# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-23-000154
**Filing Date:** 2023-3
**Character Count:** 348149
**Document Hash:** 67f8317932ba784ae9329eecb55af524
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-23-000154.hdr.sgml**: 20230301

**ACCESSION NUMBER**: 0001047304-23-000154

**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:** 23688693

**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 Income Portfolio (Series ID: S000052997)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000166584 | Administrative Class | PIINCAM         |
| C000166585 | Advisor Class        | PIINCAV         |
| C000166586 | Institutional Class  | PIINCIS         |

## 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 Income Portfolio

- **b. EDGAR series identifier (if any):** S000052997

- **c. LEI of Series:** 549300MOZXYNRRLD4N87

**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:** $786636510.16

**Total Liabilities:** $268412624.25

**Net Assets:** $518223885.91

**Cash Not Reported:** $10427971.06

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 64305.987900 | **1-Year:** 9060.598800 | **5-Year:** 45585.265900 | **10-Year:** 8635.166600 | **30-Year:** -5376.809200

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

- **3-Month:** 27464.108700 | **1-Year:** 11755.129700 | **5-Year:** 36309.956800 | **10-Year:** 9070.625900 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000166586 | 0.27%                | 3.14%                | 0.09%                |
| Class ID C000166584 | 0.26%                | 3.13%                | 0.08%                |
| Class ID C000166585 | 0.25%                | 3.12%                | 0.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-6298586.10             | $2403885.70                                |
| Month 2  | $663863.65               | $10547573.42                               |
| Month 3  | $1313705.29              | $-3160382.09                               |

### 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                                                                           | 317U1SYA1 PIMCO SWAPTION 3.73 PUT USD 20230123             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10400000 | NC      | $-61742.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1SZA0 PIMCO SWAPTION 3.23 CALL USD 2023012             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | -10400000 | NC      | $-5162.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1TAA5 PIMCO SWAPTION 3.77 PUT USD 20230123             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-2041.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U1TBA4 PIMCO SWAPTION 3.27 CALL USD 2023012             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -400000 | NC      | $-249.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U385O5 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4800000 | NC      | $-1.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U386O4 PIMCO FPPSWAPTION 2.6875 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-8480.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U387O3 PIMCO FPPSWAPTION 2.69 PUT USD                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-3629.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U388O2 PIMCO FPPSWAPTION 2.697 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-15663.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U389O1 PIMCO FPPSWAPTION 2.6875 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-1756.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U390O8 PIMCO FPPSWAPTION 2.69 CALL USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -300000 | NC      | $-754.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U391O7 PIMCO FPPSWAPTION 2.697 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-3290.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U392O6 PIMCO SWAPTION 2.1 PUT EUR 20230403              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -4800000 | NC      | $-73976.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U400O6 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2400000 | NC      | $-0.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U401O5 PIMCO SWAPTION 2.1 PUT EUR 20230404              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2400000 | NC      | $-37213.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U412O2 PIMCO SWAPTION 2.1 PUT EUR 20230405              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-24773.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U413O1 PIMCO SWAPTION 0.55 CALL EUR 2023040             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-0.51        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U418O6 PIMCO FPPSWAPTION 2.781 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-12532.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U419O5 PIMCO FPPSWAPTION 2.781 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-3056.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U458O7 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-24943.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U459O6 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-0.69        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U460O3 PIMCO FPPSWAPTION 2.721 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7074.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U461O2 PIMCO FPPSWAPTION 2.721 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-1590.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U474O7 PIMCO FPPSWAPTION 2.835 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-2341.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U477O4 PIMCO FPPSWAPTION 2.835 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-8814.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U478O3 PIMCO FPPSWAPTION 2.785 PUT USD                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-9082.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U479O2 PIMCO FPPSWAPTION 2.785 CALL USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-2242.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.0 09/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-43331.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.02 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-56418.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.055 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-55023.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.066 09/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-95324.23    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.14 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-126004.21   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.25 11/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-96784.63    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INF SWAP GB NI 4.4 10/15/21-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-46437.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 2.75000 06/17/16-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-438194.34   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.00000 03/21/17-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-35211.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.15000 03/18/20-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $420698.93    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.32900 03/09/21-5Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $11056.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.36300 03/09/21-4Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $9661.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.39500 03/09/21-4Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $7816.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.42500 03/09/21-3Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $6178.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR -0.45250 03/09/21-3Y* LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $3910.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.15000 06/17/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $149976.20    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.25000 03/18/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $95949.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.50000 06/17/20-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $170551.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.83000 12/09/42-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $247381.81    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.75000 03/15/23-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $507272.48    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.00000 09/21/22-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-536947.28   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.47000 03/01/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-6895.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.50000 03/05/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-20019.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.52000 03/01/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-13754.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.55000 03/01/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-42857.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.56000 03/01/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-6720.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 4.56500 03/01/21-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-6789.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 5.16000 06/12/20-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-30114.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 5.53500 05/12/20-7Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-75139.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 5.79500 06/10/16-7Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-3549.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 5.95000 02/12/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-13609.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 6.08000 03/22/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-54187.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 6.35000 09/13/13-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-1482.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 6.49000 09/20/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-15625.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.15000 06/23/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-85128.79    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.20000 06/23/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-9044.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.36000 09/15/17-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-9166.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.37000 10/23/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-21784.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.38000 09/08/17-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2422.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.38000 11/16/16-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-537.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.48000 07/13/17-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-8412.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.49500 01/26/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $6275.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.49750 01/27/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $26203.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.61000 01/29/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-1351.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.64000 01/09/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-121.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.70000 05/08/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-1580.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.74500 01/11/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-198.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.80500 02/12/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-888.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.81750 03/01/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-9942.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.82000 02/12/18-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-906.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.86500 02/14/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-16785.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.98400 12/22/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $5815.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 7.99000 01/02/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $172.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.00500 01/02/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $32066.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.01000 02/16/17-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $-4644.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.03000 02/12/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $508.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.05000 02/12/18-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $3472.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.10250 01/29/18-20Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $9589.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.32000 03/31/22-1Y (WHT) CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $84699.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.41000 04/06/22-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $2306.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.66000 04/07/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $11419.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.67500 04/06/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $27059.89     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.70100 04/13/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $428.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.73000 04/12/22-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $957.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.73200 04/12/22-10Y* CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $19.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MXN 8.75000 04/08/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |         1 | NC      | $9207.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S SR UNSECURED REGS 01/26 1.875     | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |   1515000 | PA      | $1394907.58   | 0.27%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.50000 06/16/21-5Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $993586.06    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.50000 06/16/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-552350.14   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.75000 06/16/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1465873.85  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.75000 06/16/21-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $991638.47    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 0.94000 06/08/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $117989.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.00000 12/16/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $142255.02    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.08800 02/03/22-2Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-77070.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.23500 05/12/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $54749.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 06/16/21-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $826784.73    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 06/17/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4254835.18   | 0.82%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.25000 12/15/21-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1323537.22  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.26500 09/28/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-108219.45   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.27000 11/04/22-1Y (WHT) LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-2094678.90  | -0.40%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.30000 03/16/20-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $115336.43    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.30000 03/18/20-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $114966.24    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.35000 01/20/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $368433.06    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.40500 09/07/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $161548.25    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.41750 01/20/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-51234.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.42500 01/18/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-102154.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.43000 03/17/20-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $121653.89    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.45000 02/17/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $262880.74    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.45000 07/16/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $141160.56    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.49125 01/21/21-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-147478.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.50000 01/12/22-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $76482.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.50000 10/05/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-108119.38   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.50000 12/15/21-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-402826.03   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.50000 12/18/19-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $117955.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.51800 01/20/22-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-39553.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.53500 10/15/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-106578.95   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.54500 10/26/21-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-70911.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.55000 10/20/21-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1503114.55  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.57000 01/11/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-86111.65    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.58000 02/16/22-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-105350.77   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.62500 02/03/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1020213.89   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.63000 01/26/22-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-62632.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.65500 01/24/22-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-84325.40    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.70000 03/06/23-1Y (RED) LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-82666.25    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.70000 10/12/21-7Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-253534.46   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.70000 11/17/21-5Y* CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-925893.09   | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.73500 01/12/22-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-64613.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.74000 12/16/19-7Y LCH                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $35479.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.75000 01/15/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $370280.87    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.75000 12/15/21-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1121845.71   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.76800 02/02/22-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-63614.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.78500 08/12/21-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $157739.69    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.81500 01/24/22-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-31197.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.86700 01/26/22-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-30206.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.87500 02/07/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $354482.88    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.89500 10/18/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $88870.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 1.91000 10/17/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $88016.52     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 02/12/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $186020.96    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 02/18/22-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-126626.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 03/10/20-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $92232.67     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 12/10/19-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $93823.87     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.00000 12/15/21-30Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1115980.29  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.25000 03/12/20-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $203921.82    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.25000 06/20/18-10Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $111572.78    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.25000 12/11/19-30Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $510243.35    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 2.50000 12/18/19-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $102693.90    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 3.00000 06/19/19-5Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $503163.13    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS USD 3.00000 06/19/19-7Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $450756.08    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS ZAR 7.71000 11/23/22-3Y CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $1165.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS ZAR 7.75000 09/19/18-10Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |         1 | NC      | $-18476.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS JPY MUTKCALM/0.17625 04/27/22-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-19014.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS JPY MUTKCALM/0.71125 04/27/22-20Y LC                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $33353.52     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/1.73000 02/24/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-100699.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/1.87200 04/06/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-161895.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/1.92750 03/25/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-90484.92    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS USD SOFR/2.45000 10/04/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $107617.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/1.06000 02/21/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-52685.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/1.10100 02/21/22-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-51756.62    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $698415.24    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/2.00000 03/15/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $63331.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCO DE CREDITO DEL PERU SA                                                  | BANCO DE CREDITO DEL PER SR UNSECURED 144A 09/24 4.65      | CUSIP: 05971U2B2<br>LEI: 549300EQYQ8SCQZ4BY14 | Long             | DBT              | CORP              | PE        |    400000 | PA      | $98399.95     | 0.02%             | 2024-09-17      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $135715.07    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $1518049.40   | 0.29%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.4000 06/15/22-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $248649.32    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTKCALM/0.5000 03/15/22-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $397485.89    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $325586.57    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $225366.57    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.00000 06/15/22-7Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $529279.29    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.25000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-418496.17   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.25000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $381075.16    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.57300 02/28/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-62864.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.60000 01/16/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $292684.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-10Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $317003.69    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-601348.67   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $213062.84    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.81700 04/05/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-334880.99   | -0.06%            |  |  |  | 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      | $1048948.94   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.00000 12/21/22-5Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $52373.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.00000 12/21/22-7Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $492851.80    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.30000 01/17/24-2Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $135873.18    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.35000 01/17/24-1Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $151148.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.38500 06/08/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $28658.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.45000 12/20/23-1Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $303678.48    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-202052.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.95500 10/04/22-5Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-40823.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.14 03/29/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4339.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.16 03/29/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2448.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.22 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-5899.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.245 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2893.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.26 03/25/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2860.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.35 03/28/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3227.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.7 03/24/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-946.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.715 03/24/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4187.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 11.87 03/22/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-8387.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12 03/23/22-01/02/25 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-4295.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.08 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-6381.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.14 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2787.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.145 03/22/22-01/02/25 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-2767.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.16 03/21/22-01/02/25 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-5615.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.67 03/29/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1209.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.69 03/29/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $752.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.74 03/25/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1750.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.75 03/28/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $840.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.76 03/25/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1612.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.9 03/21/22-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1843.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.93 03/24/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $221.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.9385 03/21/22-01/02/23 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $731.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.946 03/22/22-01/02/23 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1848.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.96 03/21/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $1281.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.97 03/22/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $634.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.97 03/23/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $814.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 12.97 03/24/22-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $717.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 5.83 12/23/19-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-12812.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 5.836 12/23/19-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-11352.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 5.855 12/23/19-01/02/23 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-3558.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ZCS BRL 6.17 03/18/21-01/02/23 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-411694.88   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-42282.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-16865.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-32248.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4722.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-4722.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-8432.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TURKEY EM SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-17915.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317536AI1 OTC ECAL FN 5.5 JAN23 101.890625 CALL            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-6.00        | -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        |   -500000 | NC      | $-0.30        | -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        |   -100000 | NC      | $-933.09      | -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        |   -100000 | NC      | $-733.50      | -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        |       661 | NC      | $-681874.33   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -29 | NC      | $16272.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) MAR23 XCBT 20230331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -9 | NC      | $1078.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) MAR23 XCBT 20230331                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       102 | NC      | $-15673.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US LONG BOND(CBT) MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -55 | NC      | $34726.56     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT MAR23 XCBT 20230322                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -51 | NC      | $23432.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | WINDSTREAM HOLDINGS II, LLC 8725909B2                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |      1684 | NC      | $34090.67     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                            | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                  | CUSIP: 18453H106<br>LEI: N/A                  | Long             | EC               | CORP              | US        |    133771 | NS      | $140459.55    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC JR SUBORDINA 12/99 VAR                        | CUSIP: 06738EBA2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |   1600000 | PA      | $1566080.00   | 0.30%             | 2023-09-15      | Floating      | 7.75%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC JR SUBORDINA REGS 12/99 VAR                   | CUSIP: ACI0SSSH6<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $479218.15    | 0.09%             | 2023-03-15      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                               | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                  | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3575556 | PA      | $2979164.38   | 0.57%             | 2046-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                          | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3          | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7438588 | PA      | $7153144.83   | 1.38%             | 2034-12-25      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBK SEC 2005-AQ2                                             | BEAR STEARNS ASSET BACKED SECU BSABS 2005 AQ2 M1           | CUSIP: 0738792V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    603158 | PA      | $600687.86    | 0.12%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO SR UNSECURED 02/33 6.125                         | CUSIP: 097023AU9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    800000 | PA      | $815637.94    | 0.16%             | 2033-02-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER INC                                                                | BOMBARDIER INC SR UNSECURED 144A 03/25 7.5                 | CUSIP: 097751BM2<br>LEI: W7L3VLU8EHQY34Z36697 | Long             | DBT              | CORP              | CA        |    704000 | PA      | $698631.35    | 0.13%             | 2025-03-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BRITISH AIRWAYS 2013-1 CLASS A PASS THROUGH TRUST                             | BRITISH AIR 13 1 A PTT PASS THRU CE 144A 12/25 4.625       | CUSIP: 11042AAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    111430 | PA      | $108247.23    | 0.02%             | 2025-12-20      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC COMPANY GUAR 144A 02/41 3.5                   | CUSIP: 11135FBJ9<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    959000 | PA      | $684396.39    | 0.13%             | 2041-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                                                  | BROADCOM INC SR UNSECURED 144A 04/34 3.469                 | CUSIP: 11135FBL4<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |   1947000 | PA      | $1558965.55   | 0.30%             | 2034-04-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| BROOKS AUTOMATION (ALTAR BIDCO INC)                                           | ALTAR BIDCO  INC. 2021 TERM LOAN                           | CUSIP: 02090CAE0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |   1000000 | PA      | $957710.00    | 0.18%             | 2029-02-01      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2018-BILT 2018-BILT                                                  | BX TRUST BX 2018 BILT D 144A                               | CUSIP: 05606JAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3365000 | PA      | $3194581.26   | 0.62%             | 2030-05-15      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| CAESARS RESORT COLLECTION LLC (AKA: CAESARS GROWTH PROPERTIES HOLDINGS LLC)   | CAESARS RESORT COLLECTION LLC TERM B LOANS                 | CUSIP: 12769LAB5<br>LEI: 549300V3UCT773B1KR38 | Long             | LON              | CORP              | US        |   2631140 | PA      | $2628614.37   | 0.51%             | 2024-12-23      | Floating      | 7.13%                 | No            |                  2 | On Loan: No      |
| CARNIVAL CORPORATION                                                          | CARNIVAL CORPORATION USD TERM LOAN B                       | CUSIP: P2121YAN8<br>LEI: F1OF2ZSX47CR0BCWA982 | Long             | LON              | CORP              | PA        |    975000 | PA      | $937564.88    | 0.18%             | 2025-06-30      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                    | CARVANA CO COMPANY GUAR 144A 04/27 5.5                     | CUSIP: 146869AF9<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    663000 | PA      | $263497.94    | 0.05%             | 2027-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                                    | CARVANA CO COMPANY GUAR 144A 05/30 10.25                   | CUSIP: 146869AJ1<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |   2320000 | PA      | $1094468.03   | 0.21%             | 2030-05-01      | Fixed         | 10.25%                | No            |                  2 | On Loan: No      |
| CELLNEX FINANCE COMPANY SA                                                    | CELLNEX FINANCE COMPANY GUAR 144A 07/41 3.875              | CUSIP: 15118JAA3<br>LEI: 549300OUROMFTRFA7T23 | Long             | DBT              | CORP              | ES        |   2230000 | PA      | $1528542.35   | 0.29%             | 2041-07-07      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| CENGAGE LEARNING INC                                                          | CENGAGE LEARNING INC 2021 TERM LOAN B                      | CUSIP: 15134NAF3<br>LEI: 549300BYGM0FWUSVXJ88 | Long             | LON              | CORP              | US        |   1014992 | PA      | $915238.49    | 0.18%             | 2026-07-14      | Floating      | 7.81%                 | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 06/52 3.9              | CUSIP: 161175CA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1100000 | PA      | $694685.55    | 0.13%             | 2052-06-01      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                            | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1           | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    306563 | PA      | $277983.94    | 0.05%             | 2035-12-25      | Floating      | 3.82%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                              | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/26 8           | CUSIP: 12543DBC3<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |    246000 | PA      | $224475.00    | 0.04%             | 2026-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| CHS/COMMUNITY HEALTH SYSTEMS INC                                              | CHS/COMMUNITY HEALTH SYS SR SECURED 144A 03/27 5.625       | CUSIP: 12543DBG4<br>LEI: 5493007X5NC5XI1BB106 | Long             | DBT              | CORP              | US        |   1401000 | PA      | $1203851.28   | 0.23%             | 2027-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                    | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3            | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1209948 | PA      | $1193876.38   | 0.23%             | 2035-09-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A      | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19166 | PA      | $16286.24     | 0.00%             | 2037-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A      | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1376988 | PA      | $776341.64    | 0.15%             | 2036-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A3                                        | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A3 1A1            | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1489333 | PA      | $1310218.32   | 0.25%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                                          | CITY OF BUENOS AIRES UNSECURED 02/28 VAR                   | CUSIP: ACI0Z1129<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |   6357210 | PA      | $19718.11     | 0.00%             | 2028-02-22      | Floating      | 53.21%                | No            |                  2 | On Loan: No      |
| CITY OF BUENOS AIRES                                                          | CITY OF BUENOS AIRES UNSECURED 03/24 VAR                   | CUSIP: BD8QV0II3<br>LEI: 5299007MC8RF52X0ON96 | Long             | DBT              | MUN               | AR        |  12737000 | PA      | $40136.64     | 0.01%             | 2024-03-29      | Floating      | 59.45%                | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3            | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $451593.90    | 0.09%             | 2035-10-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| COTY INC                                                                      | COTY INC SR SECURED 144A 04/26 3.875                       | CUSIP: ACI1YJLH4<br>LEI: 549300BO9IWPF3S48F93 | Long             | DBT              | CORP              | US        |   1094000 | PA      | $1093823.16   | 0.21%             | 2026-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                       | COUNTRY GARDEN HLDGS SR SECURED REGS 01/25 5.125           | CUSIP: ACI0ZWNL5<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    600000 | PA      | $406392.22    | 0.08%             | 2025-01-17      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                       | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7             | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |    560000 | PA      | $320610.89    | 0.06%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 1A2          | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4841237 | PA      | $3938435.40   | 0.76%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC2                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC2 M2             | CUSIP: 22237JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1023000 | PA      | $907287.96    | 0.18%             | 2045-01-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A              | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1227227 | PA      | $1171936.05   | 0.23%             | 2047-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A              | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    962017 | PA      | $881854.34    | 0.17%             | 2047-06-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4             | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    596014 | PA      | $568280.23    | 0.11%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV3             | CUSIP: 126670PK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   9800000 | PA      | $9304974.56   | 1.80%             | 2036-05-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4             | CUSIP: 12666CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1533517 | PA      | $1451270.36   | 0.28%             | 2037-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 2A4             | CUSIP: 12668HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1021081 | PA      | $979725.32    | 0.19%             | 2037-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 1A             | CUSIP: 12668TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1115083 | PA      | $1022371.00   | 0.20%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4          | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2069523 | PA      | $1841231.15   | 0.36%             | 2036-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/49 VAR         | CUSIP: 22546DAB2<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1345000 | PA      | $1178220.00   | 0.23%             | 2023-12-11      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG JR SUBORDINA 144A 12/99 VAR         | CUSIP: 225401AJ7<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |   1500000 | PA      | $1202429.52   | 0.23%             | 2023-07-17      | Floating      | 7.50%                 | 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        |    250000 | PA      | $234934.66    | 0.05%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CREDIT SUISSE GROUP AG SR UNSECURED 144A 08/28 VAR         | CUSIP: 225401AV0<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | CH        |    300000 | PA      | $273649.06    | 0.05%             | 2028-08-11      | Floating      | 6.44%                 | 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        |    500000 | PA      | $439946.99    | 0.08%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                          | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A        | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   7740000 | PA      | $7079781.18   | 1.37%             | 2037-11-30      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                               | IHEARTMEDIA INC   CLASS A COMMON STOCK                     | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     31404 | NS      | $192506.52    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| IHEARTMEDIA INC                                                               | IHEARTMEDIA INC   CLASS B COMMON STOCK                     | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     24427 | NS      | $134763.76    | 0.03%             |  |  |  | No            |                  3 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                        | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/26 5.789       | CUSIP: 126650AQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    127410 | PA      | $126537.97    | 0.02%             | 2026-01-10      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                   | INTELSAT EMERGENCE SA COMMON STOCK                         | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |     28493 | NS      | $683832.00    | 0.13%             |  |  |  | Yes           |                  3 | On Loan: No      |
| DISH DBS CORPORATION                                                          | DISH DBS CORP SR SECURED 144A 12/28 5.75                   | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2630000 | PA      | $2104000.00   | 0.41%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| EFS VOLUNTEER LLC 2010-1                                                      | EFS VOLUNTEER LLC EFSV 2010 1 A2 144A                      | CUSIP: 26844VAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    319813 | PA      | $318428.76    | 0.06%             | 2035-10-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4                                     | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A         | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5200000 | PA      | $5126662.32   | 0.99%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                            | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                 | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |      9000 | PA      | $8648.97      | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                | EPR PROPERTIES COMPANY GUAR 04/28 4.95                     | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |     10000 | PA      | $8547.69      | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                                | EPR PROPERTIES COMPANY GUAR 12/26 4.75                     | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      5000 | PA      | $4499.14      | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ERSTE GROUP BANK AG                                                           | ERSTE GROUP BANK AG JR SUBORDINA REGS 12/99 VAR            | CUSIP: BDRXT5II9<br>LEI: PQOH26KWDF7CG10L6792 | Long             | DBT              | CORP              | AT        |   2000000 | PA      | $2094441.48   | 0.40%             | 2024-04-15      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                                          | EUROSAIL PLC ESAIL 2007 3A A3C 144A                        | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    274632 | PA      | $327887.99    | 0.06%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3A REGS                        | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    486929 | PA      | $581982.33    | 0.11%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3C REGS                        | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    174766 | PA      | $208656.17    | 0.04%             | 2045-06-13      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| EXELA INTERMEDIATE LLC / EXELA FINANCE INC                                    | EXELA INTERMED/EXELA FIN SR SECURED 144A 07/26 11.5        | CUSIP: 30162RAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     32000 | PA      | $5600.00      | 0.00%             | 2026-07-15      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A            | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4880961 | PA      | $4747589.81   | 0.92%             | 2038-07-15      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                  | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24290 | PA      | $21806.83     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08778 FG 09/47 FIXED 3                  | CUSIP: 3128MJ2L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15902 | PA      | $14229.84     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08783 FG 10/47 FIXED 3                  | CUSIP: 3128MJ2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10416 | PA      | $9303.22      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08791 FG 12/47 FIXED 3                  | CUSIP: 3128MJ2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    447603 | PA      | $399289.09    | 0.08%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                  | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    878899 | PA      | $783448.53    | 0.15%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G60864 FG 02/47 FIXED 3                  | CUSIP: 31335A5Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23372 | PA      | $20958.07     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G61681 FG 12/47 FIXED 3                  | CUSIP: 31335B2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     24254 | PA      | $21647.26     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL G61809 FG 12/48 FIXED 3                  | CUSIP: 31335CAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     35184 | PA      | $31362.04     | 0.01%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q40843 FG 06/46 FIXED 3                  | CUSIP: 3132WD5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26650 | PA      | $23944.50     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q52560 FG 12/47 FIXED 3                  | CUSIP: 3132XUZ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     71596 | PA      | $63867.81     | 0.01%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q52848 FG 12/47 FIXED 3                  | CUSIP: 3132XVEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     18598 | PA      | $16652.77     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q53731 FG 01/48 FIXED 3                  | CUSIP: 3132XWED9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    587026 | PA      | $526745.66    | 0.10%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL Q61005 FG 01/49 FIXED 3                  | CUSIP: 3132VMDK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     98397 | PA      | $87482.54     | 0.02%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QE5878 FR 07/52 FIXED 3.5                | CUSIP: 3133BFQ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     49401 | PA      | $44967.04     | 0.01%             | 2052-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QN6441 FR 05/36 FIXED 3                  | CUSIP: 3133GDEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    288532 | PA      | $270726.39    | 0.05%             | 2036-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA3831 FR 07/50 FIXED 4                  | CUSIP: 3133KKHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13887 | PA      | $13131.43     | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL V83950 FG 02/48 FIXED 3                  | CUSIP: 3132L9L78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14846 | PA      | $13243.70     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FINSBURY SQUARE 19-3                                                          | FINSBURY SQUARE FSQ 2019 3 A REGS                          | CUSIP: ACI1G06J8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1290161 | PA      | $1559389.76   | 0.30%             | 2069-12-16      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF17                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF17 A1            | CUSIP: 32028KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    471883 | PA      | $437538.78    | 0.08%             | 2036-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| NMG PARENT                                                                    | NEIMAN MARCUS USD COMMON STOCK EQUITY                      | CUSIP: 967DUC905<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      5701 | NS      | $1003684.75   | 0.19%             |  |  |  | Yes           |                  3 | On Loan: No      |
| NOBLE CORPORATION PLC                                                         | NOBLE CORP PLC COMMON STOCK                                | CUSIP: G65431127<br>LEI: 549300I3HBUNXO0OG954 | Long             | EC               | CORP              | GB        |      7783 | NS      | $293496.93    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AL2908 FN 08/27 FIXED VAR                        | CUSIP: 3138EKGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     66713 | PA      | $64195.20     | 0.01%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                   | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                   | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   6891716 | PA      | $66959912.95  | 12.92%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL AP7539 FN 09/27 FIXED 3                          | CUSIP: 3138MBLV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     59439 | PA      | $57366.35     | 0.01%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK0261 FN 07/48 FIXED 4                          | CUSIP: 3140HDJF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52353 | PA      | $49967.57     | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BK0909 FN 07/48 FIXED 4                          | CUSIP: 3140HEAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    714586 | PA      | $681366.90    | 0.13%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BN5298 FN 02/34 FIXED 3                          | CUSIP: 3140JM3G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    194213 | PA      | $182454.16    | 0.04%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BO0973 FN 06/49 FIXED 4                          | CUSIP: 3140JVCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    355278 | PA      | $336378.84    | 0.06%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BX2438 FN 11/52 FIXED 6                          | CUSIP: 3140N6V82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    197474 | PA      | $200664.68    | 0.04%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BX4399 FN 11/52 FIXED 6                          | CUSIP: 3140N83H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    602527 | PA      | $622597.66    | 0.12%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA2038 FN 07/48 FIXED 4                          | CUSIP: 3140Q9HQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    158989 | PA      | $151744.18    | 0.03%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB5211 FN 12/52 FIXED 6                          | CUSIP: 3140QQYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2399762 | PA      | $2439358.87   | 0.47%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3093 FN 11/48 FIXED VAR                        | CUSIP: 3140X6NK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    712776 | PA      | $680308.45    | 0.13%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM7475 FN 10/50 FIXED VAR                        | CUSIP: 3140XBJV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1680061 | PA      | $1645420.25   | 0.32%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7            | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |   3500000 | PA      | $3043775.00   | 0.59%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                               | GAZPROM (GAZ CAPITAL SA) SR UNSECURED REGS 01/24 2.949     | CUSIP: ACI16D2T3<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |    640000 | PA      | $517241.19    | 0.10%             | 2024-01-24      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                              | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 01/29 2.95         | CUSIP: ACI1V9J90<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |   1500000 | PA      | $1042500.00   | 0.20%             | 2029-01-27      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3             | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66000 | PA      | $62575.59     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4               | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1685000 | PA      | $1448383.88   | 0.28%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                         | GLP CAPITAL LP / FIN II COMPANY GUAR 06/25 5.25            | CUSIP: 361841AJ8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15000 | PA      | $14769.67     | 0.00%             | 2025-06-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| STICHTING AK RABOBANK CERTIFICATEN                                            | STICHTING AK RABOBANK JR SUBORDINA REGS 12/49 VAR          | CUSIP: BJBQCWII7<br>LEI: N/A                  | Long             | EP               | CORP              | NL        |   1669650 | NS      | $1718817.97   | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                     | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    479989 | PA      | $416352.47    | 0.08%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                               | CUSIP: 21H022614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -300000 | PA      | $-260048.04   | -0.05%            | 2053-01-23      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                               | CUSIP: 21H032613<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3200000 | PA      | $2940568.70   | 0.57%             | 2053-01-23      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 4 JUMBOS                                 | CUSIP: 21H040616<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    800000 | PA      | $757127.95    | 0.15%             | 2053-01-23      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 4.5 JUMBOS                               | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2300000 | PA      | $2231517.59   | 0.43%             | 2053-01-23      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT             | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    209996 | PA      | $214370.36    | 0.04%             | 2066-09-20      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                              | GRIFONAS FINANCE PLC GRIF 1 A REGS                         | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    758670 | PA      | $738170.27    | 0.14%             | 2039-08-28      | Floating      | 1.26%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                          | GSAMP TRUST GSAMP 2005 HE5 M4                              | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1827000 | PA      | $1699477.04   | 0.33%             | 2035-11-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                         | GSAMP TRUST GSAMP 2005 WMC2 M1                             | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2480874 | PA      | $2152779.57   | 0.42%             | 2035-11-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC (AKA: COMMUNICATIONS SALES & LEASING INC)                     | UNITI GROUP INC REIT USD.0001                              | CUSIP: 91325V108<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      1326 | NS      | $7332.78      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A           | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     42677 | PA      | $37138.44     | 0.01%             | 2036-03-19      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| HILTON ORLANDO TRUST 2018-ORL                                                 | HILTON USA TRUST HILT 2018 ORL C 144A                      | CUSIP: 432885AJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1400000 | PA      | $1349287.10   | 0.26%             | 2034-12-15      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| HILTON WORLDWIDE FINANCE LLC                                                  | HILTON DOMESTIC OPERATING CO 2019 TERM LOAN B              | CUSIP: 43289DAH6<br>LEI: 549300406TN7EY0NPH20 | Long             | LON              | CORP              | US        |   1103758 | PA      | $1101622.55   | 0.21%             | 2026-06-22      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                   | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $175457.09    | 0.03%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                   | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |   1640000 | PA      | $1312414.48   | 0.25%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                             | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2           | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    996671 | PA      | $272858.25    | 0.05%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1           | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2637324 | PA      | $2075234.58   | 0.40%             | 2037-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                                   | HUARONG FINANCE 2019 COMPANY GUAR REGS 02/30 3.375         | CUSIP: ACI1K6N02<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    600000 | PA      | $457934.31    | 0.09%             | 2030-02-24      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HUARONG FINANCE 2019 CO LTD                                                   | HUARONG FINANCE 2019 COMPANY GUAR REGS 05/29 4.5           | CUSIP: ACI1C6PX7<br>LEI: 549300M6T6OW4AGYHK10 | Long             | DBT              | CORP              | VG        |    578000 | PA      | $480265.34    | 0.09%             | 2029-05-29      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 02/35 FIXED 6.63                           | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     40000 | PA      | $40588.50     | 0.01%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 04/35 FIXED 6.725                          | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |     10000 | PA      | $10197.08     | 0.00%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                                   | ILLINOIS ST ILS 07/35 FIXED 7.35                           | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      9286 | PA      | $9778.86      | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY JR SUBORDINA 12/99 VAR               | CUSIP: 949746TD3<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | EP               | CORP              | US        |   1896000 | NS      | $1664953.44   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                              | WESTMORELAND MINING HOLDINGS L COMMON                      | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       239 | NS      | $1792.50      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A4             | CUSIP: 456606KU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4404123 | PA      | $3958330.11   | 0.76%             | 2036-03-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A             | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1719494 | PA      | $1333920.37   | 0.26%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                           | POSEIDON BIDCO SASU EUR TERM LOAN B                        | CUSIP: 945BRXII5<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |   2400000 | PA      | $2213528.58   | 0.43%             | 2028-07-14      | Floating      | 7.26%                 | No            |                  3 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                                  | INTELSAT JACKSON HLDG SR SECURED 144A 03/30 6.5            | CUSIP: 45824TBC8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | DBT              | CORP              | LU        |   2104000 | PA      | $1886214.96   | 0.36%             | 2030-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| INTELSAT JACKSON HOLDINGS SA                                                  | INTELSAT JACKSON HOLDINGS S.A. 2021 EXIT TERM LOAN B       | CUSIP: L5137LAQ8<br>LEI: 8XJ8KF85PBKK1TLMFN29 | Long             | LON              | CORP              | LU        |    548580 | PA      | $530750.73    | 0.10%             | 2029-02-01      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                       | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A3            | CUSIP: 46602UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3554628 | PA      | $1406228.18   | 0.27%             | 2037-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| JERSEY CENTRAL POWER & LIGHT COMPANY                                          | JERSEY CENTRAL PWR + LT SR UNSECURED 144A 04/24 4.7        | CUSIP: 476556DB8<br>LEI: 549300W9UGH9ZPLNPF79 | Long             | DBT              | CORP              | US        |   3640000 | PA      | $3590812.97   | 0.69%             | 2024-04-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LCCM 2021-FL3 TRUST                                                           | LADDER CAPITAL COMMERCIAL MORT LCCM 2021 FL3 A 144A        | CUSIP: 50190FAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |   4000000 | PA      | $3842860.80   | 0.74%             | 2038-11-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                    | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL            | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      5769 | PA      | $3749.71      | 0.00%             | 2024-06-28      | Floating      | 7.38%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                    | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL             | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     14192 | PA      | $7617.86      | 0.00%             | 2025-06-30      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2017-RPL1                                         | LEGACY MORTGAGE ASSET TRUST LMAT 2017 RPL1 A 144A          | CUSIP: 52472WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    651332 | PA      | $650603.92    | 0.13%             | 2070-01-28      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| LENDINGCLUB RECEIVABLES TRUST SERIES 2019-8                                   | LENDINGCLUB RECEIVABLES TRUST LCRT 2019 8 A 144A           | CUSIP: 52605GAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    775210 | PA      | $773795.29    | 0.15%             | 2045-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC JR SUBORDINA REGS 12/49 VAR       | CUSIP: ACI080964<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    849000 | PA      | $872524.59    | 0.17%             | 2025-06-27      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 1A            | CUSIP: 54251YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    465065 | PA      | $327978.49    | 0.06%             | 2036-11-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| LUXE TRUST 2021-TRIP                                                          | LUXE COMMERCIAL MORTGAGE TRUST LUXE 2021 TRIP C 144A       | CUSIP: 55066WAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5081000 | PA      | $4745124.05   | 0.92%             | 2038-10-15      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| MARRIOTT INTERNATIONAL INC                                                    | MARRIOTT INTERNATIONAL SR UNSECURED 06/30 4.625            | CUSIP: 571903BE2<br>LEI: 225YDZ14ZO8E1TXUSU86 | Long             | DBT              | CORP              | US        |     12000 | PA      | $11226.22     | 0.00%             | 2030-06-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2            | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11500000 | PA      | $5101018.20   | 0.98%             | 2037-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-AM3                                            | MASTR ASSET BACKED SECURITIES MABS 2006 AM3 A3             | CUSIP: 57645EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41058 | PA      | $40838.76     | 0.01%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A1            | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4912841 | PA      | $2190144.96   | 0.42%             | 2047-04-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                               | MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013          | CUSIP: 337792II8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |     10083 | PA      | $11389.77     | 0.00%             | 2030-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                 | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    300000 | PA      | $171339.68    | 0.03%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2MZ              | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    753940 | PA      | $657557.98    | 0.13%             | 2034-12-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2SS              | CUSIP: 61744CKY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    513986 | PA      | $454557.43    | 0.09%             | 2034-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 A2D               | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    941227 | PA      | $901159.75    | 0.17%             | 2036-03-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP              | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2101128 | PA      | $1035586.42   | 0.20%             | 2036-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                         | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP              | CUSIP: 617526AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4279317 | PA      | $2581043.70   | 0.50%             | 2036-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P D 144A        | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2645000 | PA      | $2455146.40   | 0.47%             | 2023-12-15      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P E 144A        | CUSIP: 61772WAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1682000 | PA      | $1519325.71   | 0.29%             | 2023-12-15      | Floating      | 7.39%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO FINCO PLC)                                             | MARKET BIDCO FINCO PLC SR SECURED 144A 11/27 4.75          | CUSIP: ACI261ZG9<br>LEI: 549300UGYX6EBVHRVG53 | Long             | DBT              | CORP              | GB        |    900000 | PA      | $777346.08    | 0.15%             | 2027-11-04      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                               | WM MORRISON EUR TERM LOAN B1                               | CUSIP: 943UASII4<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |   1000000 | PA      | $944671.68    | 0.18%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MORRISON (MARKET BIDCO LIMITED)                                               | WM MORRISON EUR TERM LOAN B2                               | CUSIP: 943UATII2<br>LEI: 549300RKU7UEPSC42U63 | Long             | LON              | CORP              | GB        |    545455 | PA      | $515275.46    | 0.10%             | 2028-07-31      | Floating      | 6.55%                 | No            |                  2 | On Loan: No      |
| MPT OPERATING PARTNERSHIP LP/MPT FINANCE CORP                                 | MPT OPER PARTNERSP/FINL COMPANY GUAR 10/26 0.993           | CUSIP: ACI20NJ59<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2400000 | PA      | $1967220.70   | 0.38%             | 2026-10-15      | Fixed         | 0.99%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                                       | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A2              | CUSIP: 00764SAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3533759 | PA      | $2691649.65   | 0.52%             | 2037-01-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                   | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $188808.63    | 0.04%             | 2030-01-27      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                   | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $189598.59    | 0.04%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                   | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $363019.08    | 0.07%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NAVIENT CORPORATION                                                           | NAVIENT CORP SR UNSECURED 01/23 5.5                        | CUSIP: 78442FEQ7<br>LEI: 54930067J0ZNOEBRW338 | Long             | DBT              | CORP              | US        |    800000 | PA      | $799936.00    | 0.15%             | 2023-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NESTLE SKIN HEALTH SA (SUNSHINE LUXEMBOURG VII SARL)                          | SUNSHINE LUXEMBOURG VII SARL 2021 TERM LOAN B3             | CUSIP: L8908YAE8<br>LEI: 254900CHQOBZNYV4DY60 | Long             | LON              | CORP              | LU        |    121584 | PA      | $116737.99    | 0.02%             | 2026-10-01      | Floating      | 8.48%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                   | NETFLIX INC SR UNSECURED 05/29 4.625                       | CUSIP: ACI1GLZT8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $105437.03    | 0.02%             | 2029-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                   | NETFLIX INC SR UNSECURED REGS 06/30 3.625                  | CUSIP: ACI1GCPB8<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    100000 | PA      | $98745.02     | 0.02%             | 2030-06-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| NETFLIX INC                                                                   | NETFLIX INC SR UNSECURED REGS 11/29 3.875                  | CUSIP: ACI1BLJV6<br>LEI: 549300Y7VHGU0I7CE873 | Long             | DBT              | CORP              | US        |    192000 | PA      | $192645.64    | 0.04%             | 2029-11-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE COMPANY LLC                                           | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2          | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |   1500000 | PA      | $1291575.69   | 0.25%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                         | NOBLE FINANCE CO SECURED 02/28 11                          | CUSIP: 65505JAC5<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     16963 | PA      | $18871.34     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOBLE FINANCE COMPANY                                                         | NOBLE FINANCE CO SECURED 144A 02/28 11                     | CUSIP: 65505JAA9<br>LEI: 5493003DTPH8AMMK4P51 | Long             | DBT              | CORP              | KY        |     12118 | PA      | $13481.28     | 0.00%             | 2028-02-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1             | CUSIP: 65536QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    549407 | PA      | $494122.61    | 0.10%             | 2036-07-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                              | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D                  | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4200000 | PA      | $3912960.24   | 0.76%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| OBX TRUST 2018-EPX1                                                           | ONSLOW BAY FINANCIAL LLC OBX 2018 EXP1 2A1 144A            | CUSIP: 67097VAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107696 | PA      | $105986.24    | 0.02%             | 2048-04-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| OMEGA HEALTHCARE INVESTORS INC                                                | OMEGA HLTHCARE INVESTORS COMPANY GUAR 10/29 3.625          | CUSIP: 681936BL3<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              | CORP              | US        |     42000 | PA      | $34541.32     | 0.01%             | 2029-10-01      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| ONEMAIN FINANCE CORPORATION (AKA: SPRINGLEAF FINANCE CORPORATION)             | ONEMAIN FINANCE CORP COMPANY GUAR 03/23 5.625              | CUSIP: 85172FAL3<br>LEI: 5493008I795YYBFWFU90 | Long             | DBT              | CORP              | US        |   1994000 | PA      | $1989792.66   | 0.38%             | 2023-03-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1             | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5000000 | PA      | $4429572.50   | 0.85%             | 2036-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1            | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1249318 | PA      | $912832.47    | 0.18%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 03/51 3.95                        | CUSIP: 68389XCA1<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |   4028000 | PA      | $2887354.38   | 0.56%             | 2051-03-25      | Fixed         | 3.95%                 | Yes           |                  2 | On Loan: No      |
| ORACLE CORPORATION                                                            | ORACLE CORP SR UNSECURED 04/60 3.85                        | CUSIP: 68389XBY0<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |     26000 | PA      | $17390.02     | 0.00%             | 2060-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15             | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2072000 | PA      | $1927564.46   | 0.37%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/26 2.95             | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    221000 | PA      | $202796.01    | 0.04%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3              | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     90000 | PA      | $80189.89     | 0.02%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2              | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1100000 | PA      | $984453.58    | 0.19%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/45 4.3              | CUSIP: 694308HL4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   2026000 | PA      | $1443935.57   | 0.28%             | 2045-03-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/46 4.25             | CUSIP: 694308HN0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      8000 | PA      | $5595.15      | 0.00%             | 2046-03-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/42 4.45             | CUSIP: 694308GZ4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      5000 | PA      | $3739.65      | 0.00%             | 2042-04-15      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/23 3.25             | CUSIP: 694308HC4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    829000 | PA      | $819930.23    | 0.16%             | 2023-06-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3                | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $866429.34    | 0.17%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ALESCO PREFERRED FUNDING LTD 5A                                               | ALESCO PREFERRED FUNDING LTD ALESC 5A A1 144A              | CUSIP: 01448TAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    192150 | PA      | $190613.01    | 0.04%             | 2034-12-23      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/28 3.75             | CUSIP: 694308JK4<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    415000 | PA      | $368847.04    | 0.07%             | 2028-07-01      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55             | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   1259000 | PA      | $1144103.43   | 0.22%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/50 4.95             | CUSIP: 694308JN8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    656000 | PA      | $511108.09    | 0.10%             | 2050-07-01      | Fixed         | 4.95%                 | 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        |    159000 | PA      | $152673.51    | 0.03%             | 2024-08-15      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/42 3.75             | CUSIP: 694308HA8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      8000 | PA      | $5394.87      | 0.00%             | 2042-08-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/41 4.5              | CUSIP: 694308GY7<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     11000 | PA      | $7805.09      | 0.00%             | 2041-12-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4                | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      3000 | PA      | $2019.50      | 0.00%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                              | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25               | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |   3895000 | PA      | $3175427.96   | 0.61%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ1                                           | PARK PLACE SECURITIES INC PPSI 2004 WHQ1 M3                | CUSIP: 70069FBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1256441 | PA      | $1225451.29   | 0.24%             | 2034-09-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                 | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     27000 | PA      | $6266.94      | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU BONDS 144A 08/40 5.35                     | CUSIP: 715638DB5<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     17000 | PA      | $3351.37      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 02/29 5.94              | CUSIP: 715638BX9<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    532000 | PA      | $128634.22    | 0.02%             | 2029-02-12      | Fixed         | 5.94%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/26 8.2               | CUSIP: 715638AX0<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1079000 | PA      | $297638.32    | 0.06%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/28 6.35              | CUSIP: 715638BV3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1366000 | PA      | $342342.79    | 0.07%             | 2028-08-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95              | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      9000 | PA      | $2239.46      | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4               | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     71000 | PA      | $15017.95     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/26 8.2               | CUSIP: 715638AY8<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    210000 | PA      | $57927.75     | 0.01%             | 2026-08-12      | Fixed         | 8.20%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95              | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     11000 | PA      | $2737.11      | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| PETCO HEALTH AND WELLNESS COMPANY INC                                         | PETCO HEALTH AND WELLNESS COMP 2021 TERM LOAN B            | CUSIP: 71601HAB2<br>LEI: 2549007TYGV6RVSE9M61 | Long             | LON              | CORP              | US        |   1515172 | PA      | $1473034.82   | 0.28%             | 2028-03-03      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                             | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375     | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    385000 | PA      | $18768.75     | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                             | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/37 5.5       | CUSIP: P7807HAB1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    382000 | PA      | $18636.14     | 0.00%             | 2037-04-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                             | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/24 6         | CUSIP: P7807HAT2<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    141000 | PA      | $7226.25      | 0.00%             | 2024-05-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                             | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75      | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |    100000 | PA      | $5125.00      | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                             | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6         | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     63000 | PA      | $3071.25      | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                   | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                 | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |   3167000 | PA      | $2493068.73   | 0.48%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| PG&E WILDFIRE RECOVERY FUNDING LLC                                            | PG+E WILDFIRE RECOVERY SR SECURED 12/49 4.451              | CUSIP: 693342AD9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1250000 | PA      | $1089562.64   | 0.21%             | 2049-12-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| PRECISE MORTGAGE FUNDING 2018-2B                                              | PRECISE MORTGAGE FUNDING PMF 2018 2B A REGS                | CUSIP: ACI11CLN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1126676 | PA      | $1358918.80   | 0.26%             | 2055-03-12      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PRESS GANEY (AKA: AZALEA TOPCO INC)                                           | EMERALD TOPCO INC TERM LOAN                                | CUSIP: 29102TAB8<br>LEI: 549300HC42NZULO53062 | Long             | LON              | CORP              | US        |     15480 | PA      | $14227.13     | 0.00%             | 2026-07-24      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS I 2021-NPL3 LLC                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 NPL3 A1 144A      | CUSIP: 74143EAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4325342 | PA      | $3839089.93   | 0.74%             | 2051-07-25      | Fixed         | 1.87%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                                     | PROSUS NV SR UNSECURED 144A 01/34 2.778                    | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |   2456000 | PA      | $1899448.77   | 0.37%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF BUENOS AIRES ARGENTINA                                            | PROVINCIA DE BUENOS AIRE UNSECURED 144A REGS 04/25 VAR     | CUSIP: ACI11ZNP4<br>LEI: 549300L6AYROPOTQ4L07 | Long             | DBT              | NUSS              | AR        |    638000 | PA      | $2085.59      | 0.00%             | 2025-04-12      | Floating      | 72.74%                | 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        |   1150000 | PA      | $3759.29      | 0.00%             | 2025-04-12      | Floating      | 72.74%                | No            |                  2 | On Loan: No      |
| PUERTO RICO GOVT                                                              | PUERTO RICO CMWLTH PRC 11/43 ADJUSTABLE VAR                | CUSIP: 74514L3T2<br>LEI: 549300X44HXPLJU48U63 | Long             | DBT              | MUN               | PR        |     41207 | PA      | $18079.77     | 0.00%             | 2043-11-01      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP4                                                          | RAAC SERIES RAAC 2006 SP4 M2                               | CUSIP: 74919VAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     88145 | PA      | $87494.64     | 0.02%             | 2036-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                           | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 3A2 144A         | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405842 | PA      | $379203.15    | 0.07%             | 2036-12-26      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2             | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4629343 | PA      | $1507731.73   | 0.29%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2013-1 CLASS A PASS THROUGH TRUST                           | AMER AIRLN 13 1 A PASS T AMER AIRLN 13 1 A PASS T          | CUSIP: 023772AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    436485 | PA      | $379157.43    | 0.07%             | 2027-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                          | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M6            | CUSIP: 76112BTX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2600000 | PA      | $2468130.08   | 0.48%             | 2035-06-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS4                                           | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4            | CUSIP: 74924NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    272536 | PA      | $268996.97    | 0.05%             | 2037-05-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                        | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M3           | CUSIP: 76110W5K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2000000 | PA      | $1614423.00   | 0.31%             | 2035-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                        | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1           | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    434680 | PA      | $425093.03    | 0.08%             | 2036-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35           | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15129 | PA      | $13096.95     | 0.00%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 02/34 3.75                       | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |   2460000 | PA      | $1971728.97   | 0.38%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIA GOVT BOND   OFZ BONDS 04/24 VAR                     | CUSIP: ACI1JXZ93<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |  80100000 | PA      | $336691.53    | 0.06%             | 2024-04-24      | Floating      | 14.73%                | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIA GOVT BOND   OFZ BONDS 10/26 7.95                    | CUSIP: ACI198W43<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |  34532000 | PA      | $145151.46    | 0.03%             | 2026-10-07      | Fixed         | 7.95%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIA GOVT BOND   OFZ BONDS 11/25 7.15                    | CUSIP: ACI1D0W86<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |  88624000 | PA      | $372521.22    | 0.07%             | 2025-11-12      | Fixed         | 7.15%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625           | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1200000 | PA      | $762000.00    | 0.15%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED 144A 06/47 5.25            | CUSIP: X5424XBP2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    200000 | PA      | $74000.00     | 0.01%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 03/30 VAR             | CUSIP: X74344DM5<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     53343 | PA      | $34599.83     | 0.01%             | 2030-03-31      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1             | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    400000 | PA      | $132000.00    | 0.03%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625           | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    800000 | PA      | $508000.00    | 0.10%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 05/26 4.75            | CUSIP: X5424XBD9<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1000000 | PA      | $350000.00    | 0.07%             | 2026-05-27      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 06/27 4.25            | CUSIP: X5424XBN7<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    600000 | PA      | $210000.00    | 0.04%             | 2027-06-23      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 06/28 12.75           | CUSIP: X7435HAE6<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    192000 | PA      | $150120.00    | 0.03%             | 2028-06-24      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                                  | RUSSIAN FEDERATION SR UNSECURED REGS 06/47 5.25            | CUSIP: X5424XBQ0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |   1400000 | PA      | $518000.00    | 0.10%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES INC/AADVANTAGE LOYALTY IP LTD                               | AMERICAN AIRLINES/AADVAN SR SECURED 144A 04/26 5.5         | CUSIP: 00253XAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1689000 | PA      | $1627185.13   | 0.31%             | 2026-04-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 03/27 2.8                     | CUSIP: 80007RAN5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    300000 | PA      | $257337.00    | 0.05%             | 2027-03-08      | Variable      | 2.80%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/25 5.625                   | CUSIP: 80007RAF2<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |   1412000 | PA      | $1351837.62   | 0.26%             | 2025-08-08      | Variable      | 5.62%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.9                     | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |    200000 | PA      | $187532.60    | 0.04%             | 2028-08-08      | Variable      | 5.65%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                              | SAXON ASSET SECURITIES TRUST SAST 2004 3 M2                | CUSIP: 805564QW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    628582 | PA      | $539677.15    | 0.10%             | 2034-12-26      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A           | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    934596 | PA      | $862724.94    | 0.17%             | 2037-12-25      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                        | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A          | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2400000 | PA      | $2005225.44   | 0.39%             | 2038-05-15      | Floating      | 7.22%                 | No            |                  2 | On Loan: No      |
| SKYMILES IP LTD                                                               | SKYMILES IP LTD. 2020 SKYMILES TERM LOAN B                 | CUSIP: 24736CBS2<br>LEI: 2549008L7P4I8VB90936 | Long             | LON              | CORP              | US        |   2064000 | PA      | $2107736.16   | 0.41%             | 2027-10-20      | Floating      | 7.99%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                                 | SLM STUDENT LOAN TRUST SLMA 2005 B A4                      | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   2536774 | PA      | $2407844.59   | 0.46%             | 2039-06-15      | Floating      | 5.10%                 | 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        |   4534980 | PA      | $4401429.43   | 0.85%             | 2055-02-16      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                           | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A4              | CUSIP: 02660YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   6155350 | PA      | $1059341.30   | 0.20%             | 2036-06-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| SOFTBANK VISION FUND II                                                       | SOFTBANK VISION FUND II FIXED TERM LOAN                    | CUSIP: 944YFGII6<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |   2341773 | PA      | $2252748.73   | 0.43%             | 2025-12-21      | Variable      | 5.00%                 | No            |                  3 | On Loan: No      |
| SOTERA HEALTH HOLDINGS LLC                                                    | SOTERA HEALTH HOLDINGS LLC 2021 TERM LOAN                  | CUSIP: 83600VAE1<br>LEI: 549300OVT7MBXFLOFU20 | Long             | LON              | CORP              | US        |     76381 | PA      | $70843.38     | 0.01%             | 2026-12-11      | Floating      | 7.16%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2004-WMC1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2004 WMC1 M1           | CUSIP: 83611MBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   5216125 | PA      | $4700154.20   | 0.91%             | 2035-01-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                        | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2            | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1900000 | PA      | $1836031.56   | 0.35%             | 2036-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1          | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1080385 | PA      | $310306.97    | 0.06%             | 2037-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                      | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5           | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1988000 | PA      | $1894824.23   | 0.37%             | 2035-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5           | CUSIP: 614878II9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  67500000 | PA      | $4199831.55   | 0.81%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 12/26 10.5           | CUSIP: S69124FF7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   7600000 | PA      | $472869.92    | 0.09%             | 2026-12-21      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | SPRINT LLC COMPANY GUAR 02/25 7.625                        | CUSIP: 85207UAJ4<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   1000000 | PA      | $1034534.00   | 0.20%             | 2025-02-15      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | SPRINT LLC COMPANY GUAR 03/26 7.625                        | CUSIP: 85207UAK1<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |     18000 | PA      | $18981.11     | 0.00%             | 2026-03-01      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| SPRINT LLC                                                                    | SPRINT LLC COMPANY GUAR 09/23 7.875                        | CUSIP: 85207UAF2<br>LEI: 549300ZTTY7CXOLJ6539 | Long             | DBT              | CORP              | US        |   4319000 | PA      | $4388907.33   | 0.85%             | 2023-09-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                                                         | SS C TECHNOLOGIES INC SS C EUROPEAN HOLDINGS SARL          | CUSIP: 78466DBE3<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | LU        |     56663 | PA      | $55813.11     | 0.01%             | 2025-04-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| SS&C TECHNOLOGIES INC                                                         | SS C TECHNOLOGIES INC TERM LOAN B 3                        | CUSIP: 78466DBD5<br>LEI: 549300KY09TR3J12JU49 | Long             | LON              | CORP              | US        |     74591 | PA      | $73472.34     | 0.01%             | 2025-04-16      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2020-1 PLC 20-1                                     | STRATTON MORTGAGE FUNDING PLC STRA 2020 1 D REGS           | CUSIP: ACI1TXMZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |   1200000 | PA      | $1406637.62   | 0.27%             | 2052-03-12      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2006-R2                                        | AMERIQUEST MORTGAGE SECURITIES AMSI 2006 R2 M1             | CUSIP: 03072SZ73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    480658 | PA      | $475997.23    | 0.09%             | 2036-04-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                               | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M3             | CUSIP: 03072SUB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1815321 | PA      | $1634876.17   | 0.32%             | 2034-09-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                           | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M1           | CUSIP: 86359B6S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    982699 | PA      | $929153.77    | 0.18%             | 2035-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-EQ1A                                           | STRUCTURED ASSET SECURITIES CO SASC 2006 EQ1A A1 144A      | CUSIP: 86360RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    271515 | PA      | $267698.75    | 0.05%             | 2036-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL1                                           | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL1 A3 144A      | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3400000 | PA      | $2674123.46   | 0.52%             | 2037-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-TC1                                       | STRUCTURED ASSET SECURITIES CO SASC 2007 TC1 M3 144A       | CUSIP: 86364GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4114000 | PA      | $3971168.91   | 0.77%             | 2031-04-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-GEL3                                    | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL3 M1 144A      | CUSIP: 86360XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1121090 | PA      | $1047771.59   | 0.20%             | 2036-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| STUBHUB (PUG LLC)                                                             | PUG LLC USD TERM LOAN                                      | CUSIP: 74530DAC9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     19400 | PA      | $16150.50     | 0.00%             | 2027-02-12      | Floating      | 7.88%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XIV LTD 2014-14A                                                 | SYMPHONY CLO LTD SYMP 2014 14A AR 144A                     | CUSIP: 87159QBV9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     59762 | PA      | $59798.60     | 0.01%             | 2026-07-14      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                        | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                     | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |    937749 | PA      | $822874.49    | 0.16%             | 2027-05-13      | Floating      | 11.58%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                    | ENVISION HEALTHCARE CORP 2022 2ND LIEN TERM LOAN           | CUSIP: 943TEZII7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    781584 | PA      | $639593.55    | 0.12%             | 2028-04-28      | Fixed         | 15.74%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                    | ENVISION HEALTHCARE CORPORTION 2022 DELAYED DRAW TERM LOAN | CUSIP: 945BFLII4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     61538 | PA      | $60231.08     | 0.01%             | 2027-04-29      | Floating      | 10.47%                | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                    | ENVISION HEALTHCARE CORPORTION 2022 TERM LOAN              | CUSIP: 945BFKII6<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    338462 | PA      | $331270.92    | 0.06%             | 2027-04-29      | Floating      | 12.12%                | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                         | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875          | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     28454 | PA      | $25322.35     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                         | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75           | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    202267 | PA      | $192262.87    | 0.04%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A              | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3152990 | PA      | $2942506.09   | 0.57%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                 | TRANSDIGM INC 2020 TERM LOAN E                             | CUSIP: 89364MBQ6<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |   2816557 | PA      | $2791278.34   | 0.54%             | 2025-05-30      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                 | TRANSDIGM INC 2020 TERM LOAN F                             | CUSIP: 89364MBR4<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    746532 | PA      | $738879.70    | 0.14%             | 2025-12-09      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                                 | TRANSDIGM INC 2022 TERM LOAN H                             | CUSIP: 948CTJII9<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    748456 | PA      | $746820.32    | 0.14%             | 2027-02-22      | Floating      | 7.83%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | REPUBLIC OF TURKEY SR UNSECURED 03/25 4.25                 | CUSIP: 900123CX6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    800000 | PA      | $749920.00    | 0.14%             | 2025-03-13      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | REPUBLIC OF TURKEY SR UNSECURED 03/30 5.25                 | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    600000 | PA      | $484500.00    | 0.09%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                   | REPUBLIC OF TURKEY SR UNSECURED 04/29 7.625                | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    700000 | PA      | $662259.50    | 0.13%             | 2029-04-26      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| UBER TECHNOLOGIES INC                                                         | UBER TECHNOLOGIES, INC. 2021 TERM LOAN B                   | CUSIP: 90351JAF1<br>LEI: 549300B2FTG34FILDR98 | Long             | LON              | CORP              | US        |   3959290 | PA      | $3957171.57   | 0.76%             | 2027-02-25      | Floating      | 8.23%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3200000 | PA      | $-2604572.83  | -0.50%            | 2053-01-12      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F022618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8200000 | PA      | $6945261.09   | 1.34%             | 2053-01-12      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  15500000 | PA      | $13618598.53  | 2.63%             | 2052-02-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  37100000 | PA      | $33731363.04  | 6.51%             | 2053-02-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $1031769.68   | 0.20%             | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040610<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -1200000 | PA      | $-1125566.93  | -0.22%            | 2053-01-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  44300000 | PA      | $41562562.13  | 8.02%             | 2053-02-13      | 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        |   7600000 | PA      | $7316413.45   | 1.41%             | 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        |   5500000 | PA      | $5420436.51   | 1.05%             | 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        |   5900000 | PA      | $5913400.61   | 1.14%             | 2053-02-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060618<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    300000 | PA      | $304520.57    | 0.06%             | 2053-01-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                    | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  10000000 | PA      | $10142091.80  | 1.96%             | 2053-02-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                  | CUSIP: 01F062614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    100000 | PA      | $102428.73    | 0.02%             | 2053-01-12      | Fixed         | 6.50%                 | 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        |   1490000 | PA      | $1505769.83   | 0.29%             | 2023-12-04      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2012-1 CLASS A PASS THROUGH TRUST                             | UNITED AIRLINES 2012 1 A PASS THRU CE 10/25 4.15           | CUSIP: 210795PZ7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      3195 | PA      | $3095.94      | 0.00%             | 2025-10-11      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                             | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875           | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   2741049 | PA      | $2706318.11   | 0.52%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/44 3.25                  | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     70000 | PA      | $75242.99     | 0.01%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/45 3.5                   | CUSIP: BN65R3II8<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     70000 | PA      | $77993.03     | 0.02%             | 2045-01-22      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75                  | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     80000 | PA      | $61959.90     | 0.01%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/47 1.5                   | CUSIP: BDCHBWII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     40000 | PA      | $29550.65     | 0.01%             | 2047-07-22      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25                  | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     90000 | PA      | $58839.01     | 0.01%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 03/23 0.00000                                | CUSIP: 912796YB9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    303000 | PA      | $300933.16    | 0.06%             | 2023-03-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/24 0.625                                | CUSIP: 912828B25<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   5760037 | PA      | $5638237.84   | 1.09%             | 2024-01-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/27 0.375                                | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    208489 | PA      | $196676.48    | 0.04%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/29 0.875                                | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2227037 | PA      | $2122834.97   | 0.41%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/31 0.125                                | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    114477 | PA      | $101743.14    | 0.02%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/42 0.75                                 | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    131882 | PA      | $110500.77    | 0.02%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/44 1.375                                | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    127866 | PA      | $118868.91    | 0.02%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/45 0.75                                 | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    759300 | PA      | $614767.03    | 0.12%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/46 1                                    | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    251538 | PA      | $213874.13    | 0.04%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/47 0.875                                | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    864157 | PA      | $709278.06    | 0.14%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/48 1                                    | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    845922 | PA      | $712842.40    | 0.14%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/49 1                                    | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2013242 | PA      | $1684829.70   | 0.33%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/50 0.25                                 | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    695466 | PA      | $469658.41    | 0.09%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 02/51 0.125                                | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1831392 | PA      | $1181263.63   | 0.23%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 04/24 0.5                                  | CUSIP: 9128286N5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4359993 | PA      | $4240337.08   | 0.82%             | 2024-04-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/23 0.375                                | CUSIP: 912828VM9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4443439 | PA      | $4390904.10   | 0.85%             | 2023-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/24 0.125                                | CUSIP: 912828WU0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4882067 | PA      | $4725260.09   | 0.91%             | 2024-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/27 0.375                                | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     60912 | PA      | $57430.20     | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/28 0.75                                 | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    844085 | PA      | $804458.43    | 0.16%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/29 0.25                                 | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3637161 | PA      | $3331774.51   | 0.64%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/30 0.125                                | CUSIP: 912828ZZ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1743450 | PA      | $1562138.87   | 0.30%             | 2030-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/31 0.125                                | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2946429 | PA      | $2605548.79   | 0.50%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/32 0.625                                | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4205165 | PA      | $3855120.55   | 0.74%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 10/24 0.125                                | CUSIP: 912828YL8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3159307 | PA      | $3042945.18   | 0.59%             | 2024-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 01/24 2.25                                 | CUSIP: 912828V80<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    370000 | PA      | $360388.67    | 0.07%             | 2024-01-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 01/25 2.5                                  | CUSIP: 9128283V0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  13800000 | PA      | $13279265.56  | 2.56%             | 2025-01-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 01/26 2.625                                | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3500000 | PA      | $3345029.31   | 0.65%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/24 2.125                                | CUSIP: 912828W48<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1500000 | PA      | $1456699.22   | 0.28%             | 2024-02-29      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/24 2.375                                | CUSIP: 9128286G0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $97417.97     | 0.02%             | 2024-02-29      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/29 2.625                                | CUSIP: 9128286B1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    450000 | PA      | $416003.90    | 0.08%             | 2029-02-15      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/49 3                                    | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    500000 | PA      | $412031.25    | 0.08%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 03/24 2.125                                | CUSIP: 912828W71<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     84000 | PA      | $81396.33     | 0.02%             | 2024-03-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 03/29 2.375                                | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |  14300000 | PA      | $13004900.34  | 2.51%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/23 1.75                                 | CUSIP: 912828VB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1385368.64   | 0.27%             | 2023-05-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/24 2.5                                  | CUSIP: 912828WJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   4000000 | PA      | $3883437.52   | 0.75%             | 2024-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 06/24 2                                    | CUSIP: 912828XX3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2300000 | PA      | $2212582.04   | 0.43%             | 2024-06-30      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 07/24 2.125                                | CUSIP: 9128282N9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1058277.34   | 0.20%             | 2024-07-31      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/24 1.875                                | CUSIP: 9128282U3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1100000 | PA      | $1052390.63   | 0.20%             | 2024-08-31      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/24 2.375                                | CUSIP: 912828D56<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $96515.63     | 0.02%             | 2024-08-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/32 2.75                                 | CUSIP: 91282CFF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7200000 | PA      | $6557625.00   | 1.27%             | 2032-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/48 3                                    | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     10000 | PA      | $8217.19      | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 09/24 2.125                                | CUSIP: 9128282Y5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3200000 | PA      | $3071375.01   | 0.59%             | 2024-09-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 10/24 2.25                                 | CUSIP: 9128283D0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   6600000 | PA      | $6340125.00   | 1.22%             | 2024-10-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/24 2.125                                | CUSIP: 9128283J7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $287214.84    | 0.06%             | 2024-11-30      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/24 2.25                                 | CUSIP: 912828G38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3347000 | PA      | $3215342.61   | 0.62%             | 2024-11-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/46 2.875                                | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1123171.87   | 0.22%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 12/23 2.25                                 | CUSIP: 912828V23<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   7630000 | PA      | $7442378.99   | 1.44%             | 2023-12-31      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                   | UNITI GRP/UNITI HLD/CSL SR SECURED 144A 02/25 7.875        | CUSIP: 91327AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1415000 | PA      | $1372724.05   | 0.26%             | 2025-02-15      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                             | US RENAL CARE INC SR UNSECURED 144A 07/27 10.625           | CUSIP: 07335BAA4<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |     38000 | PA      | $8360.00      | 0.00%             | 2027-07-15      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                               | VALARIS LTD SR SECURED 04/28 8.25                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4000 | PA      | $4028.50      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VALARIS LIMITED                                                               | VALARIS LTD SR SECURED 144A 04/28 8.25                     | CUSIP: 91889FAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4000 | PA      | $4028.50      | 0.00%             | 2028-04-30      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25              | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    143000 | PA      | $13585.00     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7            | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     43000 | PA      | $3870.00      | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 04/25 7.65         | CUSIP: B07CTCII0<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    105000 | PA      | $9187.50      | 0.00%             | 2025-04-21      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/23 9            | CUSIP: P17625AA5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     46000 | PA      | $4025.00      | 0.00%             | 2023-05-07      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25         | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     83000 | PA      | $7470.00      | 0.00%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95        | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    300000 | PA      | $28500.00     | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/24 8.25         | CUSIP: P97475AP5<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |    157000 | PA      | $13737.50     | 0.00%             | 2024-10-13      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                               | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75        | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     10000 | PA      | $925.00       | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| VIKING CRUISES LTD                                                            | VIKING CRUISES LTD SR SECURED 144A 05/25 13                | CUSIP: 92676XAE7<br>LEI: 549300IJP90T4MV2GL84 | Long             | DBT              | CORP              | BM        |   2536000 | PA      | $2679631.23   | 0.52%             | 2025-05-15      | Fixed         | 13.00%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5            | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     35538 | PA      | $33438.47     | 0.01%             | 2033-03-25      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| CBL & ASSOCIATES PROPERTIES INC                                               | CBL + ASSOCIATES PROPERTIES REIT USD.01                    | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               | CORP              | US        |       176 | NS      | $4062.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WESTERN MIDSTREAM OPERATING LP                                                | WESTERN MIDSTREAM OPERAT SR UNSECURED 01/23 VAR            | CUSIP: 958667AD9<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     24000 | PA      | $23964.09     | 0.00%             | 2023-01-13      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                              | WESTMORELAND COAL CO PIK TERM LOAN                         | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     22541 | PA      | $17525.53     | 0.00%             | 2029-03-15      | Fixed         | 15.00%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                                 | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                    | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  14350001 | PA      | $3940787.27   | 0.76%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| WINDSTREAM SERVICES II LLC                                                    | WINDSTREAM SERVICES LLC 2020 EXIT TERM LOAN B              | CUSIP: 97381JAE3<br>LEI: 549300KT9GVEBYCD2N29 | Long             | LON              | CORP              | US        |     13646 | PA      | $12411.24     | 0.00%             | 2027-09-21      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 3A1A         | CUSIP: 93935LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2096272 | PA      | $1684205.59   | 0.32%             | 2046-10-25      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED 144A 01/26 5.5                 | CUSIP: 98313RAG1<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |   2000000 | PA      | $1837840.00   | 0.35%             | 2026-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WYNN MACAU LIMITED                                                            | WYNN MACAU LTD SR UNSECURED 144A 12/29 5.125               | CUSIP: 98313RAE6<br>LEI: 254900NMDQ8ENTHU1I31 | Long             | DBT              | CORP              | KY        |    760000 | PA      | $616151.00    | 0.12%             | 2029-12-15      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | BONCER BONDS 03/23 1.4                                     | CUSIP: ACI1L3HY1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 128692768 | PA      | $392445.97    | 0.08%             | 2023-03-25      | Fixed         | 1.40%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BILLS 05/23 0.00000                  | CUSIP: ACI28ZVJ0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        | 117771846 | PA      | $357826.67    | 0.07%             | 2023-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                      | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   1069021 | PA      | $249883.66    | 0.05%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                      | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    726000 | PA      | $169702.50    | 0.03%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA BONDS 10/26 15.5                     | CUSIP: ACI0QD081<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   9026000 | PA      | $7886.43      | 0.00%             | 2026-10-17      | Fixed         | 15.50%                | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR               | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     81568 | PA      | $25970.44     | 0.01%             | 2038-01-09      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                 | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    124621 | PA      | $33336.12     | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR               | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    367823 | PA      | $100415.68    | 0.02%             | 2030-07-09      | Variable      | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AIRBUS FINANCE BV SNR SE ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |         1 | NC      | $8734.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $802.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AT&T INC SNR S* ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1170.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR               | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    879658 | PA      | $223872.96    | 0.04%             | 2035-07-09      | Variable      | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT MAR23 XSFE 20230315                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -34 | NC      | $151245.75    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $36273.85     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR               | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |   5070763 | PA      | $1454041.29   | 0.28%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $14171.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $2811.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $6197.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $9925.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7415.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4617.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230109                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3329.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230109                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-7746.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4324.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230313                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4361.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $9213.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-610.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230313                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-25056.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $4423.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $310.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $4422.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-25.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $96081.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $0.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $4961.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $160.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $75628.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20230321                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $95785.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $162.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOEING CO/THE SNR S* ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-10159.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRAZIL LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1711.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BRAZIL LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1140.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM30 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-587.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM31 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-590.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM32 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1401.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM34 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-39332.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM36 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-252792.46   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX EM38 ICE                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-98724.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY36 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $80021.09     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY37 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $33744.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $158962.38    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX HY39 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $291471.73    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG38 5Y ICE                                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $54408.98     | 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      | $104513.38    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $3446.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-40892.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $99022.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230221                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $42413.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $0.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $9604.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $1592.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $8.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $6987.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CLP SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $112.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-15820.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $300.52       | 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      | $14552.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230302                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1433.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230410                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $36967.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-31036.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                           | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A2           | CUSIP: 00075VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3952968 | PA      | $2356061.63   | 0.45%             | 2036-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CLP BOUGHT USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $-41535.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                          | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M5           | CUSIP: 04541GSM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |  11000000 | PA      | $9314446.90   | 1.80%             | 2035-06-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $186.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230509                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-86.16       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-307.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230427                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-461.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230515                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8792.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230213                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $12029.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-25743.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.10 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3575.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.11 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-941.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.12 SP FBF                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1233.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.12 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-76551.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.13 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-189575.62   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.13 SP SAL                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-140612.38   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CMBX.NA.AAA.9 SP GST                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3687.97     | -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      | $-21748.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | COLOMBIA LA SP BRC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-9186.61     | -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      | $-928.13      | -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      | $-23796.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | COLOMBIA LA SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-23796.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | COLOMBIA LA SP GST                                         | 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 MYC                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-17847.04    | -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      | $-28997.71    | -0.01%            |  |  |  | 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      | $12958.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $28087.88     | 0.01%             |  |  |  | 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      | $10967.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | GENERAL ELECTRIC COMPANY SNR S* ICE                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $17557.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20230404                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $65456.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20230109                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $5433.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20230104                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-64111.84    | -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      | $-461.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230321                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-9570.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230503                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-29824.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20230510                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-11376.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4409.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230512                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $6649.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $1022.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-4866.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-71034.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230214                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $16085.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $5915.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $94685.61     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20230510                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $976.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-436526.48   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $21107.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230120                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5805.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS IBOXHY/SOFRINDX 06/20/23 GST                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-1859.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | INTELSAT JACKSON HOLDINGS S A EXP 05DEC25                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      2969 | NC      | $22267.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | INTELSAT JACKSON HOLDINGS S A RIGHTS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |      3126 | NC      | $21100.50     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | INTELSAT EMERGENCE SA CALL EXP 17FEB27                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |        76 | NC      | $152.01       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | INTELSAT EMERGENCE SA CALL EXP17FEB27                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | LU        |       322 | NC      | $1126.99      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                           | HYG US TRS EQUITY FEDL01-20 BOA                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-22188.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HYG US TRS EQUITY FEDL01-40 GST                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-5511.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | HYG US TRS EQUITY FEDL01-65 BPS                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $-8072.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX EXJP IG38 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-5536.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX XOV38 5Y ICE                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $12753.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317552O02 PIMCO CDSOPT PUT EUR 3.0 20230315                | CUSIP: OP001XNK7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -600000 | NC      | $-114.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN37 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $87982.29     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN38 5Y ICE                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $28543.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | JPN 10Y BOND(OSE) MAR23 XOSE 20230313                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -1 | NC      | $21354.35     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | MEXICO LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1605.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | MEXICO LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-2616.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $28697.71     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230314                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $9817.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $104487.65    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ZAR SOLD USD 20230125                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1337.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4169.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $18818.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230217                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-40606.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                 | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 02/24 5.5        | CUSIP: 70014LAB6<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |      6000 | PA      | $5924.44      | 0.00%             | 2024-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS (PARK AEROSPACE HOLDINGS LTD)                                 | PARK AEROSPACE HOLDINGS COMPANY GUAR 144A 03/23 4.5        | CUSIP: 70014LAC4<br>LEI: 635400CPI3EOIFF6OC33 | Long             | DBT              | CORP              | KY        |     83000 | PA      | $82801.32     | 0.02%             | 2023-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-15337.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-6598.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-24053.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | ROLLS-ROYCE PLC SNR SE ICE                                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $-19262.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $366.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20230315                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $42342.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20230216                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $20477.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230207                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-22302.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-7136.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20230420                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-5182.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230125                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1645.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230213                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-30689.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LTD                                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528     | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |   2028000 | PA      | $1623957.97   | 0.31%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC23 XCME 20240319                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -19 | NC      | $88900.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC24 XCME 20250318                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -11 | NC      | $31632.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  DEC25 XCME 20260317                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -11 | NC      | $29477.35     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN24 XCME 20240917                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -13 | NC      | $45667.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  JUN25 XCME 20250916                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -10 | NC      | $27391.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  MAR24 XCME 20240618                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -17 | NC      | $69342.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  MAR25 XCME 20250617                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -9 | NC      | $25161.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  MAR26 XCME 20260616                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -10 | NC      | $26536.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  SEP24 XCME 20241217                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -12 | NC      | $37103.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR FUT  SEP25 XCME 20251216                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -9 | NC      | $24077.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23C 98 EXP 12/15/2023                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -10 | NC      | $-860.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 3 MONTH SOFR OPT  DEC23P 96.5 EXP 12/15/2023               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -10 | NC      | $-30333.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH AFRICA EM SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3867.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-7734.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH AFRICA EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-19335.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH AFRICA EM SP NGF                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $181.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH AFRICA EM SP NGF                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $362.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $1489.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 ( US ) TERM LOAN B 3                 | CUSIP: 05400KAE0<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     63096 | PA      | $62990.97     | 0.01%             | 2025-01-15      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20230110                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-14359.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20230223                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3155.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 US LLC TERM LOAN B4                  | CUSIP: 05400KAF7<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |     29250 | PA      | $28907.92     | 0.01%             | 2027-02-12      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $332.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230105                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $171.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230106                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $316.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230109                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $445.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230112                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $677.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230117                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $500.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $255.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230119                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $6.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $150.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230123                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $49.09        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230127                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $23.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20230306                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $151.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230118                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-30404.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20230919                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4735.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AXALTA COATING SYSTEMS US HOLDINGS INC                                        | AXALTA COATING SYSTEMS DUTCH 2022 USD TERM LOAN B          | CUSIP: 90347BAJ7<br>LEI: 549300NZ43V4QV4UGN28 | Long             | LON              | CORP              | NL        |      8315 | PA      | $8334.14      | 0.00%             | 2029-12-20      | Floating      | 7.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00CA7 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-17148.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00DA6 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1100000 | NC      | $-0.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00EA5 PIMCO SWAPTION 2.1 PUT EUR 20230411              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |   -600000 | NC      | $-9353.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00KA8 PIMCO FPPSWAPTION 2.9925 CALL USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-754.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00LA7 PIMCO FPPSWAPTION 2.9925 PUT USD                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-9300.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U00OA4 PIMCO SWAPTION 0.55 CALL EUR 2023041             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-0.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02PA9 PIMCO SWAPTION 2.92 PUT USD 20231013             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-10982.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U02QA8 PIMCO SWAPTION 2.92 CALL USD 2023101             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -800000 | NC      | $-811.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04EA7 PIMCO SWAPTION 3.0175 PUT USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7667.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U04FA6 PIMCO SWAPTION 3.0175 CALL USD 20231             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-735.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05HA1 PIMCO SWAPTION 2.25 PUT EUR 20230424             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-22634.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05LA6 PIMCO SWAPTION 0.7 CALL EUR 20230424             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1600000 | NC      | $-1.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05MA5 PIMCO SWAPTION 3.225 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-6691.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05NA4 PIMCO SWAPTION 3.225 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-946.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05OA3 PIMCO SWAPTION 3.19 PUT USD 20231023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-6850.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05PA2 PIMCO SWAPTION 3.19 CALL USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-909.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05QA1 PIMCO SWAPTION 3.14 PUT USD 20231023             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7080.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U05RA0 PIMCO SWAPTION 3.14 CALL USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-858.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06DA3 PIMCO SWAPTION 2.973 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-729.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06EA2 PIMCO SWAPTION 2.973 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7856.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06OA1 PIMCO SWAPTION 2.25 PUT EUR 20230426             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-21312.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U06PA0 PIMCO SWAPTION 0.7 CALL EUR 20230426             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-1.45        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07UA2 PIMCO SWAPTION 2.841 PUT USD 2023102             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-8419.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U07VA1 PIMCO SWAPTION 2.841 CALL USD 202310             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-644.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08AA2 PIMCO SWAPTION 2.25 PUT EUR 20230428             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-21344.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U08BA1 PIMCO SWAPTION 0.7 CALL EUR 20230428             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-1.61        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09MA7 PIMCO SWAPTION 3.0875 CALL USD 20231             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-912.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U09NA6 PIMCO SWAPTION 3.0875 PUT USD 202311             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7155.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0ATA7 PIMCO SWAPTION 3.02 PUT USD 20231106             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-12427.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0AUA5 PIMCO SWAPTION 3.02 CALL USD 2023110             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1427.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0BIA7 PIMCO SWAPTION 2.91 PUT USD 20231110             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-7891.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0BJA6 PIMCO SWAPTION 2.91 CALL USD 2023111             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -600000 | NC      | $-799.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CWA9 PIMCO SWAPTION 2.1 PUT EUR 20230512              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2200000 | NC      | $-35013.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0CXA8 PIMCO SWAPTION 0.55 CALL EUR 2023051             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -2200000 | NC      | $-2.59        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0D9A3 PIMCO SWAPTION 2.1 PUT EUR 20230515              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-23888.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DAA1 PIMCO SWAPTION 0.55 CALL EUR 2023051             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1500000 | NC      | $-1.77        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0DIA3 PIMCO SWAPTION 2.845 CALL USD 202311             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1000000 | NC      | $-1255.80     | -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        |  -1000000 | NC      | $-13647.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E3A7 PIMCO SWAPTION 3.75 PUT USD 20231117             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-9294.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0E4A6 PIMCO SWAPTION 2.25 CALL USD 2023111             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-899.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FJA7 PIMCO SWAPTION 3.65 PUT USD 20231120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-10072.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0FKA5 PIMCO SWAPTION 2.15 CALL USD 2023112             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-816.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JXA3 PIMCO SWAPTION 3.65 PUT USD 20231201             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-9838.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0JYA2 PIMCO SWAPTION 2.15 CALL USD 2023120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-927.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LEA9 PIMCO SWAPTION 3.75 PUT USD 20231207             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-8982.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U0LFA8 PIMCO SWAPTION 2.25 CALL USD 2023120             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -1300000 | NC      | $-1091.09     | -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