | PA      | $2276749.84   | 0.41%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                 | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      79520 | PA      | $68080.55     | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                              | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538522 | PA      | $359261.02    | 0.06%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    4548249 | PA      | $456710.51    | 0.08%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   21354849 | PA      | $2265824.86   | 0.40%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N7309<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.11         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         13 | PA      | $1.30         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |    1791765 | PA      | $188183.34    | 0.03%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |   17428363 | PA      | $1935213.60   | 0.34%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1512482.56   | 0.27%             | 2036-01-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                      | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1863430 | PA      | $1561890.09   | 0.28%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1         | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     317571 | PA      | $212905.00    | 0.04%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/31 2.875                    | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $1912643.73   | 0.34%             | 2031-03-25      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/51 3.95                     | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     300000 | PA      | $215046.26    | 0.04%             | 2051-03-25      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/61 4.1                      | CUSIP: 68389XCB9<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     100000 | PA      | $69872.48     | 0.01%             | 2061-03-25      | Fixed         | 4.10%                 | Yes           |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORG SR UNSECURED 144A 04/31 5.125          | CUSIP: 68622TAB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     400000 | PA      | $347054.10    | 0.06%             | 2031-04-30      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95          | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $91762.90     | 0.02%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2           | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     600000 | PA      | $536974.68    | 0.10%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/25 3.45          | CUSIP: 694308JL2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94758.12     | 0.02%             | 2025-07-01      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $181747.96    | 0.03%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $85554.64     | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $67316.78     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PENSKE TRUCK LEASING CO LP / PTL FINANCE CORP                                 | PENSKE TRUCK LEASING/PTL SR UNSECURED 144A 03/25 3.95   | CUSIP: 709599AZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1349706.20   | 0.24%             | 2025-03-10      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| PEPPER RESIDENTIAL SECURITIES TRUST NO. 25A                                   | PEPPER RESIDENTIAL SECURITIES PEPAU 25A A1U 144A        | CUSIP: 71336JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     119304 | PA      | $119007.74    | 0.02%             | 2061-03-12      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU BONDS 144A 08/40 5.35                  | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1100000 | PA      | $216853.62    | 0.04%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $410629.43    | 0.07%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94           | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     200000 | PA      | $48358.73     | 0.01%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35           | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    9400000 | PA      | $2355799.57   | 0.42%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: 715638CE0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     500000 | PA      | $120896.82    | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 02/29 5.94           | CUSIP: P78024AE9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3700000 | PA      | $894636.47    | 0.16%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/28 6.35           | CUSIP: P78024AC3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5800000 | PA      | $1453578.46   | 0.26%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55       | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $179329.71    | 0.03%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8        | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $184178.60    | 0.03%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404      | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     400000 | PA      | $277773.36    | 0.05%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PRECISE MORTGAGE FUNDING 2019-1B PLC 19-1B                                    | PRECISE MORTGAGE FUNDING PMF 2019 1B A2 REGS            | CUSIP: ACI1RRM26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     929978 | PA      | $1115596.10   | 0.20%             | 2055-12-12      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                  | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR         | CUSIP: 74042EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     531403 | PA      | $504354.12    | 0.09%             | 2035-06-23      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LIFE GLOBAL FUNDING II                                              | PRINCIPAL LFE GLB FND II SECURED 144A 01/25 1.375       | CUSIP: 74256LET2<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |     400000 | PA      | $370415.78    | 0.07%             | 2025-01-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                    | ONTARIO (PROVINCE OF) SR UNSECURED REGS 01/27 3.5       | CUSIP: ACI0S0LD3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $647849.33    | 0.12%             | 2027-01-27      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC UNSECURED 09/23 3                    | CUSIP: 74814ZEP4<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    1100000 | PA      | $803949.55    | 0.14%             | 2023-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| QATARENERGY TRADING LLC                                                       | QATAR ENERGY TRADING LLC SR UNSECURED 144A 07/31 2.25   | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     300000 | PA      | $249054.30    | 0.04%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2018-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2018 1A A1 144A    | CUSIP: 75585RQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     300756 | PA      | $220360.75    | 0.04%             | 2053-08-12      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A    | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     369286 | PA      | $249870.71    | 0.04%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A    | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    1000000 | PA      | $637525.85    | 0.11%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    5317614 | PA      | $564676.90    | 0.10%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2191091 | PA      | $229618.60    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2534223 | PA      | $281391.86    | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2           | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134046 | PA      | $120788.45    | 0.02%             | 2032-12-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6          | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     967199 | PA      | $371056.14    | 0.07%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635400 | PA      | $207292.53    | 0.04%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2          | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1052817 | PA      | $324859.77    | 0.06%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369365 | PA      | $109544.03    | 0.02%             | 2046-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1         | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230739 | PA      | $53734.43     | 0.01%             | 2046-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     384624 | PA      | $311047.23    | 0.06%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157340 | PA      | $137040.25    | 0.02%             | 2037-10-25      | Variable      | 2.64%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1         | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20794 | PA      | $7651.91      | 0.00%             | 2047-02-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 A2        | CUSIP: 76112BR85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     691665 | PA      | $587860.62    | 0.10%             | 2035-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215817 | PA      | $194678.59    | 0.03%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4        | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1706368 | PA      | $1484492.09   | 0.26%             | 2036-11-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2015-2 CLASS AA PASS THROUGH TRUST                          | AMER AIRLN 15 2 AA PTT PASS THRU CE 03/29 3.6           | CUSIP: 02377BAB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     276838 | PA      | $248859.26    | 0.04%             | 2029-03-22      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL MORTGAGE SECURITIES 32 PLC 32A                                    | RESIDENTIAL MORTGAGE SECURITIE RMS 32A A 144A           | CUSIP: ACI1PKR28<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     657672 | PA      | $792202.34    | 0.14%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIMAC BASTILLE TRUST SERIES 2019-1NC                                        | RESIMAC RESI 2019 1NCA A1 144A                          | CUSIP: 76119UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     182748 | PA      | $182682.89    | 0.03%             | 2057-09-05      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3           | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     216646 | PA      | $188188.85    | 0.03%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                                       | RIPON MORTGAGES PLC RIPON 1RA A 144A                    | CUSIP: ACI23KYX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4564071 | PA      | $5415380.21   | 0.96%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| RMAC 2018-1 PLC 18-1                                                          | RMAC PLC RMAC 2018 1 A REGS                             | CUSIP: ACI11M5K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1514508 | PA      | $1821845.92   | 0.32%             | 2046-06-12      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                                 | RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS            | CUSIP: B1FJ01II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     301180 | PA      | $331776.81    | 0.06%             | 2044-06-12      | Floating      | 3.52%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 02/34 3.75                    | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $480909.51    | 0.09%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/28 2.125                   | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $358434.68    | 0.06%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $71800.53     | 0.01%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $74170.11     | 0.01%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $344262.69    | 0.06%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     800000 | PA      | $481625.11    | 0.09%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     700000 | PA      | $523582.60    | 0.09%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/29 1.375                      | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     540000 | PA      | $422051.73    | 0.08%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/40 2.625                      | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $239904.46    | 0.04%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SA GLOBAL SUKUK LIMITED                                                       | SA GLOBAL SUKUK LTD SR UNSECURED 144A 06/31 2.694       | CUSIP: 78397PAD3<br>LEI: 5493007DFAVKU7UOGR47 | Long             | DBT              | CORP              | KY        |     400000 | PA      | $342638.40    | 0.06%             | 2031-06-17      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/25 5.625                | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $191478.42    | 0.03%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.9                  | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $468831.50    | 0.08%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                               | SANTANDER UK GROUP HLDGS SR UNSECURED 11/24 VAR         | CUSIP: 80281LAJ4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    2400000 | PA      | $2360474.57   | 0.42%             | 2024-11-15      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK PLC                                                              | SANTANDER UK PLC COVERED 144A 02/27 VAR                 | CUSIP: ACI1JX7D5<br>LEI: PTCQB104N23FMNK2RZ28 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $603634.83    | 0.11%             | 2027-02-12      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                  | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    1700000 | PA      | $1647360.79   | 0.29%             | 2031-08-13      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |     600000 | PA      | $624398.40    | 0.11%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     300844 | PA      | $250380.02    | 0.04%             | 2037-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)                                        | IHO VERWALTUNGS GMBH SR SECURED 144A 05/27 6            | CUSIP: 44963BAE8<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     900000 | PA      | $791572.63    | 0.14%             | 2027-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SCHAEFFLER GMBH (IHO VERWALTUNGS GMBH)                                        | IHO VERWALTUNGS GMBH SR SECURED REGS 05/27 3.875        | CUSIP: ACI1C6196<br>LEI: 529900JL0HDVGZMUJF32 | Long             | DBT              | CORP              | DE        |     200000 | PA      | $181687.39    | 0.03%             | 2027-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1            | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     500000 | PA      | $386015.87    | 0.07%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     500000 | PA      | $303429.67    | 0.05%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| SHAMROCK RESIDENTIAL 2022-1 DAC 22-1                                          | SHAMROCK RESIDENTIAL SROCK 2022 1 A REGS                | CUSIP: ACI2439Q4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    1349113 | PA      | $1410941.22   | 0.25%             | 2061-01-24      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1269794 | PA      | $1232400.26   | 0.22%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/26 VAR            | CUSIP: 83368RBG6<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $368176.88    | 0.07%             | 2026-01-21      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/28 VAR            | CUSIP: 83368RBH4<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     400000 | PA      | $350506.43    | 0.06%             | 2028-01-19      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 01/33 VAR            | CUSIP: 83368RBJ0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |     500000 | PA      | $394963.15    | 0.07%             | 2033-01-21      | Floating      | 3.34%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                                           | SOCIETE GENERALE SR UNSECURED 144A 12/26 VAR            | CUSIP: 83368RAZ5<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    2400000 | PA      | $2088432.05   | 0.37%             | 2026-12-14      | Floating      | 1.49%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                            | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1152250 | PA      | $1068415.29   | 0.19%             | 2036-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2       | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60610 | PA      | $43416.33     | 0.01%             | 2037-06-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP (AKA: AMERICAN TOWER REIT INC)                            | AMERICAN TOWER CORP SR UNSECURED 01/25 2.95             | CUSIP: 03027XAV2<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              | CORP              | US        |     800000 | PA      | $763621.18    | 0.14%             | 2025-01-15      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 03/28 5.5                     | CUSIP: B2QK2VII4<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1350000000 | PA      | $1171544.80   | 0.21%             | 2028-03-10      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/27 2.125                   | CUSIP: BD6K2YII6<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1225000000 | PA      | $904813.45    | 0.16%             | 2027-06-10      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 2450000000 | PA      | $1832371.06   | 0.33%             | 2028-06-10      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/27 2.375                   | CUSIP: ACI0Z91H9<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1350000000 | PA      | $1001564.89   | 0.18%             | 2027-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 5820000000 | PA      | $4275481.36   | 0.76%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/23 VAR              | CUSIP: 842400HA4<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     500000 | PA      | $499268.77    | 0.09%             | 2023-04-03      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/24 1.1              | CUSIP: 842400HB2<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     300000 | PA      | $285072.39    | 0.05%             | 2024-04-01      | Fixed         | 1.10%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                            | SOUTHERN CAL EDISON 1ST MORTGAGE 04/24 VAR              | CUSIP: 842400HC0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $99314.13     | 0.02%             | 2024-04-01      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/37 0 | CUSIP: ACI1X3J42<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1700000 | PA      | $1205926.50   | 0.21%             | 2037-07-30      | Fixed         | 0.85%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3 | CUSIP: BYZK81II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2700000 | PA      | $2556223.69   | 0.46%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1 | CUSIP: BLH1ZLII0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1600000 | PA      | $785828.57    | 0.14%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC 01/28 1                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1216168.04   | 0.22%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 01/25 VAR      | CUSIP: 853254BY5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1134200.66   | 0.20%             | 2025-01-12      | Floating      | 0.99%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1648281.58   | 0.29%             | 2038-04-18      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 21-2A                                               | STRATTON MORTGAGE FUNDING PLC STRA 2021 2A A 144A       | CUSIP: ACI1W61K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1640922 | PA      | $1966930.63   | 0.35%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-2A LTD                                                       | STRATUS CLO STRAS 2021 2A A 144A                        | CUSIP: 86315TAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1512887 | PA      | $1495462.84   | 0.27%             | 2029-12-28      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| STRATUS CLO 2021-3A LTD                                                       | STRATUS CLO STRAS 2021 3A A 144A                        | CUSIP: 86315WAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1538838 | PA      | $1513511.97   | 0.27%             | 2029-12-29      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        857 | PA      | $847.91       | 0.00%             | 2034-04-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                       | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        474 | PA      | $451.72       | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4           | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     740917 | PA      | $664636.40    | 0.12%             | 2036-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2           | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     339838 | PA      | $243430.14    | 0.04%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1447 | PA      | $1334.38      | 0.00%             | 2034-03-19      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        708 | PA      | $645.25       | 0.00%             | 2034-07-19      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1        | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8141 | PA      | $7122.39      | 0.00%             | 2045-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40486 | PA      | $30980.07     | 0.01%             | 2036-05-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      52503 | PA      | $42505.55     | 0.01%             | 2047-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4338 | PA      | $3280.29      | 0.00%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19909 | PA      | $17475.14     | 0.00%             | 2047-08-25      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     176520 | PA      | $169079.46    | 0.03%             | 2036-01-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355921 | PA      | $312141.36    | 0.06%             | 2036-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| AMMC CLO 16 LTD 2015-16A                                                      | AMERICAN MONEY MANAGEMENT CORP AMMC 2015 16A AR2 144A   | CUSIP: 00176JAT3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     684651 | PA      | $680541.08    | 0.12%             | 2029-04-14      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| SYDNEY AIRPORT FINANCE COMPANY PTY LIMITED                                    | SYDNEY AIRPORT FINANCE SR SECURED 144A 03/23 3.9        | CUSIP: 87124VAD1<br>LEI: 549300MJAANHLHOVTO40 | Long             | DBT              | CORP              | AU        |     300000 | PA      | $299198.77    | 0.05%             | 2023-03-22      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                                 | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                  | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      52920 | PA      | $52952.59     | 0.01%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| AMMC CLO XII LTD 2013-12A                                                     | AMERICAN MONEY MANAGEMENT CORP AMMC 2013 12A AR2 144A   | CUSIP: 00176CAW1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1478316.92   | 0.26%             | 2030-11-10      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                         | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189270 | PA      | $6421.36      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                        | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A           | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        448 | PA      | $429.53       | 0.00%             | 2031-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| TENCENT HOLDINGS LIMITED                                                      | TENCENT HOLDINGS LTD SR UNSECURED REGS 01/28 3.595      | CUSIP: 88032XAG9<br>LEI: 254900N4SLUMW4XUYY11 | Long             | DBT              | CORP              | KY        |     200000 | PA      | $183653.69    | 0.03%             | 2028-01-19      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                        | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A           | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        634 | PA      | $597.87       | 0.00%             | 2029-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                    | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16618 | PA      | $14507.91     | 0.00%             | 2033-11-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/37 3.39        | CUSIP: ACI287LN4<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |   20013000 | PA      | $601967.70    | 0.11%             | 2037-06-17      | Fixed         | 3.39%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/43 3.45        | CUSIP: ACI27N3Q3<br>LEI: N/A                  | Long             | DBT              | NUSS              | TH        |   78000000 | PA      | $2286340.84   | 0.41%             | 2043-06-17      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| THL CREDIT WIND RIVER 2019-3 CLO LTD                                          | WIND RIVER CLO LTD WINDR 2019 3A AR 144A                | CUSIP: 97314JAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1700000 | PA      | $1654396.79   | 0.29%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4527 | PA      | $4232.22      | 0.00%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8772 | PA      | $7216.62      | 0.00%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 4A1           | CUSIP: 88522XAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        408 | PA      | $389.26       | 0.00%             | 2047-06-25      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 19-A13A                                           | TOWD POINT MORTGAGE FUNDING TPMF 2019 A13A A1 144A      | CUSIP: ACI1G4F01<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1544864 | PA      | $1847722.45   | 0.33%             | 2045-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2019 - GRANITE4 PLC                               | TOWD POINT MORTGAGE FUNDING TPMF 2019 GR4A A1 144A      | CUSIP: ACI19VH23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     713207 | PA      | $857159.61    | 0.15%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2513253 | PA      | $2345475.87   | 0.42%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     361289 | PA      | $358258.25    | 0.06%             | 2058-05-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     719484 | PA      | $662802.61    | 0.12%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     816794 | PA      | $719291.08    | 0.13%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| TOYOTA AUTO LOAN EXTENDED NOTE TRUST 2019-1A                                  | TOYOTA AUTO LOAN EXTENDED NOTE TALNT 2019 1A A 144A     | CUSIP: 89231XAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1349895.40   | 0.24%             | 2031-11-25      | Fixed         | 2.56%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                                   | TRINITY SQUARE TRINI 2021 1A A 144A                     | CUSIP: ACI1WK7V8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     864056 | PA      | $1032520.30   | 0.18%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/28 4.751              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $287556.52    | 0.05%             | 2028-05-12      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 08/27 4.703              | CUSIP: 902613AS7<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     300000 | PA      | $290339.60    | 0.05%             | 2027-08-05      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -9300000 | PA      | $-8272738.93  | -1.47%            | 2038-01-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -58950000 | PA      | $-47981115.14 | -8.54%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -2900000 | PA      | $-2456250.87  | -0.44%            | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17350000 | PA      | $15244044.16  | 2.71%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7500000 | PA      | $6819008.70   | 1.21%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   18550000 | PA      | $17399388.76  | 3.10%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   38300000 | PA      | $36870873.03  | 6.56%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4400000 | PA      | $4462520.39   | 0.79%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANNINGTON FUNDING PLC                                                         | ANNINGTON FUNDING PLC COMPANY GUAR REGS 07/24 1.65      | CUSIP: ACI0W49K8<br>LEI: 549300KK63W8VZIONZ83 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $816603.10    | 0.15%             | 2024-07-12      | Fixed         | 1.65%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                 | UNICREDIT SPA JR SUBORDINA REGS 12/99 VAR               | CUSIP: ACI19LDR4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |     200000 | PA      | $208739.79    | 0.04%             | 2026-06-03      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                                 | UNICREDIT SPA SR UNSECURED 144A 12/23 7.83              | CUSIP: 904678AG4<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |    1200000 | PA      | $1212700.54   | 0.22%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/44 3.25               | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     900000 | PA      | $967409.87    | 0.17%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $1006848.41   | 0.18%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2100000 | PA      | $1372910.31   | 0.24%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $702471.95    | 0.13%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 12/40 4.25               | CUSIP: B64605II9<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1200000 | PA      | $1487073.28   | 0.26%             | 2040-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT UNSECURED REGS 07/53 1.5            | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1100000 | PA      | $763224.93    | 0.14%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 01/23 0.00000                             | CUSIP: 912796X95<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       5000 | PA      | $4998.99      | 0.00%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796U31<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     364000 | PA      | $360616.08    | 0.06%             | 2023-03-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                             | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1668000 | PA      | $1656622.17   | 0.29%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10752268 | PA      | $10115693.74  | 1.80%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     967527 | PA      | $848185.97    | 0.15%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     906370 | PA      | $1018943.70   | 0.18%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2334906 | PA      | $2064774.51   | 0.37%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     307695 | PA      | $282081.99    | 0.05%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/41 1.875                             | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $495140.63    | 0.09%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 04/25 2.875                             | CUSIP: 9128284M9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7453058.61   | 1.33%             | 2025-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV3                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV3 A3 144A     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2009708 | PA      | $1622875.33   | 0.29%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559853 | PA      | $469257.33    | 0.08%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UWM-2021-INV4                                                                 | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV4 A3 144A     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      92337 | PA      | $74099.48     | 0.01%             | 2051-12-25      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| VENTURE CLO LTD 2014-17A                                                      | VENTURE CDO LTD VENTR 2014 17A ARR 144A                 | CUSIP: 92329YAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     205028 | PA      | $204712.39    | 0.04%             | 2027-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| VENTURE XXIX CLO LTD 2017-29A                                                 | VENTURE CDO LTD VENTR 2017 29A AR 144A                  | CUSIP: 92331EAF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1276313.91   | 0.23%             | 2030-09-07      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO IV LTD 2016-4A                                                    | VIBRANT CLO LTD VIBR 2016 4A A1RR 144A                  | CUSIP: 92557WAW3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1573992.32   | 0.28%             | 2032-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO VII LTD                                                           | VIBRANT CLO LTD VIBR 2017 7A A1R 144A                   | CUSIP: 92558BAJ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1693165 | PA      | $1666337.85   | 0.30%             | 2030-09-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2021-CRE5                                                         | AREIT CRE TRUST AREIT 2021 CRE5 A 144A                  | CUSIP: 04002PAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1212652 | PA      | $1160956.66   | 0.21%             | 2038-11-17      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                         | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A4           | CUSIP: 92977YBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      22555 | PA      | $21364.98     | 0.00%             | 2035-10-20      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1383 | PA      | $1285.55      | 0.00%             | 2034-02-27      | Floating      | 2.83%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5         | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3332 | PA      | $3134.86      | 0.00%             | 2033-03-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26325 | PA      | $25267.32     | 0.00%             | 2045-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13586 | PA      | $13161.51     | 0.00%             | 2035-03-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5         | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      12236 | PA      | $11226.71     | 0.00%             | 2035-04-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| ARES XL CLO LTD 2016-40A                                                      | ARES CLO LTD ARES 2016 40A A1RR 144A                    | CUSIP: 04016GBB3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2585258 | PA      | $2551879.65   | 0.45%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A1       | CUSIP: 92925GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82713 | PA      | $71147.84     | 0.01%             | 2036-12-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      36440 | PA      | $32071.71     | 0.01%             | 2046-02-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15170 | PA      | $14009.56     | 0.00%             | 2046-06-25      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15954 | PA      | $9816.23      | 0.00%             | 2046-07-25      | Floating      | 2.99%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                                 | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1095567 | PA      | $981010.23    | 0.17%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 04/26 VAR            | CUSIP: 95000U2X0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     300000 | PA      | $291837.15    | 0.05%             | 2026-04-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                 | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                 | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1309113 | PA      | $998973.07    | 0.18%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                            | WEST VA HEALTH SYS OBL SECURED 06/50 3.129              | CUSIP: 956708AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $516218.29    | 0.09%             | 2050-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | FIXED INC CLEARING CORP.REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    1373000 | PA      | $1373000.00   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PARIBAS REPO                                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    6600000 | PA      | $6600000.00   | 1.17%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       5040 | PA      | $1348.20      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     229987 | PA      | $62786.45     | 0.01%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ABU DHABI GOVT EM SP GST                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9460.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUCHAN HOLDING (AKA: GROUPE A SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |          1 | NC      | $-17801.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        117 | NC      | $-524583.45   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | AUST 3YR BOND FUT MAR23 XSFE 20230315                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        242 | NC      | $-226989.38   | -0.04%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $6914.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $2881.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $39019.44     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230222                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1626.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $62.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $17168.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $87626.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $1331.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $110043.03    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230111                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2605394.25  | -0.46%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230213                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-424348.35   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-251599.43   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1671.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-8709.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8841.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $121646.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $238367.18    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $589.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $85382.35     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $165.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $6.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2708.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-11385.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230323                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $22800.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $35508.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARMADA EURO CLO III DAC 3A                                                    | ARMADA EURO CLO ARMDA 3A A1R 144A                       | CUSIP: ACI1WGZB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     700000 | PA      | $727922.04    | 0.13%             | 2031-07-15      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $44653.96     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7865.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                 | AROUNDTOWN SA SR UNSECURED REGS 01/28 1.625             | CUSIP: BG070KII6<br>LEI: 529900H4DWG3KWMBMQ39 | Long             | DBT              | CORP              | LU        |     700000 | PA      | $496098.75    | 0.09%             | 2028-01-31      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| AROUNDTOWN SA                                                                 | AROUNDTOWN SA SR UNSECURED REGS 03/29 5.375             | CUSIP: BJH8G7II2<br>LEI: 529900H4DWG3KWMBMQ39 | Long             | DBT              | CORP              | LU        |     200000 | PA      | $151613.61    | 0.03%             | 2029-03-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $30371.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $16042.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-16167.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-1301.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-6450.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-0.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1115.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2540.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230313                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-27826.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-34504.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT MAR23 XMOD 20230322                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -116 | NC      | $185009.64    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CDX IG35 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-127.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG37 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $50641.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG38 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9793.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG39 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $562586.65    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CHINA AS BP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3044.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CHINA AS BP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-6088.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $14730.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-13097.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $11337.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $57806.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $20967.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $3888.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $6830.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7180.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $115264.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $14394.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $19921.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5603.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $10290.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $98121.27     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $6841.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-15575.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $6414.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1521.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5649.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5530.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-49987.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-21410.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-3952.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-6718.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7089.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-9025.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $104727.81    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $6267.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230405                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $143493.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $145061.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-36083.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $100.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-15828.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-125211.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-5801.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-72929.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230705                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-128390.46   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $277.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $139774.64    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2577.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-176945.23   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $19836.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $272.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9717.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3175SQ653 OTC EPUT FRTR 0.75 97                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |    1100000 | NC      | $450647.61    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-OAT FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -120 | NC      | $1146703.18   | 0.20%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -289 | NC      | $1048839.86   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -43 | NC      | $371127.43    | 0.07%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-BUXL 30Y BND MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         18 | NC      | $-492510.90   | -0.09%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        563 | NC      | $-842760.05   | -0.15%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RXG3C 146 FEB23 146 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -6 | NC      | $4811.50      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RXG3P 138.5 FEB23 138.5 PUT FSO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -6 | NC      | $-30770.24    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230404                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $20965.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $70141.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20230321                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $33873.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $14777.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $43279.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20230104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-20534.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-22800.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2047.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $83469.63     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $176.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $1494.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-1413.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2185.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-4316.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $12326.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3145.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-7287.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $205.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $62606.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $75460.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $4764.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1144.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-6848.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $37924.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $315.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230510                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $222889.43    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-143605.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-938224.04   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-144353.56   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-18603.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-6732.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-19237.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $16037.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $6910.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                                         | AURIUM CLO ACLO 3A AR 144A                              | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     498075 | PA      | $522684.87    | 0.09%             | 2030-04-16      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $754.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20230208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $15149.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-409900.48   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230206                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-318773.78   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230227                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-328917.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-3555.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 06/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $37537.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 06/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $91933.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 06/20/23 MYC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $36845.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 09/20/23 BOA                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $125130.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 09/20/23 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $92336.94     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS 05/32 1.25                  | CUSIP: ACI1J7L20<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     200000 | PA      | $106785.70    | 0.02%             | 2032-05-21      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BTP FUTURE   MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         74 | NC      | $-640119.21   | -0.11%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT BONDS REGS 11/31 1                | CUSIP: BMGX73II0<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    1000000 | PA      | $528268.91    | 0.09%             | 2031-11-21      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1472.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ITALY GOVT SW SP BRC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2944.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ITALY GOVT SW SP CBK                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2944.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SHORT EURO-BTP FU MAR23 XEUR 20230308                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -149 | NC      | $235537.38    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN31 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $155.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315             | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -1400000 | NC      | $-266.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 04/33 4.5       | CUSIP: ACI078RZ4<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     900000 | PA      | $635807.23    | 0.11%             | 2033-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN38 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $186627.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | JAGUAR LAND ROVER AUTOMOTIVE  SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |          1 | NC      | $-102015.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          7 | NC      | $-147240.82   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      50000 | PA      | $19728.29     | 0.00%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-44874.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20230519                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $48.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $334.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $814.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3.73         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)             | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $208025.18    | 0.04%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230125                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-8895.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1656.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $341.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $61399.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3651.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-984198.86   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-802162.97   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-6651.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1402.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-3067.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC23 XCME 20240319                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -536 | NC      | $243175.81    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN23 XCME 20230919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        321 | NC      | $-361524.95   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN24 XCME 20240917                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        268 | NC      | $-110976.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-860.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $-30333.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP BPS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-10744.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP BRC                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-7163.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP HUS                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-2865.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-716.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 (US) LLC 2021 TERM LOAN B5        | CUSIP: 05400KAH3<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    1176000 | PA      | $1175476.68   | 0.21%             | 2027-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $2448.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20230118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $7186.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE NO 2 PLC 2A                                                      | AVON FINANCE AVON 2A A 144A                             | CUSIP: ACI1RJQB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     728812 | PA      | $864443.39    | 0.15%             | 2048-09-20      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2068.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230123                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1097.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $316.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $89.64        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-5333.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $11031.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |          1 | NC      | $-90597.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-267586.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-173089.73   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-66400.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-166756.87   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20230315                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-100504.81   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20230110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-122594.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-68533.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-77947.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -5000000 | NC      | $-2.14        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |   -2700000 | NC      | $-42091.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-646.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-7971.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2700000 | NC      | $-1.16        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02JA6 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-13728.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02KA4 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-1014.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-8236.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -600000 | NC      | $-608.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-10223.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-981.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-25463.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BABSON CLO LTD 2016-2A                                                        | BARINGS CLO LTD. 2016 II BABSN 2016 2A AR2 144A         | CUSIP: 06761CAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1500000 | PA      | $1480181.70   | 0.26%             | 2032-01-20      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-1.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-7806.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1104.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-7992.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1061.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8260.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1001.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-972.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-10475.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-26996.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-1.83        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-11225.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-859.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-25613.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1800000 | NC      | $-1.93        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09MA7 PIMCO SWAPTION 3.0875 CALL USD 20231          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-1064.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09NA6 PIMCO SWAPTION 3.0875 PUT USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8347.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0ATA7 PIMCO SWAPTION 3.02 PUT USD 20231106          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-8699.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0AUA5 PIMCO SWAPTION 3.02 CALL USD 2023110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -700000 | NC      | $-999.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-3945.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -300000 | NC      | $-399.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-30239.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-2.24        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0D9A3 PIMCO SWAPTION 2.1 PUT EUR 20230515           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-12740.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DAA1 PIMCO SWAPTION 0.55 CALL EUR 2023051          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -800000 | NC      | $-0.94        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-1381.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DJA2 PIMCO SWAPTION 2.845 PUT USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-15011.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E3A7 PIMCO SWAPTION 3.75 PUT USD 20231117          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-7864.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E4A6 PIMCO SWAPTION 2.25 CALL USD 2023111          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-760.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-10072.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-816.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-12109.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-1141.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-7600.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1100000 | NC      | $-923.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U164I5 PIMCO FPPSWAPTION 0.82 CALL GBP               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6200000 | NC      | $-6155.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U173X1 IRO EUR 25Y P0.451 MAY25 0.451 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |   -1100000 | NC      | $-421508.51   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1PGA7 PIMCO SWAPTION 3.65 PUT USD 20230109          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-11439.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1PHA6 PIMCO SWAPTION 3.15 CALL USD 2023010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-24.70       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1Q8A4 PIMCO SWAPTION 2.067 CALL EUR 202306          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1500000 | NC      | $-3846.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer