# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000150
**Filing Date:** 2023-3
**Character Count:** 210916
**Document Hash:** 2c4d0c9612a8764b21545dedcc1969ae
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000150.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000150

**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:** 23688684

**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 Low Duration Portfolio (Series ID: S000009673)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026502 | Administrative | VPVLDDV         |
| C000026503 | Institutional  | VPVLDIV         |
| C000030990 | Advisor        | VPVLDVV         |

## 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 Low Duration Portfolio

- **b. EDGAR series identifier (if any):** S000009673

- **c. LEI of Series:** 2ZJ0UBWM576CNLD1YP86

**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:** $2389535363.74

**Total Liabilities:** $789630383.02

**Net Assets:** $1599904980.72

**Cash Not Reported:** $64480158.67

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 75256.937100 | **1-Year:** 106322.655800 | **5-Year:** 121432.528400 | **10-Year:** -2290.420400 | **30-Year:** -27692.944800

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

- **3-Month:** 379.364800 | **1-Year:** 1342.752000 | **5-Year:** 4107.087600 | **10-Year:** 48.727700 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000030990 | -0.66%               | 0.86%                | 0.34%                |
| Class ID C000026502 | -0.65%               | 0.87%                | 0.34%                |
| Class ID C000026503 | -0.64%               | 0.89%                | 0.36%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-22646190.35            | $13745977.13                               |
| Month 2  | $6149986.78              | $13507283.70                               |
| Month 3  | $-2864569.19             | $5167544.64                                |

**Designated Index Information**

- **Index Name:** 50% ICE BofA 1-3 Year US Treasury Index, 50% Bloomberg US Intermediate Credit Total Return Index

- **Index Identifier:** G1O24PM, LUICTRUU

### 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                                                               | 317U1QBA0 PIMCO SWAPTION 4.715 PUT USD 2023091         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17600000 | NC      | $-52229.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QCA9 PIMCO SWAPTION 4.2325 PUT USD 202309         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16000000 | NC      | $-82363.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QDA8 PIMCO SWAPTION 3.75 PUT USD 20230911         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   16000000 | NC      | $129987.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QEA7 PIMCO SWAPTION 3.75 PUT USD 20230911         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   17600000 | NC      | $142985.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QFA6 PIMCO SWAPTION 4.715 PUT USD 2023091         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -16000000 | NC      | $-47481.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QGA5 PIMCO SWAPTION 4.2325 PUT USD 202309         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -17600000 | NC      | $-90599.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QPA5 PIMCO SWAPTION 3.75 PUT USD 20230912         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   18800000 | NC      | $152862.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QQA4 PIMCO SWAPTION 4.25 PUT USD 20230912         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -18800000 | NC      | $-95094.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U1QRA3 PIMCO SWAPTION 4.75 PUT USD 20230912         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -18800000 | NC      | $-53495.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2019-RLJ               | BANC OF AMERICA MERRILL LYNCH BAMLL 2019 RLJ A 144A    | CUSIP: 05492HAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4400652.60   | 0.28%             | 2036-04-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U386O4 PIMCO FPPSWAPTION 2.6875 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7800000 | NC      | $-94497.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U387O3 PIMCO FPPSWAPTION 2.69 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10300000 | NC      | $-124605.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U389O1 PIMCO FPPSWAPTION 2.6875 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -7800000 | NC      | $-19577.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U390O8 PIMCO FPPSWAPTION 2.69 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -10300000 | NC      | $-25909.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1         | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87691 | PA      | $80213.45     | 0.01%             | 2047-01-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 1.58000 05/24/23-1Y (RED) LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-3519572.42  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-F                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 F 1A1        | CUSIP: 05949AHR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     132267 | PA      | $120767.07    | 0.01%             | 2034-07-25      | Floating      | 3.68%                 | 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      | $-2927096.77  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS NZD 4.50000 09/13/23-1Y (RED) LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $-787045.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA MTGE SEC 2004-G                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 G 2A7        | CUSIP: 05949ALH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     155532 | PA      | $151336.68    | 0.01%             | 2034-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| BANCO BILBAO VIZCAYA ARGENTARIA SA (BBVA)                         | BANCO BILBAO VIZCAYA ARG SR UNSECURED 09/23 0.875      | CUSIP: 05946KAH4<br>LEI: K8MS7FD7N5Z2WQ51AZ71 | Long             | DBT              | CORP              | ES        |    4700000 | PA      | $4552829.51   | 0.28%             | 2023-09-18      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUT+5.89/0.3800 06/18/18-10Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-208895.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $440479.21    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTKCALM/0.00000 03/17/21-3Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-99152.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTKCALM/0.8000 06/15/22-30Y LCH               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1748580.93   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.00000 12/21/22-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3217474.31   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.15000 06/15/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2230533.83  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.27000 09/13/23-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9804.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.35000 09/14/23-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2415.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                | BANCO SANTANDER SA SR UNSECURED 03/25 3.496            | CUSIP: 05964HAP0<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4433408.15   | 0.28%             | 2025-03-24      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                | BANCO SANTANDER SA SR UNSECURED 04/23 VAR              | CUSIP: 05964HAH8<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2400000 | PA      | $2400354.14   | 0.15%             | 2023-04-12      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                | BANCO SANTANDER SA SR UNSECURED 05/24 3.892            | CUSIP: 05971KAM1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4200000 | PA      | $4113822.17   | 0.26%             | 2024-05-24      | Fixed         | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20230510                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $37879.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230213                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $415492.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230327                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $11910.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 02/25 VAR            | CUSIP: 06051GKG3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4795954.40   | 0.30%             | 2025-02-04      | Floating      | 1.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175255N9 OTC ECAL FN 5.5 JAN23 101.859375 CALL        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2200000 | NC      | $-20.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3175346J9 ECAL FN 5.5 FEB23 102 CALL                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-1774.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317543V29 OTC ECAL FN 5.5 JAN23 102.25 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-0.96        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317546DV8 EPUT FN 5.5 FEB23 100 PUT                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1000000 | NC      | $-6991.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317566OH5 EPUT FN 5.0 MAR23 97.578125 PUT              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-22394.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317587BL6 ECAL FN 5.0 MAR23 99.578125 CALL             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2400000 | NC      | $-17604.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1155 | NC      | $539823.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT MAR23 XCBT 20230322                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -211 | NC      | $120046.76    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) MAR23 XCBT 20230331                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       4388 | NC      | $138222.64    | 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        |        334 | NC      | $-80026.73    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                       | BANK OF AMERICA CORP SR UNSECURED 07/24 VAR            | CUSIP: 06051GHK8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1200324.13   | 0.08%             | 2024-07-23      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                   | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4        | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21685 | PA      | $20107.49     | 0.00%             | 2033-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 05/26 VAR                    | CUSIP: 06738EBL8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    5100000 | PA      | $4743427.13   | 0.30%             | 2026-05-07      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 08/26 5.304                  | CUSIP: 06738EBZ7<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4470829.83   | 0.28%             | 2026-08-09      | Floating      | 5.30%                 | 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        |    5000000 | PA      | $4851010.50   | 0.30%             | 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 1A1        | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     257451 | PA      | $207054.25    | 0.01%             | 2036-01-26      | Floating      | 3.52%                 | 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        |     183267 | PA      | $132239.46    | 0.01%             | 2046-12-26      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 2A1        | CUSIP: 07384MZS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4154 | PA      | $3908.45      | 0.00%             | 2034-01-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 14A1      | CUSIP: 07384M4F6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     894891 | PA      | $822909.93    | 0.05%             | 2035-01-25      | Floating      | 3.74%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 22A1      | CUSIP: 07384M4J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28739 | PA      | $24832.09     | 0.00%             | 2035-01-25      | Floating      | 4.96%                 | 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        |     123781 | PA      | $109571.65    | 0.01%             | 2034-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1        | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        366 | PA      | $360.69       | 0.00%             | 2033-04-25      | Floating      | 3.24%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A1        | CUSIP: 07384MQ70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61204 | PA      | $53899.78     | 0.00%             | 2034-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A2       | CUSIP: 07384MSJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        112 | PA      | $88.29        | 0.00%             | 2033-02-25      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 1A1      | CUSIP: 07387VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41358 | PA      | $41322.24     | 0.00%             | 2037-10-25      | Floating      | 5.39%                 | 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        |    4800000 | PA      | $4739138.40   | 0.30%             | 2030-10-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XIX LTD 2019-19A                      | BENEFIT STREET PARTNERS CLO LT BSP 2019 19A A 144A     | CUSIP: 08182RAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4500000 | PA      | $4418206.65   | 0.28%             | 2033-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| BENEFIT STREET PARTNERS CLO XVI LTD                               | BENEFIT STREET PARTNERS CLO LT BSP 2018 16A A1R 144A   | CUSIP: 08181VAN5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3120000 | PA      | $3055007.56   | 0.19%             | 2032-01-17      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                                       | BNP PARIBAS SR UNSECURED 144A 01/25 VAR                | CUSIP: 09659W2G8<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3900000 | PA      | $3862593.03   | 0.24%             | 2025-01-10      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                     | BOEING CO SR UNSECURED 02/23 1.167                     | CUSIP: 097023DD4<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5877547.08   | 0.37%             | 2023-02-04      | Fixed         | 1.17%                 | 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        |    5000000 | PA      | $4818868.85   | 0.30%             | 2024-02-01      | Fixed         | 1.95%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2019-ATL                                                 | BX TRUST BX 2019 ATL A 144A                            | CUSIP: 056058AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4407954.75   | 0.28%             | 2036-10-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2022-FOX2                                                | BX TRUST BX 2022 FOX2 A2 144A                          | CUSIP: 05610AAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1050000 | PA      | $969613.37    | 0.06%             | 2039-04-15      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                               | CAPE LOOKOUT RE LTD UNSECURED 144A 03/29 VAR           | CUSIP: 13947LAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |    1500000 | PA      | $1411575.00   | 0.09%             | 2029-03-28      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                 | CAPITAL ONE FINANCIAL CO SR UNSECURED 03/26 VAR        | CUSIP: 14040HCM5<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |     300000 | PA      | $281235.69    | 0.02%             | 2026-03-03      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                 | CAPITAL ONE FINANCIAL CO SR UNSECURED 05/25 VAR        | CUSIP: 14040HCQ6<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4300200.26   | 0.27%             | 2025-05-09      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE FINANCIAL CORPORATION                                 | CAPITAL ONE FINANCIAL CO SR UNSECURED 07/26 VAR        | CUSIP: 14040HCU7<br>LEI: ZUE8T73ROZOF6FLBAR73 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4019538.77   | 0.25%             | 2026-07-24      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2017-A5                   | CAPITAL ONE MULTI ASSET EXECUT COMET 2017 A5 A5        | CUSIP: 14041NFP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4094992.26   | 0.26%             | 2027-07-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| CAPITAL ONE MULTI-ASSET EXECUTION TRUST 2022-A3                   | CAPITAL ONE MULTI ASSET EXECUT COMET 2022 A3 A         | CUSIP: 14041NGB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5500000 | PA      | $5546801.15   | 0.35%             | 2027-10-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4300000 | PA      | $4471355.64   | 0.28%             | 2032-08-15      | Floating      | 2.69%                 | No            |                  2 | On Loan: No      |
| CARMAX AUTO OWNER TRUST 2022-3                                    | CARMAX AUTO OWNER TRUST CARMX 2022 3 A2A               | CUSIP: 14318MAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3965234.40   | 0.25%             | 2025-09-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2022-P1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2022 P1 A2        | CUSIP: 14688DAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2897407 | PA      | $2870524.26   | 0.18%             | 2025-05-12      | Fixed         | 2.57%                 | No            |                  2 | On Loan: No      |
| CENTERPOINT ENERGY RESOURCES CORP                                 | CENTERPOINT ENERGY RES SR UNSECURED 03/23 VAR          | CUSIP: 15189WAN0<br>LEI: 2JADVB0458J06WCD4N56 | Long             | DBT              | CORP              | US        |    2875000 | PA      | $2873646.45   | 0.18%             | 2023-03-02      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MTGE FUNDING CORP 2004-1A                             | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2004 1A A1 144A   | CUSIP: 16678RAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7349 | PA      | $6785.56      | 0.00%             | 2035-01-25      | Floating      | 4.67%                 | 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        |    5000000 | PA      | $4950183.45   | 0.31%             | 2030-10-24      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2017-A5                       | CITIBANK CREDIT CARD ISSUANCE CCCIT 2017 A5 A5         | CUSIP: 17305EGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2001388.80   | 0.13%             | 2026-04-22      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CITIBANK CREDIT CARD ISSUANCE TRUST 2018-A5                       | CITIBANK CREDIT CARD ISSUANCE CCCIT 2018 A5 A5         | CUSIP: 17305EGP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $2099981.94   | 0.13%             | 2027-08-07      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                     | CITIGROUP INC SR UNSECURED 01/26 VAR                   | CUSIP: 17327CAP8<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4693953.07   | 0.29%             | 2026-01-25      | Floating      | 4.51%                 | Yes           |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A        | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10713 | PA      | $9941.28      | 0.00%             | 2035-05-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 3 2A2B        | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58979 | PA      | $47444.89     | 0.00%             | 2035-08-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A      | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4700000 | PA      | $4486417.43   | 0.28%             | 2038-11-15      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                               | COMMONSPIRIT HEALTH SR SECURED 10/25 1.547             | CUSIP: 20268JAE3<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    4900000 | PA      | $4410801.98   | 0.28%             | 2025-10-01      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CORSAIR INTERNATIONAL LIMITED                                     | CORSAIR INTERNATIONAL UNSECURED 144A 01/27 VAR         | CUSIP: ACI236343<br>LEI: 213800F3PS68ENYG4O41 | Long             | DBT              | CORP              | JE        |    4500000 | PA      | $4780895.05   | 0.30%             | 2027-01-28      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1        | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5294 | PA      | $4910.51      | 0.00%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2003-BC5                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2003 BC5 2A2        | CUSIP: 126671K62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     426332 | PA      | $412185.68    | 0.03%             | 2033-12-25      | Floating      | 5.09%                 | 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        |     122667 | PA      | $110850.33    | 0.01%             | 2034-11-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB6                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB6 A2               | CUSIP: 12669GBA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274057 | PA      | $253325.46    | 0.02%             | 2034-11-20      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      29412 | PA      | $29186.83     | 0.00%             | 2035-02-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1              | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157802 | PA      | $143090.98    | 0.01%             | 2036-02-20      | Floating      | 6.54%                 | 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        |    1000000 | PA      | $843074.06    | 0.05%             | 2026-05-12      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| CQS US CLO 2022-2A LTD                                            | CQS US CLO 2022 2, LTD. CQS 2022 2A A1 144A            | CUSIP: 12664BAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    4000000 | PA      | $3989380.00   | 0.25%             | 2031-07-20      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                  | CREDIT SUISSE NEW YORK SR UNSECURED 02/25 3.7          | CUSIP: 22550L2H3<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    4400000 | PA      | $4060578.06   | 0.25%             | 2025-02-21      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE AG/NEW YORK BRANCH                                  | CREDIT SUISSE NEW YORK SR UNSECURED 08/24 4.75         | CUSIP: 22550L2J9<br>LEI: 549300D0YARF5HYP1809 | Long             | DBT              | CORP              | CH        |    4100000 | PA      | $3917302.07   | 0.24%             | 2024-08-09      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2002-P1A      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 P1A A 144A    | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        333 | PA      | $303.72       | 0.00%             | 2032-03-25      | Floating      | 3.79%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CREDIT SUISSE GROUP AG SR UNSECURED 144A 07/26 VAR     | CUSIP: 225401AY4<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    4200000 | PA      | $3946902.25   | 0.25%             | 2026-07-15      | Floating      | 6.37%                 | 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        |     250000 | PA      | $219973.50    | 0.01%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                           | CUSIP: 22823QN56<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3996762.68   | 0.25%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CRSNT TRUST 2021-MOON                                             | CRSNT TRUST CRSNT 2021 MOON A 144A                     | CUSIP: 22877LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6000000 | PA      | $5650349.40   | 0.35%             | 2036-04-15      | Floating      | 5.14%                 | 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        |       2128 | PA      | $2021.33      | 0.00%             | 2032-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                          | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 06/23 VAR    | CUSIP: 233853AA8<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5693367.14   | 0.36%             | 2023-06-14      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                          | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 12/23 VAR    | CUSIP: 233853AC4<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4970717.35   | 0.31%             | 2023-12-14      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| DAIMLER TRUCKS FINANCE NORTH AMERICA LLC                          | DAIMLER TRUCKS FINAN NA COMPANY GUAR 144A 12/24 VAR    | CUSIP: 233853AE0<br>LEI: 5493003HSDTSCZRXBA58 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4933209.55   | 0.31%             | 2024-12-13      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| DANONE SA                                                         | DANONE SA SR UNSECURED 144A 11/26 2.947                | CUSIP: 23636TAE0<br>LEI: 969500KMUQ2B6CBAF162 | Long             | DBT              | CORP              | FR        |    4000000 | PA      | $3723051.80   | 0.23%             | 2026-11-02      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                                   | DANSKE BANK A/S SR UNSECURED 144A 03/25 VAR            | CUSIP: 23636ABD2<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4362419.52   | 0.27%             | 2025-03-28      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                      | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A               | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     100000 | PA      | $94158.91     | 0.01%             | 2036-10-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2018-5BP                                      | DBGS MORTGAGE TRUST DBGS 2018 5BP A 144A               | CUSIP: 33830CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2100000 | PA      | $2008136.13   | 0.13%             | 2033-06-15      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| DELL EQUIPMENT FINANCE TRUST 2022-1                               | DELL EQUIPMENT FINANCE TRUST DEFT 2022 1 A2 144A       | CUSIP: 24703WAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2139260 | PA      | $2111231.09   | 0.13%             | 2027-08-23      | Fixed         | 2.11%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY SR UNSECURED 07/26 VAR                | CUSIP: 25160PAJ6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4000000 | PA      | $3977064.28   | 0.25%             | 2026-07-14      | Floating      | 6.12%                 | 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        |    4800000 | PA      | $4637270.93   | 0.29%             | 2024-09-18      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY SR UNSECURED 11/27 VAR                | CUSIP: 251526CN7<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    4600000 | PA      | $4119281.00   | 0.26%             | 2027-11-16      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| DISCOVER CARD EXECUTION NOTE TRUST 2017-A5                        | DISCOVER CARD EXECUTION NOTE T DCENT 2017 A5 A5        | CUSIP: 254683CA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $4101990.96   | 0.26%             | 2026-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | DOMINION RESOURCES                                     | CUSIP: 2574P1P14<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2887609.52   | 0.18%             | 2023-02-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DROP MORTGAGE TRUST 2021-FILE                                     | DROP MORTGAGE TRUST 2021 FILE DROP 2021 FILE A 144A    | CUSIP: 26210YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5000000 | PA      | $4771130.00   | 0.30%             | 2043-10-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| DRYDEN 36 SENIOR LOAN FUND 2014-36A                               | DRYDEN SENIOR LOAN FUND DRSLF 2014 36A AR3 144A        | CUSIP: 26249KAZ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5386490 | PA      | $5328811.89   | 0.33%             | 2029-04-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| EDUCATIONAL SERVICES OF AMERICA INC 2012-1                        | EDUCATIONAL SERVICES OF AMERIC EDUSA 2012 1 A1 144A    | CUSIP: 281380AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      59152 | PA      | $59112.97     | 0.00%             | 2040-09-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                 | ENBRIDGE (US) INC                                      | CUSIP: 29251VN93<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    1250000 | PA      | $1248347.91   | 0.08%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENBRIDGE (US) INC                                                 | ENBRIDGE (US) INC                                      | CUSIP: 29251VNR3<br>LEI: 5493003FRODSVHJWFS32 | Long             | DBT              | CORP              | US        |    2150000 | PA      | $2142504.73   | 0.13%             | 2023-01-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE AMERICA LLC                                          | ENEL FINANCE AMERICA                                   | CUSIP: 29279HNC5<br>LEI: 549300EGNLVUJX1DEC60 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3494054.66   | 0.22%             | 2023-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV COMPANY GUAR 144A 10/25 6.8       | CUSIP: 29278GAZ1<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    5000000 | PA      | $5139534.20   | 0.32%             | 2025-10-14      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                     | ENEL FINANCE INTL NV SR UNSECURED 144A 06/25 4.25      | CUSIP: 29278GAV0<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    4300000 | PA      | $4167336.49   | 0.26%             | 2025-06-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                | ENERGY TRANSFER PARTNERS                               | CUSIP: 29277FN56<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4246560.35   | 0.27%             | 2023-01-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FINANCING LLC 2022-3                             | ENTERPRISE FLEET FINANCING LLC EFF 2022 3 A2 144A      | CUSIP: 29374FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4100000 | PA      | $4010845.09   | 0.25%             | 2029-07-20      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| ENTERPRISE FLEET FUNDING LLC 2022-4                               | ENTERPRISE FLEET FINANCING LLC EFF 2022 4 A2 144A      | CUSIP: 29374GAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2900000 | PA      | $2915252.84   | 0.18%             | 2029-10-22      | Fixed         | 5.76%                 | No            |                  2 | On Loan: No      |
| EQUIFAX INC                                                       | EQUIFAX INC SR UNSECURED 12/27 5.1                     | CUSIP: 294429AV7<br>LEI: 5493004MCF8JDC86VS77 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3955491.76   | 0.25%             | 2027-12-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                       | EUROSAIL PLC ESAIL 2007 4X A3 REGS                     | CUSIP: BTGD2JII9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    4898031 | PA      | $5820809.98   | 0.36%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2022-4A                       | EXETER AUTOMOBILE RECEIVABLES EART 2022 4A A3          | CUSIP: 30166BAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4200000 | PA      | $4159981.14   | 0.26%             | 2026-02-17      | Fixed         | 4.33%                 | No            |                  2 | On Loan: No      |
| EXPEDIA GROUP INC                                                 | EXPEDIA GROUP INC COMPANY GUAR 02/26 5                 | CUSIP: 30212PAM7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3407000 | PA      | $3366015.19   | 0.21%             | 2026-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                | FANNIE MAE FNR 2003 25 KP                              | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3168 | PA      | $3144.56      | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                             | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15647 | PA      | $15558.92     | 0.00%             | 2036-12-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                | FANNIE MAE FNR 2007 73 A1                              | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59963 | PA      | $58789.68     | 0.00%             | 2037-07-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-146                                        | FANNIE MAE FNR 2012 146 QA                             | CUSIP: 3136ABFP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      35423 | PA      | $29779.66     | 0.00%             | 2043-01-25      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G93-15                                                 | FANNIE MAE FNR G93 15 FE                               | CUSIP: 31358UNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        110 | PA      | $109.77       | 0.00%             | 2023-04-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-G97-4                                                  | FANNIE MAE FNR G97 4 FB                                | CUSIP: 31359PK39<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5848 | PA      | $5868.77      | 0.00%             | 2027-06-17      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W1                                      | FANNIEMAE WHOLE LOAN FNW 2003 W1 1A1                   | CUSIP: 31392GVX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3082 | PA      | $2951.92      | 0.00%             | 2042-12-25      | Fixed         | 6.50%                 | 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        |     216706 | PA      | $211900.00    | 0.01%             | 2042-09-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                   | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      15260 | PA      | $15024.26     | 0.00%             | 2044-03-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                     | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                 | CUSIP: 3130AT5V5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   12600000 | PA      | $12600000.00  | 0.79%             | 2023-01-03      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                     | FEDERAL HOME LOAN BANK BONDS 01/23 VAR                 | CUSIP: 3130ATJ99<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   16100000 | PA      | $16100005.15  | 1.01%             | 2023-01-06      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN BANK (FLHB)                                     | FEDERAL HOME LOAN BANK BONDS 02/23 VAR                 | CUSIP: 3130ATRB5<br>LEI: 2549001DPIFGXC1TOL40 | Long             | DBT              | USGSE             | US        |   15900000 | PA      | $15900877.04  | 0.99%             | 2023-02-23      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 08/25 0.68                           | CUSIP: 3134GWJN7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   18800000 | PA      | $16983500.76  | 1.06%             | 2025-08-06      | Fixed         | 0.68%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/25 0.65                           | CUSIP: 3134GW5R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   19600000 | PA      | $17542388.08  | 1.10%             | 2025-10-27      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/25 0.65                           | CUSIP: 3134GWZV1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   29100000 | PA      | $26063998.46  | 1.63%             | 2025-10-22      | Fixed         | 0.65%                 | No            |                  2 | On Loan: No      |
| FEDERAL HOME LOAN MORTGAGE CORPORATION (FREDDIE MAC)              | FREDDIE MAC NOTES 10/26 0.8                            | CUSIP: 3134GW6C5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | DBT              | USGSE             | US        |   11800000 | PA      | $10288065.41  | 0.64%             | 2026-10-28      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| FEDERAL REALTY INVESTMENT TRUST                                   | FEDERAL REALTY INVS TRST SR UNSECURED 01/24 3.95       | CUSIP: 313747AU1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4147058.41   | 0.26%             | 2024-01-15      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| FEDERATION DES CAISSES DESJARDINS DU QUEBEC                       | FED CAISSES DESJARDINS SR UNSECURED 144A 08/25 4.4     | CUSIP: 31429KAG8<br>LEI: 549300B2Q47IR0CR5B54 | Long             | DBT              | CORP              | CA        |    4500000 | PA      | $4394674.49   | 0.27%             | 2025-08-23      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1B2315 FH 09/35 FLOATING VAR         | CUSIP: 3128JMN94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39133 | PA      | $39474.19     | 0.00%             | 2035-09-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 1G1727 FH 07/35 FLOATING VAR         | CUSIP: 3128QJ4L7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9768 | PA      | $9634.83      | 0.00%             | 2035-07-01      | Floating      | 3.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08793 FG 12/47 FIXED 4              | CUSIP: 3128MJ3B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     117155 | PA      | $111997.25    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08809 FG 04/48 FIXED 4              | CUSIP: 3128MJ3T5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     405101 | PA      | $387884.40    | 0.02%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q58083 FG 08/48 FIXED 4              | CUSIP: 3132Y16V5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2493578 | PA      | $2385740.07   | 0.15%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1            | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73024 | PA      | $73366.58     | 0.00%             | 2045-02-25      | Floating      | 2.89%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1             | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      39300 | PA      | $39014.59     | 0.00%             | 2031-08-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-57                               | FHLMC STRUCTURED PASS THROUGH FSPC T 57 1A1            | CUSIP: 31394JD87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26547 | PA      | $27553.89     | 0.00%             | 2043-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FIDELITY NATIONAL INFORMATION SERVICES INC                        | FIDELITY NATL INFO SERV SR UNSECURED 03/23 0.375       | CUSIP: 31620MBP0<br>LEI: 6WQI0GK1PRFVBA061U48 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4962568.10   | 0.31%             | 2023-03-01      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2004-AA3                               | FIRST HORIZON ALTERNATIVE MORT FHAMS 2004 AA3 A1       | CUSIP: 32051D6B3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      99503 | PA      | $89863.18     | 0.01%             | 2034-09-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1      | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46552 | PA      | $32145.73     | 0.00%             | 2035-08-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FIRSTMAC MORTGAGE FUNDING TRUST 2018-1                            | FIRSTMAC MORTGAGE FUNDING TRUS FMACB 2018 1 A1A        | CUSIP: ACI11D2X9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     605949 | PA      | $412276.12    | 0.03%             | 2049-03-08      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FIRSTMAC MORTGAGE FUNDING TRUST 2018-1                            | FIRSTMAC MORTGAGE FUNDING TRUS FMACB 2018 1 A1B        | CUSIP: ACI11DPY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |    6100000 | PA      | $4154393.17   | 0.26%             | 2049-03-08      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC                                             | CUSIP: 33774LN95<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |     950000 | PA      | $948786.64    | 0.06%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC                                             | CUSIP: 33774LNH7<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    2950000 | PA      | $2943166.33   | 0.18%             | 2023-01-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FISERV INC                                                        | FISERV INC                                             | CUSIP: 33774LNP9<br>LEI: GI7UBEJLXYLGR2C7GV83 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3987576.00   | 0.25%             | 2023-01-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                 | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 A2 144A         | CUSIP: 33844XAC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3671458 | PA      | $3636258.92   | 0.23%             | 2025-08-15      | Fixed         | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 256713 FN 05/27 FIXED 5                      | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      22023 | PA      | $21941.72     | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257233 FN 06/23 FIXED 4.5                    | CUSIP: 31371NV28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        108 | PA      | $107.94       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257238 FN 06/28 FIXED 5                      | CUSIP: 31371NV77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18580 | PA      | $18692.37     | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                 | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        595 | PA      | $606.01       | 0.00%             | 2034-09-01      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544861 FN 12/36 FLOATING VAR                 | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1181 | PA      | $1179.37      | 0.00%             | 2036-12-01      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 654952 FN 07/42 FLOATING VAR                 | CUSIP: 31390STH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      21322 | PA      | $20342.04     | 0.00%             | 2042-07-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 679708 FN 09/41 FLOATING VAR                 | CUSIP: 31391XDM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52687 | PA      | $50717.28     | 0.00%             | 2041-09-01      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 692042 FN 02/33 FIXED 6                      | CUSIP: 31400MZF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        614 | PA      | $625.49       | 0.00%             | 2033-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 732218 FN 06/43 FLOATING VAR                 | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48032 | PA      | $45798.38     | 0.00%             | 2043-06-01      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735813 FN 07/35 FLOATING VAR                 | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2361 | PA      | $2323.21      | 0.00%             | 2035-07-01      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841775 FN 09/35 FLOATING VAR                 | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      31752 | PA      | $32149.67     | 0.00%             | 2035-09-01      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844532 FN 11/35 FLOATING VAR                 | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11417 | PA      | $11171.44     | 0.00%             | 2035-11-01      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 869846 FN 04/36 FIXED 6.5                    | CUSIP: 31409FL30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53931 | PA      | $55361.42     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929220 FN 03/23 FIXED 4.5                    | CUSIP: 31412MK98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        125 | PA      | $124.85       | 0.00%             | 2023-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 963697 FN 06/23 FIXED 4.5                    | CUSIP: 31414EDA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        227 | PA      | $226.50       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 975083 FN 05/23 FIXED 4.5                    | CUSIP: 31414SXL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        224 | PA      | $223.26       | 0.00%             | 2023-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    5547911 | PA      | $53182272.82  | 3.32%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 984075 FN 06/23 FIXED 4.5                    | CUSIP: 31415MFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        301 | PA      | $300.22       | 0.00%             | 2023-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995870 FN 06/24 FIXED VAR                    | CUSIP: 31416CJP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1664 | PA      | $1660.09      | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995938 FN 01/39 FIXED VAR                    | CUSIP: 31416CLT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2377 | PA      | $2484.13      | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7523 FN 06/24 FIXED 4.5                    | CUSIP: 31416RLD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1328 | PA      | $1327.17      | 0.00%             | 2024-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0090 FN 03/29 FIXED 4.5                    | CUSIP: 31416VC44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      64748 | PA      | $63582.86     | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB0259 FN 03/37 FIXED 6                      | CUSIP: 31416VJD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     408582 | PA      | $425333.19    | 0.03%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC8594 FN 01/25 FIXED 4.5                    | CUSIP: 31417VRQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        340 | PA      | $339.42       | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AC8938 FN 01/25 FIXED 4.5                    | CUSIP: 31417V4Y6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9572 | PA      | $9557.74      | 0.00%             | 2025-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0244 FN 10/24 FIXED VAR                    | CUSIP: 31418MHW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28753 | PA      | $28724.53     | 0.00%             | 2024-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD1070 FN 03/25 FIXED 4.5                    | CUSIP: 31418NFL9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7134 | PA      | $7123.67      | 0.00%             | 2025-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD2509 FN 04/25 FIXED 4.5                    | CUSIP: 31418PYF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $397.61       | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD3542 FN 04/25 FIXED 4.5                    | CUSIP: 31418Q5C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      16666 | PA      | $16650.42     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD4106 FN 05/25 FIXED 4.5                    | CUSIP: 31418RR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      42081 | PA      | $42040.84     | 0.00%             | 2025-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH0167 FN 04/25 FIXED 4.5                    | CUSIP: 3138A1FH9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12465 | PA      | $12435.55     | 0.00%             | 2025-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI2507 FN 05/26 FIXED 4.5                    | CUSIP: 3138AFYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        593 | PA      | $591.80       | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0300 FN 06/26 FIXED VAR                    | CUSIP: 3138EGKN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4087 | PA      | $4083.37      | 0.00%             | 2026-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3627 FN 04/32 FIXED VAR                    | CUSIP: 3138ELA52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      77198 | PA      | $76674.35     | 0.00%             | 2032-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND               | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      13799 | PA      | $134073.63    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL4510 FN 01/27 FIXED VAR                    | CUSIP: 3138EMAL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5971 | PA      | $5957.59      | 0.00%             | 2027-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL5548 FN 05/38 FLOATING VAR                 | CUSIP: 3138ENEW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     771186 | PA      | $783338.80    | 0.05%             | 2038-05-01      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL7206 FN 08/45 FIXED VAR                    | CUSIP: 3138EQAG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14675 | PA      | $14070.28     | 0.00%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS3891 FN 11/44 FIXED 4                      | CUSIP: 3138WDKD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12170 | PA      | $11667.99     | 0.00%             | 2044-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7958 FN 08/46 FIXED 4.5                    | CUSIP: 3138WHZY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     119945 | PA      | $117941.72    | 0.01%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX1955 FN 08/44 FIXED 4                      | CUSIP: 3138Y3E56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4250 | PA      | $4087.82      | 0.00%             | 2044-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BC9261 FN 04/46 FIXED 4                      | CUSIP: 3140F5JF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      53242 | PA      | $50592.58     | 0.00%             | 2046-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BD2723 FN 08/46 FIXED 4.5                    | CUSIP: 3140FAAZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71233 | PA      | $69479.03     | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ5736 FN 04/48 FIXED 4                      | CUSIP: 3140H7LS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800680 | PA      | $1718623.90   | 0.11%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK8835 FN 08/48 FIXED 4                      | CUSIP: 3140HNY97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1420683 | PA      | $1355947.59   | 0.08%             | 2048-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM1447 FN 07/47 FIXED VAR                    | CUSIP: 3140J5TD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3844338 | PA      | $3571962.47   | 0.22%             | 2047-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM2003 FN 10/47 FIXED VAR                    | CUSIP: 3140J6GM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     188807 | PA      | $180555.60    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BV5376 FN 04/52 FIXED 3                      | CUSIP: 3140MJ6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17107879 | PA      | $15039607.27  | 0.94%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0541 FN 10/47 FIXED 3.5                    | CUSIP: 3140Q7S73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11618544 | PA      | $10778456.15  | 0.67%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0694 FN 11/47 FIXED 3.5                    | CUSIP: 3140Q7XY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10200708 | PA      | $9465256.97   | 0.59%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA0860 FN 12/47 FIXED 3.5                    | CUSIP: 3140Q75W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8953506 | PA      | $8304258.76   | 0.52%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB2894 FN 02/52 FIXED 3                      | CUSIP: 3140QNGC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12955381 | PA      | $11418446.63  | 0.71%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3004 FN 02/52 FIXED 3                      | CUSIP: 3140QNKS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5737187 | PA      | $5056567.07   | 0.32%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3242 FN 04/52 FIXED 3                      | CUSIP: 3140QNS86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8643060 | PA      | $7610332.15   | 0.48%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3277 FN 04/52 FIXED 3                      | CUSIP: 3140QNUB6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8634043 | PA      | $7590682.38   | 0.47%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB3278 FN 04/52 FIXED 3                      | CUSIP: 3140QNUC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8546989 | PA      | $7532992.55   | 0.47%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0173 FN 09/24 FIXED 4.5                    | CUSIP: 31417YFP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        449 | PA      | $448.64       | 0.00%             | 2024-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA2724 FN 08/46 FIXED 4.5                    | CUSIP: 31418CA20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3517 | PA      | $3458.52      | 0.00%             | 2046-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD CREDIT AUTO OWNER TRUST 2022-D                               | FORD CREDIT AUTO OWNER TRUST FORDO 2022 D A2B          | CUSIP: 345295AC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6500000 | PA      | $6518812.30   | 0.41%             | 2025-08-15      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FORMENTERA ISSUER PLC 22-1                                        | FORMENTERA ISSUER PLC FORMT 2022 1 A REGS              | CUSIP: ACI23CD49<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2924801 | PA      | $3485672.44   | 0.22%             | 2047-07-28      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| FORT CRE 2022-FL3                                                 | FORTRESS CBO INVESTMENTS LTD FORT 2022 FL3 A 144A      | CUSIP: 34706CAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4600000 | PA      | $4430377.30   | 0.28%             | 2039-02-23      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 332                                            | FREDDIEMAC STRIP FHS 332 V1                            | CUSIP: 3132HUCJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     950033 | PA      | $930860.43    | 0.06%             | 2044-08-15      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 09/24 0.8         | CUSIP: 36143L2C8<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4389054.24   | 0.27%             | 2024-09-13      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SR SECURED 144A 12/23 1.25     | CUSIP: 36143L2F1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4607247.98   | 0.29%             | 2023-12-08      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| GALLATIN CLO IX LTD 2018-1A                                       | GALLATIN FUNDING LTD GALL 2018 1A A 144A               | CUSIP: 36361WAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2509262 | PA      | $2488935.40   | 0.16%             | 2028-01-21      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2006-1                             | GE WMC MORTGAGE SECURITIES LLC GEWMC 2006 1 A2A        | CUSIP: 36829JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6852 | PA      | $3080.21      | 0.00%             | 2036-08-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| GENERAL MOTORS FINANCIAL COMPANY INC                              | GENERAL MOTORS FINL CO COMPANY GUAR 05/23 4.25         | CUSIP: 37045XAL0<br>LEI: 5493008B6JBRUJ90QL97 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4382459.18   | 0.27%             | 2023-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2022-2A                         | GLS AUTO RECEIVABLES TRUST GCAR 2022 2A A2 144A        | CUSIP: 36265NAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4006463 | PA      | $3960771.55   | 0.25%             | 2026-01-15      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES TRUST 2022-1A                                | GLS AUTO RECEIVABLES TRUST GCAR 2022 1A A 144A         | CUSIP: 36263XAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2086663 | PA      | $2058114.35   | 0.13%             | 2025-08-15      | Fixed         | 1.98%                 | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                            | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 1A1      | CUSIP: 36185MBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      21572 | PA      | $19591.31     | 0.00%             | 2035-11-19      | Floating      | 3.61%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 01/25 VAR         | CUSIP: 38141GZH0<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2585416.32   | 0.16%             | 2025-01-24      | Floating      | 1.76%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 03/24 3           | CUSIP: 38141GZP2<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1658512.59   | 0.10%             | 2024-03-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2013-H16                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2013 H16 FA         | CUSIP: 38375B4Y5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     960797 | PA      | $954848.83    | 0.06%             | 2063-07-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H17                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H17 FL         | CUSIP: 38376REV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1341599 | PA      | $1332184.08   | 0.08%             | 2065-06-20      | Floating      | 3.60%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2015-H26                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2015 H26 FA         | CUSIP: 38376RJR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5493215 | PA      | $5438225.50   | 0.34%             | 2065-10-20      | Floating      | 4.36%                 | 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        |     593894 | PA      | $586549.00    | 0.04%             | 2066-05-20      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 FJ         | CUSIP: 38375UWU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4156388 | PA      | $4089761.03   | 0.26%             | 2066-04-20      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-H15                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 H15 FE         | CUSIP: 38376R6F8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4413041 | PA      | $4391523.71   | 0.27%             | 2067-07-20      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2020-H14                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2020 H14 FH         | CUSIP: 38380QGA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3981572 | PA      | $3999231.56   | 0.25%             | 2070-08-20      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 BF         | CUSIP: 38382YC27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12423749 | PA      | $12572553.48  | 0.79%             | 2072-11-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2022-H24                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2022 H24 FD         | CUSIP: 38382YC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11001750 | PA      | $11124255.95  | 0.70%             | 2072-11-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| GPMT LLC 2021-FL3                                                 | GPMT LTD. GPMT 2021 FL3 A 144A                         | CUSIP: 36264BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    3297054 | PA      | $3235629.17   | 0.20%             | 2035-07-16      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2A                                  | GREAT HALL MORTGAGES PLC GHM 2007 2A AC 144A           | CUSIP: 39052PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     161657 | PA      | $158568.12    | 0.01%             | 2039-06-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GREAT HALL MORTGAGES PLC 2007-2X                                  | GREAT HALL MORTGAGES PLC GHM 2007 2X AC REGS           | CUSIP: B1Z97QII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     272797 | PA      | $267583.79    | 0.02%             | 2039-06-18      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-HP1                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 HP1 A2 144A   | CUSIP: 36265LAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4616672 | PA      | $3858527.92   | 0.24%             | 2052-09-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ3                      | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ3 A4 144A   | CUSIP: 362924AE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4742002 | PA      | $3829250.98   | 0.24%             | 2052-08-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE1                                              | GSAMP TRUST GSAMP 2006 HE1 M1                          | CUSIP: 3623414T3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     157522 | PA      | $157827.13    | 0.01%             | 2036-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-11                                   | GSR MORTGAGE LOAN TRUST GSR 2004 11 1A1                | CUSIP: 36242DFP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25481 | PA      | $24069.08     | 0.00%             | 2034-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1               | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      82046 | PA      | $77052.57     | 0.00%             | 2035-09-25      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         35 | PA      | $33.39        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A       | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      30025 | PA      | $26738.78     | 0.00%             | 2035-05-19      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-4                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 4 3A1        | CUSIP: 41161PMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     173060 | PA      | $126871.69    | 0.01%             | 2035-07-19      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-3A                               | HERTZ VEHICLE FINANCING LLC HERTZ 2022 3A A 144A       | CUSIP: 42806MAS8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4389483.15   | 0.27%             | 2025-03-25      | Fixed         | 3.37%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-4A                               | HERTZ VEHICLE FINANCING LLC HERTZ 2022 4A A 144A       | CUSIP: 42806MBA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4500000 | PA      | $4304745.90   | 0.27%             | 2026-09-25      | Fixed         | 3.73%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST 2022-2A                                     | HPEFS EQUIPMENT TRUST HPEFS 2022 2A A1 144A            | CUSIP: 40441TAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     704156 | PA      | $702613.90    | 0.04%             | 2023-05-22      | Fixed         | 1.91%                 | No            |                  2 | On Loan: No      |
| HPEFS EQUIPMENT TRUST 2022-2A                                     | HPEFS EQUIPMENT TRUST HPEFS 2022 2A A2 144A            | CUSIP: 40441TAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4300000 | PA      | $4236568.55   | 0.26%             | 2029-09-20      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| HUMANA INC                                                        | HUMANA INC.                                            | CUSIP: 44486JP60<br>LEI: 529900YLDW34GJAO4J06 | Long             | DBT              | CORP              | US        |    1350000 | PA      | $1343269.72   | 0.08%             | 2023-02-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON INGALLS INDUSTRIES INC                                 | HUNTINGTON INGALLS INDUS COMPANY GUAR 08/23 0.67       | CUSIP: 446413AW6<br>LEI: 5TZLZ6WJTBVJ0QWBG121 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4856065.65   | 0.30%             | 2023-08-16      | Fixed         | 0.67%                 | No            |                  2 | On Loan: No      |
| HYUNDAI AUTO LEASE SECURITIZATION TRUST 2022-C                    | HYUNDAI AUTO LEASE SECURITIZAT HALST 2022 C A2A 144A   | CUSIP: 448978AB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4000000 | PA      | $3970045.60   | 0.25%             | 2025-01-15      | Fixed         | 4.34%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/23 0.8    | CUSIP: 44891ABU0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4942226.75   | 0.31%             | 2023-04-03      | Fixed         | 0.80%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                           | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 04/25 5.875  | CUSIP: 44891ABK2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4521410.51   | 0.28%             | 2025-04-07      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TRUST 2003-9F                                           | IMPAC CMB TRUST IMM 2003 9F A1                         | CUSIP: 45254NFL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15824 | PA      | $15677.48     | 0.00%             | 2033-07-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                                      | ING GROEP NV SR UNSECURED 03/26 3.869                  | CUSIP: 456837BA0<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4500000 | PA      | $4334000.58   | 0.27%             | 2026-03-28      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| INTOWN 2022-STAY MORTGAGE TRUST                                   | INTOWN 2022 STAY TOWN 2022 STAY A 144A                 | CUSIP: 46117NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4200000 | PA      | $4182993.36   | 0.26%             | 2039-08-15      | Floating      | 6.82%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                       | ISRAEL MAKAM BILL BILLS 01/23 0.00000                  | CUSIP: ACI22SVD5<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | MUN               | IL        |   15000000 | PA      | $4265365.54   | 0.27%             | 2023-01-04      | 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        |   30000000 | PA      | $8454571.22   | 0.53%             | 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        |   22640000 | PA      | $6365450.90   | 0.40%             | 2023-05-03      | 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        | 6530000000 | PA      | $49768312.41  | 3.11%             | 2023-02-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 02/25 VAR             | CUSIP: 46647PBY1<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4057080.23   | 0.25%             | 2025-02-16      | Floating      | 0.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 03/24 VAR             | CUSIP: 46647PBZ8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2473912.23   | 0.15%             | 2024-03-16      | Floating      | 0.70%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                              | JPMORGAN CHASE + CO SR UNSECURED 09/27 VAR             | CUSIP: 46647PCQ7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    5000000 | PA      | $4843734.80   | 0.30%             | 2027-09-22      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2             | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10492 | PA      | $5222.69      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | 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        |    5000000 | PA      | $4974583.85   | 0.31%             | 2023-02-10      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| KEYCORP                                                           | KEYCORP SR UNSECURED 05/25 VAR                         | CUSIP: 49326EEL3<br>LEI: RKPI3RZGV1V1FJTH5T61 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4209725.41   | 0.26%             | 2025-05-23      | Floating      | 3.88%                 | 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        |    4500000 | PA      | $4343708.70   | 0.27%             | 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        |    3516580 | PA      | $3478623.74   | 0.22%             | 2027-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| LCM XXV LTD 25A                                                   | LCM LTD PARTNERSHIP LCM 25A AR 144A                    | CUSIP: 50189PAY8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4946450 | PA      | $4890324.14   | 0.31%             | 2030-07-20      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| LFT CRE 2021-FL1 LTD                                              | LFT CRE 2021 FL1, LLC LMNT 2021 FL1 A 144A             | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4882840.00   | 0.31%             | 2039-06-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LIBERTY LENDING ABS TRUST 2022-1A                                 | REACH FINANCIAL LLC REACH 2022 1A A 144A               | CUSIP: 50203YAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2611889 | PA      | $2558551.53   | 0.16%             | 2029-11-15      | Fixed         | 3.76%                 | No            |                  2 | On Loan: No      |
| LMREC 2021-CRE4 LLC                                               | LATITUDE MANAGEMENT REAL ESTAT LMREC 2021 CRE4 A 144A  | CUSIP: 50210LAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    2262943 | PA      | $2241775.86   | 0.14%             | 2037-04-22      | Floating      | 5.44%                 | 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        |    4200000 | PA      | $4073546.40   | 0.25%             | 2037-01-17      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| LOANCORE ISSUER LTD 2021-CRE4                                     | LOANCORE 2018 CRE1 ISSUER, LTD LNCR 2021 CRE4 A 144A   | CUSIP: 53946CAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2539484 | PA      | $2465999.83   | 0.15%             | 2035-07-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                              | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP A 144A   | CUSIP: 55066WAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1661279 | PA      | $1591475.86   | 0.10%             | 2038-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-HE4                                      | ACE SECURITIES CORP. ACE 2004 HE4 M1                   | CUSIP: 004421JH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     868282 | PA      | $778084.56    | 0.05%             | 2034-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MAGNETITE XVIII LTD 2016-18A                                      | MAGNETITE CLO LTD MAGNE 2016 18A AR2 144A              | CUSIP: 55953TAS6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4630837 | PA      | $4580599.73   | 0.29%             | 2028-11-15      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                          | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1          | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     111620 | PA      | $111169.92    | 0.01%             | 2038-04-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                      | ACE SECURITIES CORP. ACE 2006 HE4 A2A                  | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46924 | PA      | $18491.88     | 0.00%             | 2036-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-SD1                                      | ACE SECURITIES CORP. ACE 2006 SD1 M1                   | CUSIP: 004421XW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2831062 | PA      | $2677999.73   | 0.17%             | 2036-02-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| MCCORMICK & COMPANY INCORPORATED                                  | MCCORMICK + COMPANY                                    | CUSIP: 57978DNT2<br>LEI: 549300JQQA6MQ4OJP259 | Long             | DBT              | CORP              | US        |    2250000 | PA      | $2241787.25   | 0.14%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                         | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A           | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4200000 | PA      | $4356457.08   | 0.27%             | 2032-07-15      | Floating      | 2.18%                 | No            |                  2 | On Loan: No      |
| MERCEDES-BENZ FINANCE NORTH AMERICA LLC                           | MERCEDES BENZ FIN NA COMPANY GUAR 144A 11/24 5.5       | CUSIP: 58769JAA5<br>LEI: 549300423Z16BB673J12 | Long             | DBT              | CORP              | US        |     600000 | PA      | $603840.61    | 0.04%             | 2024-11-27      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| METROPOLITAN LIFE GLOBAL FUNDING I                                | MET LIFE GLOB FUNDING I SECURED 144A 08/25 4.05        | CUSIP: 59217GFC8<br>LEI: 635400MMSOCXNNNZDZ82 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4012690.83   | 0.25%             | 2025-08-25      | Fixed         | 4.05%                 | 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        |    5000000 | PA      | $4816807.50   | 0.30%             | 2037-02-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL9 LLC                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL9 A 144A     | CUSIP: 55285AAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4300000 | PA      | $4239202.73   | 0.26%             | 2037-06-19      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                         | MITSUBISHI UFJ FIN GRP SR UNSECURED 03/23 VAR          | CUSIP: 606822AS3<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    4200000 | PA      | $4201625.32   | 0.26%             | 2023-03-02      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINANCIAL GROUP SR UNSECURED 07/23 VAR          | CUSIP: ACI13W744<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    6700000 | PA      | $4567039.53   | 0.29%             | 2023-07-19      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINANCIAL GROUP SR UNSECURED 07/24 VAR          | CUSIP: 60687YBG3<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3600000 | PA      | $3592079.53   | 0.22%             | 2024-07-10      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                        | MIZUHO FINANCIAL GROUP SR UNSECURED 09/28 VAR          | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4007584.72   | 0.25%             | 2028-09-13      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                              | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1         | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     116393 | PA      | $98306.36     | 0.01%             | 2035-09-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2004-D                                | MLCC MORTGAGE INVESTORS INC MLCC 2004 D A1             | CUSIP: 59020UGF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     158709 | PA      | $147694.17    | 0.01%             | 2029-09-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A             | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      31643 | PA      | $29637.54     | 0.00%             | 2035-11-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MMAF EQUIPMENT FINANCE LLC 2022-B                                 | MMAF EQUIPMENT FINANCE LLC MMAF 2022 B A2 144A         | CUSIP: 606940AB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2500000 | PA      | $2504849.50   | 0.16%             | 2025-09-09      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                    | MORGAN STANLEY SR UNSECURED 02/26 VAR                  | CUSIP: 61747YEM3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    8100000 | PA      | $7612230.72   | 0.48%             | 2026-02-18      | Floating      | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A4            | CUSIP: 61755CAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400666 | PA      | $3864820.03   | 0.24%             | 2037-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID NORTH AMERICA INC (AKA: NATIONAL GRID HOLDINGS INC) | NATIONAL GRID HOLDINGS                                 | CUSIP: 63627BNQ5<br>LEI: 5Q3U0WRKWZZGRMPYFT08 | Long             | DBT              | CORP              | US        |     450000 | PA      | $448539.38    | 0.03%             | 2023-01-24      | None          | 0.00%                 | 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        |    2600000 | PA      | $2585933.04   | 0.16%             | 2024-03-08      | Floating      | 3.77%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                       | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 08/24 VAR    | CUSIP: 63861VAC1<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $789719.46    | 0.05%             | 2024-08-01      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL            | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL A 144A   | CUSIP: 63874AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4300000 | PA      | $4048411.73   | 0.25%             | 2038-08-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                 | NATWEST GROUP PLC SR UNSECURED 11/26 VAR               | CUSIP: 639057AG3<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    3100000 | PA      | $3229298.74   | 0.20%             | 2026-11-10      | Floating      | 7.47%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                               | NATWEST MARKETS PLC SR UNSECURED 144A 03/25 3.479      | CUSIP: 63906YAG3<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |    4500000 | PA      | $4306885.65   | 0.27%             | 2025-03-22      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| AES CORPORATION                                                   | AES CORP/THE SR UNSECURED 01/26 1.375                  | CUSIP: 00130HCE3<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $4534222.17   | 0.28%             | 2026-01-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                               | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/24 1.05   | CUSIP: 654740BQ1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3748448.56   | 0.23%             | 2024-03-08      | Fixed         | 1.05%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                               | NISSAN MOTOR CO SR UNSECURED 144A 09/23 3.043          | CUSIP: 654744AA9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    4800000 | PA      | $4704234.34   | 0.29%             | 2023-09-15      | Fixed         | 3.04%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A1A              | CUSIP: 669884AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1431809 | PA      | $1396077.26   | 0.09%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP COMPANY GUAR 144A 03/23 0.373         | CUSIP: 62954WAA3<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4972022.40   | 0.31%             | 2023-03-03      | Fixed         | 0.37%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                           | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A     | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4400000 | PA      | $4001426.44   | 0.25%             | 2038-11-15      | Floating      | 5.41%                 | 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        |    4658575 | PA      | $3904725.22   | 0.24%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-5                            | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 5 1APT       | CUSIP: 68383NCU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     174979 | PA      | $160123.87    | 0.01%             | 2035-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING XIV LLC 2022-1A                                  | OSCAR US FUNDING TRUST OSCAR 2022 1A A4 144A           | CUSIP: 68784HAD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |    4600000 | PA      | $4224572.70   | 0.26%             | 2029-04-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| OZLM VIII LTD 2014-8A                                             | OZLM LTD OZLM 2014 8A A1R3 144A                        | CUSIP: 67107FBL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5020748 | PA      | $4948331.87   | 0.31%             | 2029-10-17      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/25 4.95         | CUSIP: 694308KE6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4139096.30   | 0.26%             | 2025-06-08      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/23 4.25         | CUSIP: 694308JB4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4776398.74   | 0.30%             | 2023-08-01      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/24 3.4          | CUSIP: 694308HK6<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     900000 | PA      | $864189.68    | 0.05%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 11/23 3.85         | CUSIP: 694308HE0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     400000 | PA      | $394420.87    | 0.02%             | 2023-11-15      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2021-1 DAC 21-1A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2021 1A A 144A    | CUSIP: ACI1ZMCH6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3584741 | PA      | $3730947.52   | 0.23%             | 2031-04-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| PFP 2022-9 LTD A                                                  | PFP III PFP 2022 9 A 144A                              | CUSIP: 69291QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    4000000 | PA      | $3929298.80   | 0.25%             | 2035-08-19      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| PFP III LTD 2021-7                                                | PFP III PFP 2021 7 A 144A                              | CUSIP: 69290LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1053485 | PA      | $1025664.84   | 0.06%             | 2038-04-14      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| PHHMC MTG PASS THRU CERTIFICATES 2005-4                           | PHHMC MORTGAGE PASS THROUGH CE PHHMC 2005 4 A7         | CUSIP: 69336RBM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      63817 | PA      | $60443.12     | 0.00%             | 2035-07-18      | Variable      | 5.92%                 | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                   | PHILIP MORRIS INTL INC SR UNSECURED 11/24 5.125        | CUSIP: 718172CT4<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    5400000 | PA      | $5411114.50   | 0.34%             | 2024-11-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRICOA GLOBAL FUNDING I                                           | PRICOA GLOBAL FUNDING 1 SECURED 144A 08/25 4.2         | CUSIP: 74153WCR8<br>LEI: 635400IBXEBMD9ADYA79 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $2942913.84   | 0.18%             | 2025-08-28      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1490 | PA      | $1463.78      | 0.00%             | 2034-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR | CUSIP: P1910WRC5<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    3463000 | PA      | $11320.35     | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| QATAR NATIONAL BANK (QPSC)                                        | QATAR NATIONAL BANK QPSC UNSECURED TERM LOAN           | CUSIP: 948AFGII4<br>LEI: 549300FFSRVBS0SQXY75 | Long             | LON              | CORP              | QA        |    8200000 | PA      | $8169250.00   | 0.51%             | 2023-11-06      | Floating      | 5.56%                 | No            |                  3 | On Loan: No      |
| QORVO INC                                                         | QORVO INC COMPANY GUAR 144A 12/24 1.75                 | CUSIP: 74739DAA2<br>LEI: 254900YAUJV2EUEVBR11 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4242350.00   | 0.27%             | 2024-12-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                               | QUANTA SERVICES INC                                    | CUSIP: 74767HN97<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |    4350000 | PA      | $4344063.47   | 0.27%             | 2023-01-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| QUANTA SERVICES INC                                               | QUANTA SERVICES INC                                    | CUSIP: 74767HNB2<br>LEI: SHVRXXEACT60MMH07S24 | Long             | DBT              | CORP              | US        |     400000 | PA      | $399343.20    | 0.02%             | 2023-01-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2021-FL5 LLC                     | READYCAP COMMERCIAL MORTGAGE T RCMT 2021 FL5 A 144A    | CUSIP: 75574YAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4389569 | PA      | $4271590.01   | 0.27%             | 2038-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| READY CAPITAL MORTGAGE FINANCING 2022-FL8 LLC                     | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL8 A 144A    | CUSIP: 75574PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4392886.05   | 0.27%             | 2037-01-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| READYCAP COMMERCIAL MORTGAGE TRUST 2022-FL9                       | READYCAP COMMERCIAL MORTGAGE T RCMT 2022 FL9 A 144A    | CUSIP: 75574EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4742012 | PA      | $4719184.09   | 0.29%             | 2037-06-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| RENESAS ELECTRONICS CORPORATION                                   | RENESAS ELECTRONICS CORP SR UNSECURED 144A 11/24 1.543 | CUSIP: 75972BAA9<br>LEI: 5299000EPC47VJQOFB81 | Long             | DBT              | CORP              | JP        |    5000000 | PA      | $4587510.30   | 0.29%             | 2024-11-26      | Fixed         | 1.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS11                              | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS11 MII1     | CUSIP: 76110WVV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     613369 | PA      | $606714.05    | 0.04%             | 2034-01-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2005-SA4                             | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 SA4 1A21      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     355864 | PA      | $222088.87    | 0.01%             | 2035-09-25      | Floating      | 3.91%                 | 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        |    4209100 | PA      | $5070095.05   | 0.32%             | 2070-06-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| RESIMAC BASTILLE TRUST SERIES 2021-2NCA                           | RESIMAC RESI 2021 2NCA A1A 144A                        | CUSIP: 76120BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   12123456 | PA      | $11992710.24  | 0.75%             | 2053-02-03      | Floating      | 5.02%                 | 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        |    7836424 | PA      | $9298105.65   | 0.58%             | 2056-08-28      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| RIPON MORTGAGES PLC 1RA                                           | RIPON MORTGAGES PLC RIPON 1RA C 144A                   | CUSIP: ACI23KGS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    7000000 | PA      | $8087780.66   | 0.51%             | 2056-08-28      | Floating      | 4.30%                 | 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        |    2976791 | PA      | $3580869.57   | 0.22%             | 2046-06-12      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                            | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1        | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        472 | PA      | $459.68       | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN CREDIT ACCEPTANCE RECEIVABLES TRUST 2022-2               | AMERICAN CREDIT ACCEPTANCE REC ACAR 2022 2 A 144A      | CUSIP: 02530BAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2122006 | PA      | $2107136.11   | 0.13%             | 2026-02-13      | Fixed         | 2.66%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-4                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 4 A2         | CUSIP: 80286FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3516371 | PA      | $3502888.30   | 0.22%             | 2025-07-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-5                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 5 A2         | CUSIP: 80287HAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    8200000 | PA      | $8159474.78   | 0.51%             | 2025-01-15      | Fixed         | 3.98%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-6                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 6 A2         | CUSIP: 802918AB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4900000 | PA      | $4878195.49   | 0.30%             | 2025-05-15      | Fixed         | 4.37%                 | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2022-7                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2022 7 A2         | CUSIP: 80287FAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1500000 | PA      | $1503097.95   | 0.09%             | 2026-01-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                   | SANTANDER UK GROUP HLDGS SR UNSECURED 11/26 VAR        | CUSIP: 80281LAS4<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    3200000 | PA      | $3244848.00   | 0.20%             | 2026-11-21      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                            | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A      | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2022343.18   | 0.13%             | 2038-05-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| SK HYNIX INC                                                      | SK HYNIX INC SR UNSECURED 144A 01/24 1                 | CUSIP: 78392BAA5<br>LEI: 988400XAIK6XISWQV045 | Long             | DBT              | CORP              | KR        |    5000000 | PA      | $4752110.15   | 0.30%             | 2024-01-19      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-7                                     | SLM STUDENT LOAN TRUST SLMA 2005 7 A4                  | CUSIP: 78442GQJ8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     995205 | PA      | $988750.24    | 0.06%             | 2029-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1A 144A     | CUSIP: 83206NAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3990782 | PA      | $3692452.71   | 0.23%             | 2055-02-16      | Fixed         | 3.94%                 | 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        |    3990782 | PA      | $3873257.89   | 0.24%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE SA                                               | SOCIETE GENERALE SR UNSECURED REGS 01/25 2.625         | CUSIP: 83368TAV0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    4200000 | PA      | $3951800.83   | 0.25%             | 2025-01-22      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVI LTD 2017-2A                                   | SOUND POINT CLO LTD SNDPT 2017 2A AR 144A              | CUSIP: 83610KAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4629500.00   | 0.29%             | 2030-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| SOUND POINT CLO XVII 2017-3A                                      | SOUND POINT CLO LTD SNDPT 2017 3A A1R 144A             | CUSIP: 83611GAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4700000 | PA      | $4636331.45   | 0.29%             | 2030-10-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                                       | SOUTHERN CO SR UNSECURED 07/26 3.25                    | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3389664.56   | 0.21%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SSE PLC                                                           | SSE PLC SR UNSECURED REGS 04/25 1.25                   | CUSIP: ACI1LMP95<br>LEI: 549300KI75VYLLMSK856 | Long             | DBT              | CORP              | GB        |    2400000 | PA      | $2431871.99   | 0.15%             | 2025-04-16      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                            | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR     | CUSIP: 853254CE8<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $4570158.65   | 0.29%             | 2025-11-23      | Floating      | 1.82%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                            | STANDARD CHARTERED PLC SR UNSECURED 144A 11/25 VAR     | CUSIP: 853254CF5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    5000000 | PA      | $4859787.50   | 0.30%             | 2025-11-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| STEELE CREEK CLO LTD 2014-1                                       | STEELE CREEK CLO LTD STCR 2014 1RA A 144A              | CUSIP: 85816WAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2657440 | PA      | $2608534.88   | 0.16%             | 2031-04-21      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| STONEPEAK 2021-1 ABS                                              | STONEPEAK SALTT 2021 1A AA 144A                        | CUSIP: 78433XAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4215014 | PA      | $3755081.77   | 0.23%             | 2033-02-28      | Fixed         | 2.30%                 | 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        |    5250951 | PA      | $6294178.05   | 0.39%             | 2060-07-20      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1        | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      95545 | PA      | $79330.84     | 0.00%             | 2035-01-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2         | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51563 | PA      | $48491.46     | 0.00%             | 2034-02-25      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1        | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      62305 | PA      | $53141.46     | 0.00%             | 2035-08-25      | Floating      | 3.68%                 | 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        |        569 | PA      | $542.07       | 0.00%             | 2032-09-19      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC11                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC11 M1       | CUSIP: 86358EEM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10839 | PA      | $10665.44     | 0.00%             | 2033-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LN TR 2004-2                          | STRUCTURED ASSET INVESTMENT LO SAIL 2004 2 A4          | CUSIP: 86358EGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     233312 | PA      | $219596.13    | 0.01%             | 2034-03-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A       | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      41675 | PA      | $32247.38     | 0.00%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-NC1                                | STRUCTURED ASSET SECURITIES CO SASC 2006 NC1 A5        | CUSIP: 86360PAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3529908 | PA      | $3346699.46   | 0.21%             | 2036-05-25      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/25 1.474      | CUSIP: 86562MCA6<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    5300000 | PA      | $4834046.90   | 0.30%             | 2025-07-08      | Fixed         | 1.47%                 | No            |                  2 | On Loan: No      |
| SWEDBANK AB                                                       | SWEDBANK AB SR UNSECURED 144A 09/27 5.337              | CUSIP: 87020PAT4<br>LEI: M312WZV08Y7LYUC71685 | Long             | DBT              | CORP              | SE        |    4100000 | PA      | $4073126.10   | 0.25%             | 2027-09-20      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XVII LTD 2016-17A                                    | SYMPHONY CLO LTD SYMP 2016 17A AR 144A                 | CUSIP: 87165UAN1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     809360 | PA      | $803946.38    | 0.05%             | 2028-04-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK (AKA: GE CAPITAL RETAIL BANK)                      | SYNCHRONY BANK SR UNSECURED 08/25 5.4                  | CUSIP: 87166FAD5<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4224497.89   | 0.26%             | 2025-08-22      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| TARGA RESOURCES CORP                                              | TARGA RES CORP                                         | CUSIP: 87613LND7<br>LEI: 5493003QENHHS261UR94 | Long             | DBT              | CORP              | US        |    4250000 | PA      | $4242879.85   | 0.27%             | 2023-01-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                           | BANK OF NOVA SCOTIA SR UNSECURED 03/24 2.44            | CUSIP: 06418BAC2<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    4500000 | PA      | $4346667.32   | 0.27%             | 2024-03-11      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                           | BANK OF NOVA SCOTIA SR UNSECURED 07/24 0.65            | CUSIP: 0641596E1<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    5000000 | PA      | $4664303.65   | 0.29%             | 2024-07-31      | Fixed         | 0.65%                 | 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        |    4800000 | PA      | $4671237.98   | 0.29%             | 2031-04-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| TICP CLO II LTD 2018-IIA                                          | TICP CLO LTD TICP 2018 IIA A1 144A                     | CUSIP: 87249TAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2177745 | PA      | $2171384.49   | 0.14%             | 2028-04-20      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 7 DAC 7A                                        | TORO EUROPEAN CLO TCLO 7A ARE 144A                     | CUSIP: ACI227LV2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    5400000 | PA      | $5575123.13   | 0.35%             | 2034-02-15      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| TOWD POINT HE TRUST 2021-HE1                                      | TOWD POINT ASSET FUNDING, LLC TPHT 2021 HE1 A1 144A    | CUSIP: 89180DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1718169 | PA      | $1614397.09   | 0.10%             | 2063-02-25      | Variable      | 0.92%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE 20-FUNDING 2020 - AUBURN 14 PLC 20-A14X       | TOWD POINT MORTGAGE FUNDING TPMF 2020 A14X A REGS      | CUSIP: ACI1NPPB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8483832 | PA      | $10103162.99  | 0.63%             | 2045-05-20      | Floating      | 4.02%                 | 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        |    3089728 | PA      | $3695444.88   | 0.23%             | 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        |    4824634 | PA      | $5798432.66   | 0.36%             | 2051-10-20      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| TOYOTA MOTOR CREDIT CORPORATION                                   | TOYOTA MOTOR CREDIT CORP SR UNSECURED 12/23 VAR        | CUSIP: 89236TKM6<br>LEI: Z2VZBHUMB7PWWJ63I008 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $1001661.59   | 0.06%             | 2023-12-11      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2019-FL3                       | TPG REAL ESTATE FINANCE TRTX 2019 FL3 A 144A           | CUSIP: 87276VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     569720 | PA      | $562562.89    | 0.04%             | 2034-10-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2021-FL4                       | TPG REAL ESTATE FINANCE TRTX 2021 FL4 A 144A           | CUSIP: 87276WAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4840625.00   | 0.30%             | 2038-03-15      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                       | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A           | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4600000 | PA      | $4493519.20   | 0.28%             | 2039-02-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| TRANSCANADA PIPELINES LIMITED                                     | TRANSCANADA PIPELINES LTD                              | CUSIP: 89355QNK8<br>LEI: 5BV01I6231JPDAPMGH09 | Long             | DBT              | CORP              | CA        |     700000 | PA      | $698194.00    | 0.04%             | 2023-01-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO LTD 2016-9A                                 | ANCHORAGE CAPITAL CLO LTD ANCHC 2016 9A AR2 144A       | CUSIP: 03328WAS7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4875979.45   | 0.30%             | 2032-07-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| TRICOLOR AUTO SECURITIZATION TRUST 2022-1A                        | TRICOLOR AUTO SECURITIZATION T TAST 2022 1A A 144A     | CUSIP: 89616BAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2518481 | PA      | $2491558.24   | 0.16%             | 2025-02-18      | Fixed         | 3.30%                 | 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        |    3816249 | PA      | $4560297.96   | 0.29%             | 2059-07-15      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| TSTAT 2022-1A LTD                                                 | TSTAT 2022 1 LTD TSTAT 2022 1A A1 144A                 | CUSIP: 872899AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    4100000 | PA      | $4089772.96   | 0.26%             | 2031-07-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 05/26 VAR               | CUSIP: 902613AM0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3300000 | PA      | $3228268.26   | 0.20%             | 2026-05-12      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 15 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042418<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     200000 | PA      | $198697.62    | 0.01%             | 2038-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                | CUSIP: 01F030629<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -63100000 | PA      | $-55440875.31 | -3.47%            | 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                  | Short            | ABS-MBS          | USGSE             | US        |  -34500000 | PA      | $-31367440.02 | -1.96%            | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   17200000 | PA      | $16137157.30  | 1.01%             | 2053-02-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040636<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   55000000 | PA      | $51614266.00  | 3.23%             | 2053-03-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   81400000 | PA      | $78362638.77  | 4.90%             | 2053-02-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050619<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8100000 | PA      | $7982824.67   | 0.50%             | 2053-01-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     100000 | PA      | $100227.13    | 0.01%             | 2053-02-13      | Fixed         | 5.50%                 | 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        |   10700000 | PA      | $10813246.45  | 0.68%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/23 0.00000                            | CUSIP: 912796XT1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       4000 | PA      | $3987.33      | 0.00%             | 2023-02-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 02/23 0.00000                            | CUSIP: 912796YA1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     871000 | PA      | $866673.91    | 0.05%             | 2023-02-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 03/23 0.00000                            | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2792000 | PA      | $2772955.09   | 0.17%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AOA 2021-1177 MORTGAGE TRUST                                      | AVENUE OF AMERICAS AOA 2021 1177 A 144A                | CUSIP: 00192NAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3320000 | PA      | $3082654.86   | 0.19%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/32 2.875                            | CUSIP: 91282CEP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2100000 | PA      | $1935937.50   | 0.12%             | 2032-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| AQUEDUCT EUROPEAN CLO 1-2017 DAC                                  | AQUEDUCT EUROPEAN CLO AQUE 2017 1A AR 144A             | CUSIP: ACI1VHTC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2512621 | PA      | $2636688.59   | 0.16%             | 2030-07-20      | Floating      | 2.10%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2021-FL4          | ARBOR REALTY COLLATERALIZED LO ARCLO 2021 FL4 A 144A   | CUSIP: 03880RAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4300000 | PA      | $4158137.41   | 0.26%             | 2036-11-15      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| VENTURE CDO LTD 2016-25A                                          | VENTURE CDO LTD VENTR 2016 25A ARR 144A                | CUSIP: 92329VAS1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2725802 | PA      | $2698921.75   | 0.17%             | 2029-04-20      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVIII CLO LTD 2017-28A                                   | VENTURE CDO LTD VENTR 2017 28A A2R 144A                | CUSIP: 92331AAW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4800000 | PA      | $4699832.02   | 0.29%             | 2030-07-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| VMC FINANCE 2021-FL4 LLC                                          | VMC FINANCE LLC VMC 2021 FL4 A 144A                    | CUSIP: 91835RAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2922231 | PA      | $2742659.85   | 0.17%             | 2036-06-16      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE6                                             | AREIT CRE TRUST AREIT 2022 CRE6 A 144A                 | CUSIP: 04002VAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    4753431 | PA      | $4542266.20   | 0.28%             | 2037-01-16      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2017-1A                                              | VOYA CLO LTD VOYA 2017 1A A1R 144A                     | CUSIP: 92916MAF8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4725950 | PA      | $4667439.31   | 0.29%             | 2030-04-17      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                     | VW CR INC                                              | CUSIP: 91842KNS1<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3089102.73   | 0.19%             | 2023-01-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VW CREDIT INC                                                     | VW CR INC                                              | CUSIP: 91842KNT9<br>LEI: 549300UUPJ2NXDB68M19 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3985399.56   | 0.25%             | 2023-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WAIKIKI BEACH HOTEL TRUST 2019-WBM                                | WAIKIKI BEACH HOTEL TRUST WBHT 2019 WBM A 144A         | CUSIP: 93065PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4500000 | PA      | $4354659.45   | 0.27%             | 2033-12-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WALGREENS BOOTS ALLIANCE INC                                      | WALGREENS BOOTS                                        | CUSIP: 93142XNJ6<br>LEI: 549300RPTUOIXG4LIH86 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $3990060.88   | 0.25%             | 2023-01-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A         | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4458 | PA      | $4013.95      | 0.00%             | 2042-06-25      | Floating      | 3.45%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A2A1      | CUSIP: 939336X65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     212026 | PA      | $195137.88    | 0.01%             | 2045-01-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1     | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33237 | PA      | $30833.92     | 0.00%             | 2045-12-25      | Floating      | 4.93%                 | 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        |    4039465 | PA      | $3987311.94   | 0.25%             | 2029-01-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| ARES XXXIX CLO LTD 2016-39A                                       | ARES CLO LTD ARES 2016 39A A1R2 144A                   | CUSIP: 04015WBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5000000 | PA      | $4912500.00   | 0.31%             | 2031-04-18      | Floating      | 5.24%                 | 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        |    2800000 | PA      | $2723813.37   | 0.17%             | 2026-04-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY SR UNSECURED 10/23 2.509         | CUSIP: 949746SG7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $4472460.44   | 0.28%             | 2023-10-27      | Fixed         | 2.51%                 | Yes           |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2017-HSDB                   | WELLS FARGO COMMERCIAL MORTGAG WFCM 2017 HSDB A 144A   | CUSIP: 95001EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1100000 | PA      | $1085576.91   | 0.07%             | 2031-12-13      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WESTLAKE AUTOMOBILE RECEIVABLES TRUST 2022-2A                     | WESTLAKE AUTOMOBILE RECEIVABLE WLAKE 2022 2A A2B 144A  | CUSIP: 96042VAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4281440 | PA      | $4260234.45   | 0.27%             | 2025-08-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | FIXED INC CLEARING CORP.REPO                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    1937000 | PA      | $1937000.00   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | PARIBAS REPO                                           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |  228400000 | PA      | $228400000.00 | 14.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $7880.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-2756.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230109                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2784.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230109                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $6478.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1610.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2806.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-1712249.28  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20230313                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-249288.10   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-10470.25    | -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      | $2001.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20230221                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-3338904.27  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1033083.41  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20230321                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1613.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230315                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-32935.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY38 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-100750.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG39 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1512517.98  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20230104                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-53609.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2002-HE1                          | ASSET BACKED SECURITIES CORP H ABSHE 2002 HE1 M1       | CUSIP: 04541GCG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32341 | PA      | $31829.09     | 0.00%             | 2032-03-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230206                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $223831.67    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20230314                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $7148.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230125                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $14238.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20230202                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-15359.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20230104                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $479886.22    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20230405                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $265728.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20230503                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $66886.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20230503                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $211254.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-128140.99   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20230410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-234832.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-47592.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP BPS                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-14498.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-110239.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-53541.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-83286.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | COLOMBIA LA SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-123240.28   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                                          | AT+T INC                                               | CUSIP: 0020A3N30<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1499243.51   | 0.09%             | 2023-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IMM EUR FUT OPT DEC23P 96.5 EXP 12/18/2023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -461 | NC      | $-1640980.21  | -0.10%            |  |  |  | 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      | $238083.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  MAR23 XEUR 20230308                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -25 | NC      | $228720.70    | 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      | $85810.97     | 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      | $-84048.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20230119                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-155.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATMOS ENERGY CORPORATION                                          | ATMOS ENERGY CORP SR UNSECURED 03/23 VAR               | CUSIP: 049560AV7<br>LEI: QVLWEGTD2S8GJMO8D383 | Long             | DBT              | CORP              | US        |    6000000 | PA      | $5996589.18   | 0.37%             | 2023-03-09      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                            | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A     | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3993802.21   | 0.25%             | 2036-12-15      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20230313                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $655017.45    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20230110                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-4749.52     | -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      | $42559.49     | 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      | $76836.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATSTC 2022-1A                                                     | ATLAS STATIC SENIOR LOAN FUND ATSTC 2022 1A A 144A     | CUSIP: 04942PAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4200000 | PA      | $4187232.84   | 0.26%             | 2030-07-15      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -21 | NC      | $424319.91    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20230405                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $214287.30    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $34714.93     | 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      | $-133307.88   | -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      | $-1702.97     | -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      | $146200.07    | 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      | $-6919.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-31937.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20230216                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-12859.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20230413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-240523.90   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20230413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-206458.78   | -0.01%            |  |  |  | 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        |    4100000 | PA      | $4045829.98   | 0.25%             | 2032-01-20      | Floating      | 5.31%                 | 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        |   -8600000 | NC      | $-10799.88    | -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        |   -8600000 | NC      | $-117364.20   | -0.01%            |  |  |  | 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        |  -30500000 | NC      | $-183640.50   | -0.01%            |  |  |  | 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        |  -30500000 | NC      | $-396.50      | -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